本文選題：存款保險(xiǎn) + 期權(quán)定價(jià)模型　； 參考：《西南交通大學(xué)》2012年碩士論文

【摘要】：存款保險(xiǎn)制度是一項(xiàng)重要的基礎(chǔ)建設(shè),是經(jīng)濟(jì)健康發(fā)展的重要保障,存款保險(xiǎn)制度的建立,可以有效的防止金融危機(jī)的影響,減少危機(jī)帶來的社會成本。本文主要分析研究存款保險(xiǎn)制度的期權(quán)定價(jià)模型及我國銀行存款保險(xiǎn)費(fèi)率的測算。 本文首先綜述國內(nèi)外己有研究成果。國外對存款保險(xiǎn)定價(jià)研究模型已有一個(gè)系統(tǒng)的發(fā)展,目前主要是建立在期權(quán)定價(jià)模型和預(yù)期損失模型的理論基礎(chǔ)之上,但是,國內(nèi)關(guān)于存款保險(xiǎn)定價(jià)的研究較少,大部分為介紹國外的模型,運(yùn)用國內(nèi)數(shù)據(jù)進(jìn)行實(shí)證測算較少。因此本文將對存款保險(xiǎn)定價(jià)進(jìn)行測算,通過實(shí)證分析,研究我國銀行存款保險(xiǎn)。 其次,本文介紹了經(jīng)典的期權(quán)定價(jià)模型,主要是Merton(1977)的模型和RonnVerma (1986)模型。期權(quán)定價(jià)模型將存款保險(xiǎn)看作是一個(gè)看跌期權(quán),運(yùn)用Black-Scholes期權(quán)定價(jià)公式,進(jìn)而對存款保險(xiǎn)的定價(jià)進(jìn)行分析。 再次,本文對存款保險(xiǎn)合理定價(jià)的意義進(jìn)行闡述,并分析存款保險(xiǎn)在我國的定價(jià)問題。本文從資產(chǎn)規(guī)模和不良貸款狀況兩個(gè)方面分析銀行風(fēng)險(xiǎn)狀況,將我國銀行分成三類,分別是國有銀行、股份制商業(yè)銀行和其他金融機(jī)構(gòu)的風(fēng)險(xiǎn)狀況。 然后,本文測算了股份制商業(yè)銀行、國有銀行以及其他金融機(jī)構(gòu)的保險(xiǎn)費(fèi)率,進(jìn)行了實(shí)證研究,并對研究結(jié)果進(jìn)行分析和修正。測算結(jié)果顯示,國有銀行的費(fèi)率范圍為0.006%-0.023%。股份制商業(yè)銀行間的數(shù)據(jù)差別較大,招商銀行、中信銀行的費(fèi)率均比較低,而浦發(fā)銀行和民生銀行的費(fèi)率則較高。股份制商業(yè)銀行的費(fèi)率范圍為0.028%-1.6%。城市商業(yè)銀行費(fèi)率相對適中,范圍為0.089%-0.33%。 最后,本文對完善我國存款保險(xiǎn)定價(jià)提出幾點(diǎn)建議,在分析本研究的不足之處的基礎(chǔ)上,對我國存款保險(xiǎn)定價(jià)提出相關(guān)建議。目前,我國存款保險(xiǎn)的基本費(fèi)率可定在0.015%-0.018%之間。同時(shí),各類銀行的性質(zhì)及業(yè)務(wù)不僅相同,這使得它們的風(fēng)險(xiǎn)有著著系統(tǒng)性的差別,因此可以在不同類別的金融機(jī)構(gòu)之間實(shí)行有差別的的存款保險(xiǎn)費(fèi)率,而對同一性質(zhì)的金融機(jī)構(gòu),采取單一費(fèi)率。
[Abstract]:Deposit insurance system is an important infrastructure construction and an important guarantee for the healthy development of economy. The establishment of deposit insurance system can effectively prevent the impact of financial crisis and reduce the social cost brought by the crisis. This paper mainly analyzes the option pricing model of deposit insurance system and the calculation of deposit insurance rate in China. This paper first summarizes the domestic and foreign research results. There has been a systematic development of deposit insurance pricing model abroad, which is mainly based on the theory of option pricing model and expected loss model. However, there is little research on deposit insurance pricing in China. Most of the models introduced abroad, the use of domestic data empirical measurement is less. Therefore, this paper will measure the deposit insurance pricing, through empirical analysis, the study of bank deposit insurance in China. Secondly, this paper introduces the classical option pricing model, mainly Merton (1977) model and Ron Verma (1986) model. The option pricing model regards deposit insurance as a put option and analyzes the pricing of deposit insurance by using Black-Scholes option pricing formula. Thirdly, this paper expounds the significance of rational pricing of deposit insurance, and analyzes the pricing of deposit insurance in China. This paper analyzes the risk situation of banks in terms of asset size and non-performing loans, and divides Chinese banks into three categories, namely, state-owned banks, joint-stock commercial banks and other financial institutions. Then, this paper calculates the premium rates of joint-stock commercial banks, state-owned banks and other financial institutions, carries on empirical research, and analyzes and corrects the research results. The results show that the rate range of state-owned banks is 0.006-0.023. The data of joint-stock commercial banks differ greatly. The rates of China Merchants Bank and Citic Bank are all relatively low, while the rates of Pudong Development Bank and Minsheng Bank are higher. The rate range of joint-stock commercial banks is 0.028-1.6. The city commercial bank rate is relatively moderate, the range is 0.089-0.33. Finally, this paper puts forward some suggestions to improve the pricing of deposit insurance in China. Based on the analysis of the deficiencies of this study, the paper puts forward some suggestions on the pricing of deposit insurance in China. At present, the basic rate of deposit insurance in China can be set at 0.015-0.018%. At the same time, the nature and business of various types of banks are not the same, which makes their risks systematically different, so that different deposit insurance rates can be applied among different types of financial institutions. For financial institutions of the same nature, a single rate is adopted.
【學(xué)位授予單位】：西南交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.1;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 賴叔懿;陳華芳;彭思源;;我國銀行存款保險(xiǎn)的期權(quán)定價(jià)研究[J];保險(xiǎn)研究;2008年04期

