存款保险定价研究:期权定价法和预期损失定价法的进展

发布时间：2018-08-07 21:28

【摘要】：合理的存款保险定价可有效减少道德风险和逆向选择问题。本文梳理了国内外关于存款保险定价的两种主要方法——期权定价法和预期损失定价法及其最新发展情况。期权定价法的核心是将存款保险看作存款保险机构以银行资产为标的发行的一份看跌期权,之后学者从股利发放、监管宽容、系统性风险等多个角度进行拓展。预期损失定价法主要根据边际损失与边际保费收入相等来进行保费厘定,以探寻如何通过更科学的方法更精确地测量银行的预期损失。此外,本文讨论了存款保险定价方法对我国的启示。
[Abstract]:Reasonable deposit insurance pricing can effectively reduce moral hazard and adverse selection. This paper reviews the two main methods of deposit insurance pricing at home and abroad, namely, option pricing and expected loss pricing, as well as their latest development. The core of the option pricing method is to regard deposit insurance as a put option issued by deposit insurance institutions on the basis of bank assets, and then scholars expand from the perspectives of dividend issuance, regulatory tolerance, systemic risk and so on. The expected loss pricing method is mainly based on the marginal loss and the marginal premium income to determine the premium, in order to find out how to measure the bank's expected loss more accurately through more scientific methods. In addition, this paper discusses the implications of deposit insurance pricing methods for China.
【作者单位】：中央民族大学经济学院;中国科学院大学中丹学院;
【基金】：国家自然科学基金青年项目(71603306) 国家社会科学基金重大项目(13&ZD023);国家社会科学基金项目(16BJL105) 中央民族大学青年教师科研专项(2016KYQN53);中央民族大学少数民族事业发展协同创新中心中央民族大学2017年度“建设世界一流大学(学科)和特色发展引导专项资金”之应用经济学学科经费资助项目
【分类号】：F832;F842

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