风险水平调整下的存款保险定价机制研究——基于Merton与违约预期损失定价模型

存款保险定价模型应建立在所面临的违约风险水平基础上，现行的Merton模型和违约预期损失定价模型忽略了银行资产负债结构、监管外部性、非系统性风险相关性和银行规模等风险因素的影响，因而采取改变风险敞口额、加强监管协调提高监管宽容参数、统一国家范围承保和建立二元保费定价机制等措施可实现存款保险价格与违约风险水平相一致的目标，促进存款保险机制的合理健康发展，为我国今后建立存款保险定价机制提供一定的参考。关键词：Merton模型；RV分析方法；监管外部性；系统性风险；风险分散

The Study of Risk-adjusted Deposit Insurance Pricing Mechanism: Based on Merton Model and Expected Default Loss Pricing Method

The deposit insurance pricing model is based on the default risk level, and the present Merton model and expected loss pricing method overlook factors of default risk level from bank assert and liability structure, hank regulation externality, the correlation in unsystematic risk and hank size, thus it can take measures such as changing risk exposure, strengthening supervision coordination to raise regulatory forbearance parameter, constructing unified national and dual Pricing system in order to maintain consistent between the price and risk level, which promotes healthy development of deposit insurance mechanism and provides reference for the future Chinese establishment of deposit insurance pricing system.