【摘要】：最近三十多年來(lái),世界上很多國(guó)家都發(fā)生了金融危機(jī),特別是美國(guó)2007年的次貸危機(jī)導(dǎo)致的全球金融危機(jī),對(duì)各國(guó)經(jīng)濟(jì)安全和金融主權(quán)都產(chǎn)生了不同程度的負(fù)面影響,有些國(guó)家到現(xiàn)在還處在危機(jī)后的復(fù)蘇階段。所以,各國(guó)金融監(jiān)管當(dāng)局都在研究怎樣防范和化解金融風(fēng)險(xiǎn)。防范金融風(fēng)險(xiǎn)的必要措施是要構(gòu)筑起防火墻。金融學(xué)者提出了很多防范政策措施,存款保險(xiǎn)制度是其中重要的組成部分。而在存款保險(xiǎn)制度的諸多要素中,最為核心的問題就是存款保險(xiǎn)費(fèi)率的確定。2015年5月1日,中國(guó)正式實(shí)施了風(fēng)險(xiǎn)差別費(fèi)率的顯性存款保險(xiǎn)制度,成為世界上第114個(gè)實(shí)行此項(xiàng)制度的國(guó)家。風(fēng)險(xiǎn)差別費(fèi)率的顯性存款保險(xiǎn)制度的核心問題是基于風(fēng)險(xiǎn)的存款保險(xiǎn)費(fèi)率定價(jià)問題,故而研究存款保險(xiǎn)定價(jià)對(duì)我國(guó)具有極為重要的理論和現(xiàn)實(shí)意義。本文結(jié)合了存款保險(xiǎn)定價(jià)的期權(quán)定價(jià)方法和預(yù)期損失定價(jià)法兩種方法,提出了銀行破產(chǎn)時(shí)產(chǎn)生的破產(chǎn)成本和被保險(xiǎn)存款的預(yù)期損失來(lái)對(duì)存款保險(xiǎn)進(jìn)行定價(jià)的新思路,該方法的特點(diǎn)是存款保險(xiǎn)費(fèi)率不僅受到銀行資產(chǎn)的風(fēng)險(xiǎn)和收益狀況的影響,而且還受到銀行自身的資本充足水平、存款參保比率和破產(chǎn)成本的影響。通過理論推導(dǎo)得到了基于銀行監(jiān)管資本和破產(chǎn)成本的存款保險(xiǎn)定價(jià)公式,并運(yùn)用極大似然估計(jì)方法和期權(quán)定價(jià)原理估計(jì)了相關(guān)參數(shù)。還利用數(shù)據(jù)測(cè)算了我國(guó)16家上市銀行2009～2014年的存款保險(xiǎn)費(fèi)率。此外,還對(duì)相關(guān)參數(shù)對(duì)存款保險(xiǎn)費(fèi)率的影響進(jìn)行了敏感性分析。
[Abstract]:In the past 30 years or so, many countries in the world have had financial crises, especially the global financial crisis caused by the subprime mortgage crisis in the United States in 2007, which has had varying degrees of negative impact on the economic security and financial sovereignty of all countries. Some countries are still in the post-crisis recovery phase. Therefore, the financial regulatory authorities of various countries are studying how to prevent and resolve financial risks. The necessary measure to prevent financial risk is to build a firewall. Financial scholars put forward a lot of preventive policy measures, deposit insurance system is an important part of it. Among the many elements of the deposit insurance system, the core problem is the determination of the deposit insurance rate. On May 1, 2015, China formally implemented the explicit deposit insurance system with the risk difference rate. Become the 114th country in the world to implement this system. The core problem of explicit deposit insurance system with risk difference rate is the pricing of deposit insurance rate based on risk, so it is of great theoretical and practical significance to study deposit insurance pricing in China. This paper combines the option pricing method of deposit insurance pricing and the expected loss pricing method, and puts forward a new idea of pricing deposit insurance, which is caused by the bankruptcy cost of the bank and the expected loss of the insured deposit. The characteristic of this method is that the deposit insurance rate is not only affected by the risk and income of bank assets, but also by the capital adequacy level of the bank itself, the deposit insurance ratio and the bankruptcy cost. The pricing formula of deposit insurance based on bank regulatory capital and bankruptcy cost is obtained by theoretical derivation, and the related parameters are estimated by using maximum likelihood estimation method and option pricing principle. The deposit insurance rates of 16 listed banks in China in 2009 and 2014 are also calculated by using the data. In addition, the sensitivity analysis of the influence of related parameters on deposit insurance rate is also carried out.
【學(xué)位授予單位】：南京財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.1

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