我国银行存款保险定价的实证研究

发布时间：2018-06-26 11:22

本文选题：存款保险 + 期权定价模型　；参考：《西南交通大学》2012年硕士论文

【摘要】：存款保险制度是一项重要的基础建设,是经济健康发展的重要保障,存款保险制度的建立,可以有效的防止金融危机的影响,减少危机带来的社会成本。本文主要分析研究存款保险制度的期权定价模型及我国银行存款保险费率的测算。本文首先综述国内外己有研究成果。国外对存款保险定价研究模型已有一个系统的发展,目前主要是建立在期权定价模型和预期损失模型的理论基础之上,但是,国内关于存款保险定价的研究较少,大部分为介绍国外的模型,运用国内数据进行实证测算较少。因此本文将对存款保险定价进行测算,通过实证分析,研究我国银行存款保险。其次,本文介绍了经典的期权定价模型,主要是Merton(1977)的模型和RonnVerma (1986)模型。期权定价模型将存款保险看作是一个看跌期权,运用Black-Scholes期权定价公式,进而对存款保险的定价进行分析。再次,本文对存款保险合理定价的意义进行阐述,并分析存款保险在我国的定价问题。本文从资产规模和不良贷款状况两个方面分析银行风险状况,将我国银行分成三类,分别是国有银行、股份制商业银行和其他金融机构的风险状况。然后,本文测算了股份制商业银行、国有银行以及其他金融机构的保险费率,进行了实证研究,并对研究结果进行分析和修正。测算结果显示,国有银行的费率范围为0.006%-0.023%。股份制商业银行间的数据差别较大,招商银行、中信银行的费率均比较低,而浦发银行和民生银行的费率则较高。股份制商业银行的费率范围为0.028%-1.6%。城市商业银行费率相对适中,范围为0.089%-0.33%。最后,本文对完善我国存款保险定价提出几点建议,在分析本研究的不足之处的基础上,对我国存款保险定价提出相关建议。目前,我国存款保险的基本费率可定在0.015%-0.018%之间。同时,各类银行的性质及业务不仅相同,这使得它们的风险有着着系统性的差别,因此可以在不同类别的金融机构之间实行有差别的的存款保险费率,而对同一性质的金融机构,采取单一费率。
[Abstract]:Deposit insurance system is an important infrastructure construction and an important guarantee for the healthy development of economy. The establishment of deposit insurance system can effectively prevent the impact of financial crisis and reduce the social cost brought by the crisis. This paper mainly analyzes the option pricing model of deposit insurance system and the calculation of deposit insurance rate in China. This paper first summarizes the domestic and foreign research results. There has been a systematic development of deposit insurance pricing model abroad, which is mainly based on the theory of option pricing model and expected loss model. However, there is little research on deposit insurance pricing in China. Most of the models introduced abroad, the use of domestic data empirical measurement is less. Therefore, this paper will measure the deposit insurance pricing, through empirical analysis, the study of bank deposit insurance in China. Secondly, this paper introduces the classical option pricing model, mainly Merton (1977) model and Ron Verma (1986) model. The option pricing model regards deposit insurance as a put option and analyzes the pricing of deposit insurance by using Black-Scholes option pricing formula. Thirdly, this paper expounds the significance of rational pricing of deposit insurance, and analyzes the pricing of deposit insurance in China. This paper analyzes the risk situation of banks in terms of asset size and non-performing loans, and divides Chinese banks into three categories, namely, state-owned banks, joint-stock commercial banks and other financial institutions. Then, this paper calculates the premium rates of joint-stock commercial banks, state-owned banks and other financial institutions, carries on empirical research, and analyzes and corrects the research results. The results show that the rate range of state-owned banks is 0.006-0.023. The data of joint-stock commercial banks differ greatly. The rates of China Merchants Bank and Citic Bank are all relatively low, while the rates of Pudong Development Bank and Minsheng Bank are higher. The rate range of joint-stock commercial banks is 0.028-1.6. The city commercial bank rate is relatively moderate, the range is 0.089-0.33. Finally, this paper puts forward some suggestions to improve the pricing of deposit insurance in China. Based on the analysis of the deficiencies of this study, the paper puts forward some suggestions on the pricing of deposit insurance in China. At present, the basic rate of deposit insurance in China can be set at 0.015-0.018%. At the same time, the nature and business of various types of banks are not the same, which makes their risks systematically different, so that different deposit insurance rates can be applied among different types of financial institutions. For financial institutions of the same nature, a single rate is adopted.
【学位授予单位】：西南交通大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.1;F224

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