基于宏观审慎监管框架的存款保险费率定价机制研究

发布时间：2018-11-23 08:22

【摘要】：我国存款保险实行差别费率与基准费率相结合的制度。学术界对存款保险费率定价研究主要以防范道德风险为出发点,聚焦于风险差别费率。传统的风险差别费率定价模型是期权定价模型和期望损失模型,两者均是对商业银行自身倒闭风险进行定价。本文认为,存款保险的目的是防范系统性风险。存款保险费率定价机制作为存款保险制度的重要部分,也应将目标聚焦于防范系统性风险。基于此,本文选择以存款保险基金管理机构的宏观审慎监管视角,对存款保险差别费率定价机制展开研究。本文通过分析宏观审慎监管框架下的目标与特征,讨论存款保险费率定价机制的要点与形成过程。本文还进一步原创性地构建了一个基于宏观审慎监管框架的存款保险费率定价模型,该模型以商业银行系统性风险贡献度作为衡量商业银行风险的依据。并且我们以中国16家上市银行数据对模型做了保费测算。结论证实模型的定价体系更全面,能更好地维护金融稳定。
[Abstract]:Deposit insurance in China implements the system of combination of differential rate and base rate. The academic research on deposit insurance rate pricing mainly focuses on the risk differential rate based on the prevention of moral hazard. The traditional pricing model of risk differential rate is option pricing model and expectation loss model, both of which are used to price the risk of commercial bank's own failure. The purpose of deposit insurance is to guard against systemic risk. As an important part of deposit insurance system, the pricing mechanism of deposit insurance rate should also focus on the prevention of systemic risk. Based on this, this paper chooses to study the pricing mechanism of differential rate of deposit insurance from the perspective of macro-prudential supervision of deposit insurance fund management. By analyzing the objectives and characteristics of macro-prudential supervision, this paper discusses the main points and formation process of deposit insurance rate pricing mechanism. Furthermore, this paper constructs a pricing model of deposit insurance rate based on macro-prudential regulatory framework. The model takes the contribution of commercial banks' systemic risk as the basis to measure the risks of commercial banks. And we use the data of 16 listed banks in China to calculate the premium of the model. The conclusion proves that the pricing system of the model is more comprehensive and can better maintain financial stability.
【作者单位】：中国人民银行武汉分行;
【分类号】：F832.1

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