我国商业银行存款保险定价研究

存款保险制度被公认为现代金融安全网的有机组成部分,但其本身存在着道德风险、逆向选择和委托代理问题。因此如何利用完善的制度设计,尤其是存款保险费率的选择模式以及具体测算就成为关键因素。自1993年提出"建立存款保险基金"构想以来,我国对建立存款保险的研究力度逐年深入。但国内现有对存款保险费率的研究文献存在照搬国外已有模型、分析指标应用不恰当,研究结论差异过大等诸多问题,不仅未能达到确定我国存款保险费率适当水平的目的,反而造成了认识上的混乱。本文在应用Morton期权定价基本模型的基础上,结合理论对该模型的评价缺陷和现实监管评级要求,选取样本指标对测算费率进行修正,这是一种创新性研究方法。通过回归技术和统计手段对样本银行在经营过程中资本状况、盈利能力和管理水平的变动趋势进行了分析,从而使存款保险机构能够实现对投保银行的动态监管和适时处理。     

Pricing Risk-Adjusted Deposit Insurance: An Option-Based Model

This paper presents a methodology for arriving at empirical estimates of deposit insurance premiums from market data by using isomorphic relationships between equity and a call option, and insurance and a put option. The data utilizes the market value of equity to solve for the asset value and its volatility. Market perceptions of FDIC bailout policies are explicitly modeled so as to eliminate the bias in inverted values of assets and their volatility. Sensitivity analyses are performed to show that rank orderings based on premiums are robust to changes in specification, thus facilitating allocation of aggregate premium across banks.     

存款保险定价银行重组模型研究

金融机构内在脆弱性决定了金融风险的客观存在性，存款保险制度的建立是保护中小储户、维护金融体系的良好运行的有力保障。现行存款保险制度的最大弊端在于逆向选择、道德危害、机构问题，而产生这些问题的根源则在于没有一个良好的费率规定标准。因此，合理的保险定价成了解决现行存款保险机制弊端的关键所在。银行重组模型强调了银行关闭和最优费率政策的内在联系的重要性，并指出最优存款保险费率取决于未来资产价值分布。     

存款保险定价研究:期权定价法和预期损失定价法的进展

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。     

市场约束、流动性援助与存款保险——基于银行审慎经营的激励兼容分析

银行审慎经营是金融稳定的微观基础，而银行治理过程中利益相关者的动态均衡是银行审慎经营的保证。市场约束是利益相关者参与银行治理的外部机制，流动性援助和存款保险是维护金融稳定的安全设施，市场约束、流动性援助和存款保险的激励兼容才能增加银行审慎经营可能性。在一定的制度设施基础上。完善市场约束，减少流动性援助和存款保险带来的道德风险，建立一个市场约束、流动性援助和存款保险激励兼容的外部框架有利于银行的审慎经营。     

台湾存款保险费率制度与经验借鉴

存款保险制度是维护金融稳定的三大法宝之一。存款保险制度的核心问题是存款保险定价问题,存款保险费率分为单一费率和差别费率。台湾地区较早建立存款保险制度,存款保险费率制度从单一费率演变为差别费率,在存款保险费率定价上积累了较成熟的经验。我国亟待实现隐性存款保险向显性存款保险的转变,可以借鉴台湾地区的存款保险费率定价模式,在充分考虑实际情况的基础上,从实施风险差别费率、建立风险评级体系、完善风险费率配套措施等角度着手,设立合适的存款保险费率制度。     

Deposit Insurance, Moral Hazard and Market Monitoring

The paper analyses the relationship between deposit insurance, debt-holder monitoring, and risk taking. In a stylised banking model we show that deposit insurance may reduce moral hazard, if deposit insurance credibly leaves out non-deposit creditors. Testing the model using EU bank level data yields evidence consistent with the model, suggesting that explicit deposit insurance may serve as a commitment device to limit the safety net and permit monitoring by uninsured subordinated debt holders. We further find that credible limits to the safety net reduce risk taking of smaller banks with low charter values and sizeable subordinated debt shares only. However, we also find that the introduction of explicit deposit insurance tends to increase the share of insured deposits in banks' liabilities.     

Optimal Bank Reorganization Policies and the Pricing of Federal Deposit Insurance

Optimal dynamic regulatory policies for closing ailing banks and for deposit insurance premia are derived as functions of the rate of flow of bank deposits, and interest rate on deposits, the economy's risk-free interest rate, and the regulators' bank audit/administration costs. Under competitive conditions, the threshold assets-to-deposits ratio below which a bank should be optimally closed is shown to be greater than or equal to one. Optimal deposit insurance premia and probabilities of bank closure are shown to be nondecreasing in the bank's risk on investment and nonincreasing in the bank's current assets-to-deposits ratio.     

存款保险研究新进展:定价和制度效应

存款保险制度的主要作用是应对挤兑风险,加强公众对银行体系的信心。通过对现有关于存款保险定价和存款保险制度效应的文献进行梳理发现：基于期权定价法的存款保险定价方法虽较少在实践层面应用,但促进了存款保险制度的完善;存款保险制度受金融环境、制度设计及银行自身等影响而产生不同的效应,良性的制度运转与金融体系的完善相辅相成。未来的研究将着重考虑中小银行费率的厘定及存款保险制度与金融安全网之间的协同作用。     

Deposit Insurance and the Discount Window: Pricing under Asymmetric Information

The risk-sensitive pricing of deposit insurance and the discount window is determined in an environment where banks have private information concerning their financial conditions. The two facilities are managed jointly; an incentive-compatible policy is designed such that banks' choice of terms at which they can obtain insurance and access to discount window credit will reveal their asset quality. The function of the discount window is to be a risk-neutral “lender of last resort” to banks in a market dominated by risk-averse depositors.     

