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。

Deposit Insurance Pricing of China's Commercial Banks

Deposit insurance system is one modern financial safety net component,it still exhibits adverse se-lection,Moral Hazard and Principal-agent Problem. So that how to use the perfect system design,especially the de-posit insurance premiums choice model and the concrete measure will become the key factor. Since 1993,The do-mestic research on deposit insurance has developed deeply. But domestic research literature has many problems,such as memorization foreign existing model,analysis mainly used inappropriately index and conclusions differences. Based on the application of the basic model Morton option pricing,combining the conclusions on the drawbacks and real supervising evaluation,this thesis will sample rating index for correction. The above-mentioned measurement fee is an innovative research method. Through regression technique and statistical methods in the sample Banks operating process of capital,profitability and the management level of change trend is analyzed,which makes the deposit insur-ance institutions to cover the bank to realize the dynamic supervision and timing of treatment.