考虑监管宽容及再保险的存款保险定价研究

发布时间：2018-01-31 09:14

本文关键词： 存款保险监管宽容复合职能再保险　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：银行作为企业,也会不可避免的遇到破产的问题,但是银行的高负债经营的特征,决定了一旦银行出现破产就会在社会上造成极大的不良影响,出现银行挤兑风险,人民的消费意愿下降,企业活力消弱,整个经济会陷入停滞状态,甚至引发群体事件,所以要保证银行体系、金融体系的稳定就显得极为重要。为了使银行危机发生的概率尽可能的降低,同时弱化危机所带来的不良影响,金融安全网的建设受到各国政府越来越多的重视,其中作为金融安全网三大支柱之一的存款保险制度更是被多国政府和国际组织认为是维护金融长久稳定的一项基础性制度。存款保险定价作为这个制度的核心,如果定价偏大会造成逆向选择和银行参与积极性不高,如果偏小又会造成道德风险。所以,合理的费率是保证存款保险制度发挥应有作用的关键。随着我国的存款保险制度即将建立,在基于银行风险的基础上厘定合理的费率,可以消除道德风险,促进存款保险制度健康运行,从而维护我国的金融稳定。有鉴于此,本文主要是对存款保险费率厘定的研究,在借鉴国外的理论和方法的基础上,结合我国的具体实际,得出在更符合实际情况的假设条件下银行保险费率的大小,为建立存款保险制度提供一些建议。本文在监管宽容和再保险的整体框架下,考虑了银行资产运动的两种情况和保险机构的两种职能,然后推导出了四个不同的定价模型,最后在第四章的实证部分,我们将依据推导出的定价公式,选取了14家我国上市银行的日股票价格数据,具体估算出不同情况下存款保险的费率,同时将估算出的不同情况下存款保险费的数值大小进行比较,最后得出一些有意义的结论。
[Abstract]:As an enterprise, the bank will inevitably encounter the problem of bankruptcy, but the characteristics of the bank's high debt management, determines that once the bank goes bankrupt, it will cause a great negative impact on the society. There is a risk of bank runs, people's willingness to spend less, corporate vitality weakens, the entire economy will fall into a state of stagnation, or even cause group events, so we should ensure the banking system. The stability of the financial system is extremely important. In order to make the probability of bank crisis as low as possible, and at the same time to weaken the adverse effects of the crisis. The construction of financial safety net is paid more and more attention by governments. As one of the three pillars of the financial safety net, the deposit insurance system is considered by many governments and international organizations as a basic system to maintain the long-term stability of finance. Deposit insurance pricing is the core of this system. If the pricing is negative selection and the bank participation enthusiasm is not high, if the price is too small, it will cause moral hazard. The reasonable rate is the key to ensure the deposit insurance system to play its due role. With the establishment of the deposit insurance system in our country, it can eliminate the moral hazard by determining the reasonable rate based on the bank risk. To promote the healthy operation of the deposit insurance system, so as to maintain the financial stability of China. In view of this, this paper is mainly on the deposit insurance rate determination research, on the basis of foreign theories and methods. Combined with the actual situation in our country, the paper draws the size of the bank insurance rate under the assumption of more realistic conditions, and provides some suggestions for the establishment of deposit insurance system. This paper is based on the overall framework of regulatory tolerance and reinsurance. Considering the two situations of bank asset movement and the two functions of insurance institutions, four different pricing models are derived. Finally, in the empirical part of Chapter 4th, we will derive the pricing formula. This paper selects the daily stock price data of 14 listed banks in China to estimate the deposit insurance rate under different conditions and compares the value of deposit insurance premium in different cases. Finally, some meaningful conclusions are drawn.
【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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