基于极值理论的存款保险定价研究

发布时间：2018-01-07 19:37

本文关键词：基于极值理论的存款保险定价研究　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着利率市场化进程在我国的逐步推行,商业银行所面临的风险也逐渐增强,经营不善的商业银行遭受破产的可能性逐渐提高,作为一项重要的市场退出机制,存款保险制度已经受到了金融机构越来越多的关注。毫无疑问,一个健全的存款保险制度的核心就是存款保险费率的计算,合理的存款保险费率可以有效的解决存款保险制度带来的道德风险和逆向选择问题。所以为了更好的发挥存款保险制度维护金融安全的作用,存款保险定价成为了近年来存款保险领域的热门问题。随着金融风险管理理论的发展,VaR和CVaR两种风险度量方法凭借其对风险直观的描述,最大损失值的精确计算,已经被全球金融机构所广泛使用。极端风险事件的发生使得金融机构损失分布存在明显的后尾情况,使得传统的VaR和CVaR估计出现偏差,极值理论的提出则为估计后尾情况下的风险价值提供了一条简便的通道。本文根据风险中性定理,将存款保险的定价问题转化成了VaR和CVaR的估计问题,并运用极值理论对商业银行资产损失分布的厚尾现象进行了精确的刻画,提高了VaR和CVaR的估计精度,从而得到更为公平的存款保险费率。同时本文还将系统风险考虑到了存款保险的定价过程中,定性的分析了在系统风险影响下存款保险费率与公平定价的存款保险费率之间的差别,并得到了系统风险下的存款保险溢价公式,从而进一步完善了存款保险定价过程。
[Abstract]:With the gradual implementation of the interest rate marketization process in China, the risks faced by commercial banks are gradually enhanced, and the possibility of commercial banks suffering bankruptcy is gradually increased, as an important market exit mechanism. Deposit insurance system has been paid more and more attention by financial institutions. Undoubtedly, the core of a sound deposit insurance system is the calculation of deposit insurance rate. Reasonable deposit insurance rate can effectively solve the moral hazard and adverse selection caused by deposit insurance system. So in order to better play the role of deposit insurance system to maintain financial security. Deposit insurance pricing has become a hot issue in the field of deposit insurance in recent years. With the development of financial risk management theory, VaR and CVaR risk measurement methods with its intuitive description of risk. The accurate calculation of the maximum loss value has been widely used by the global financial institutions. It makes the traditional VaR and CVaR estimation appear deviation, and the extreme value theory provides a simple way to estimate the risk value in the case of tail. This paper is based on the risk neutral theorem. The pricing problem of deposit insurance is transformed into the estimation problem of VaR and CVaR, and the thick tail phenomenon of asset loss distribution in commercial banks is accurately characterized by extreme value theory. The estimation accuracy of VaR and CVaR is improved to get a fairer deposit insurance rate. At the same time, the system risk is taken into account in the pricing process of deposit insurance. This paper qualitatively analyzes the difference between deposit insurance rate and fair pricing deposit insurance rate under the influence of system risk, and obtains the formula of deposit insurance premium under system risk. Thus further improve the deposit insurance pricing process.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.1

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