2 陳學(xué)民;吳仰儒;;中國商業(yè)銀行存款保險(xiǎn)定價(jià)與模式選擇[J];財(cái)經(jīng)論叢;2012年01期

3 鄒琪,賁奔;存款保險(xiǎn)制度與存款保險(xiǎn)定價(jià)研究[J];金融論壇;2003年05期

4 孫楊;商業(yè)銀行道德風(fēng)險(xiǎn)與存款保險(xiǎn)定價(jià)研究[J];產(chǎn)業(yè)經(jīng)濟(jì)研究;2005年05期

5 敬志勇;范利民;厲吉斌;;我國銀行存款保險(xiǎn)制度的路徑選擇研究[J];當(dāng)代經(jīng)濟(jì)科學(xué);2011年05期

6 唐淑君;;基于Merton期權(quán)定價(jià)模型的存款保險(xiǎn)定價(jià)及實(shí)證研究[J];湖南財(cái)經(jīng)高等�？茖W(xué)校學(xué)報(bào);2008年04期

7 陳樹生;國際存款保險(xiǎn)制度及其借鑒[J];湖南經(jīng)濟(jì)管理干部學(xué)院學(xué)報(bào);2005年01期

8 韋明升;;關(guān)于建立中國存款保險(xiǎn)制度的構(gòu)想[J];廣西經(jīng)濟(jì)管理干部學(xué)院學(xué)報(bào);2009年01期

9 高建華;中國目前不宜推出存款保險(xiǎn)制度[J];經(jīng)濟(jì)研究參考;2005年71期

10 劉曉青;;美國次貸危機(jī)、存款保險(xiǎn)制度與道德風(fēng)險(xiǎn)[J];經(jīng)濟(jì)論壇;2009年02期

，

本文編號：2070226