存款保险、市场竞争与银行经营稳健性

本文基于银行存款市场空间竞争模型,探讨存款保险制度的实施效果和福利效应,及其与市场竞争政策的交互作用。研究表明,政府隐性担保尽管能够保障存款人利益,但会降低存款人对银行经营稳健性的要求,使得银行追求高风险高收益资产从而降低经营稳健性;而市场化的存款保险制度通过费率与风险挂钩的激励机制,能够有效提升银行经营稳健性,同时避免过高政策成本负担,实现较高的社会福利水平。随着市场竞争强化,引入风险差别费率保险制度,在提升银行经营稳健性和增进社会福利方面的效果逐渐增强。模型分析表明,当长期允许机构自由进出市场时,政府强化竞争政策短期可能降低银行的经营稳健性,但长期内高风险银行逐渐退出市场而更有效率的低风险银行进入市场,这种柔性市场退出机制使得银行业整体经营稳健性增强。因此,在金融市场中强化竞争政策,推行并完善当前市场化的风险差别费率存款保险制度,长期内有助于在保护存款人利益的同时,提升银行稳健性和社会福利。     

限额存款保险与中国银行业的市场约束

一般认为,限额存款保险制度让存款人的资产部分地暴露于风险之中,从而市场约束虽然比无保险状态下较弱但仍然有效,因此世界上实行存款保险制度的国家多采用限额保险。本文认为,中国银行业特殊的股权结构,以及长期以来政府对大银行的资金支持形成了存款人规模偏好和银行大而不倒(too big to fail)的预期;这一预期特征必将异化市场约束,进而导致银行陷入无序的规模竞争并激励其风险承担;如果单纯实施限额存款保险制度,非但不能修正中国商业银行市场约束的异化问题,而且将强化公众的大而不倒预期,使市场约束面临更严重的扭曲。     

存款保险与金融机构的市场退出问题

一个稳定的金融体系是宏观经济健康运行的关键。经济和金融体制改革过程中金融机构的市场退出问题往往引致严重的经济动荡。存款保险制度的建立是应对金融恐慌的制度安排，也是解决金融机构市场退出问题的主要途径。同时，我们应该建立为减少金融机构由于信息不对称引起的风险过度承担的激励机制。     

An Insurance Pricing Game

Understanding data and statistical distributions is a fundamental part of an undergraduate business student's education. The insurance pricing game presented here gives the students a unique way to apply statistical analysis in the classroom. The game requires decision making about risk with limited information. Specifically, the students must decide what “premium” to charge the members of a hypothetical risk pool. The game provides teachers with a discussion platform for numerous aspects of insurer risk pooling.     

韩国存款保险制度

成立的背景 全球化过程中金融业变得更加自主和自由,也更容易进入海外市场,银行亏损的可能性更大.对这个问题的担忧使韩国国会在1995年12月29日通过了<存款人保护法案>,并在1996年6月1日成立了韩国存款保险公司来建立存款保险制度.     

Deregulation,Pricing Strategies,and Claim Behavior in the Taiwan Automobile Insurance Market

Stringent pricing regulations have long been in effect in the Taiwan automobile insurance market. In April 2009, a pricing deregulation was adopted, enabling insurers to establish their own auto insurance premium rates. This study examines the effects of deregulation in terms of three hypotheses that we propose pertaining to market shares, loading factors, and last policy month claims. The quantitative analysis results show that pricing deregulation prompts insurers to lower their rates. The effects of deregulation for insurers are determined by not only the decision to deduct premiums and the deduction percentages, but also by policy type.     

Bank Time Deposit Rates and Market Discipline in Poland: The Impact of State Ownership and Deposit Insurance Reform

This paper examines the impact of ownership structure and changes in the deposit insurance system on the market for bank time deposits in Poland. In an environment of less restrictive bank supervision and a deposit insurance policy that favored state banks, we find that depositors exacted a price for risk-taking. After a new law increasing insurance coverage for private banks went into effect, however, bank specific variables became less important in explaining differences in deposit interest rates. We report, however, that the three fully guaranteed state banks pay significantly lower rates than private banks. Moreover, other state-owned banks, with the same explicit guarantee as private banks, pay significantly lower rates than private banks, so it appears that depositors treat these state-owned banks as if they have a larger implicit guarantee.     

基于市场约束的国际显性存款保险制度改革趋势及启示

上世纪90年代以来的金融危机使得越来越多的国家重新审视系统性风险防范的问题,存款保险制度作为有效手段被广泛推崇并在很多国家得以确立.随着市场约束成为<新巴塞尔资本协议>"三大支柱"之一而被国际银行监管界所广泛熟知,如何将市场约束的理念反映到存款保险制度的改进之中来进行探讨,也将对我国的存款保险制度的推出产生有益启示.