| 监管宽容下的存款保险定价应用研究 |
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| 引用本文： | 朱波,黄曼. 监管宽容下的存款保险定价应用研究[J]. 南方经济, 2008, 0(12) |
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| 作者姓名： | 朱波 黄曼 |
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| 作者单位： | 西南财经大学金融学院,成都,610074 |
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| 摘 要： | 本文介绍了Merton期权模型及其扩展对存款保险进行定价的方法,并采用考虑监管宽容的Ronn and Verma(1986)模型来估算上市银行的保费率,针对我国存在大量的非上市银行提出采用"市场对照"法,用上市银行的数据间接的估计出非上市银行的风险特征,再带入Ronn and Verma(1986)模型间接地估计出非上市银行的存款保险费率。本文为我国实行基于风险调整的差别存款保险费率提供了可行的操作方案,最后通过实证研究提出一些政策建议以促进我国存款保险制度的建立。
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| 关 键 词： | 存款保险 期权定价模型 市场对照法 监管宽容 |
Deposit Insurance Pricing under Bailout Policies |
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| Bo Zhu,Man Huang. Deposit Insurance Pricing under Bailout Policies[J]. South China journal of Economy, 2008, 0(12) |
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| Authors: | Bo Zhu Man Huang |
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| Affiliation: | Bo Zhu Man Huang |
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| Abstract: | This paper introduces the Merton option model and its expansion to the deposit insurance pricing methods.Adopt the considering governor bailout policies Ronn and Verma(1986) model to estimate the premium rate of listed banks,and use "market comparable" approach for valuing unlisted banks' deposit insurance.This paper provides a viable operating approach for establishing a risk-adjusted premium rate system and finally got some useful suggestions to promote the establishment of deposit insurance system in China. |
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| Keywords: | Deposit Insurance Option Pricing Model Market Comparable Approach Bailout |
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