我国存款保险定价研究——基于13家上市银行的实证分析.doc

PAGE PAGE 25 我国存款保险定价研究——基于13家上市银行的实证分析 摘要：从2015年5月1日起，我国将正式跨入建成存款保险制度的国家的行列，完成由隐性存款保险制度向显性存款保险制度的转型。作为一种维护金融稳定的有效手段，存款保险制度只有在结合本国实际情况以及各环节都正确施行的基础上，才能发挥出最佳效果。其中的关键在于存款保险费率的厘定问题。不合理的保费率很可能会引发道德风险以及逆向选择。本文首先将简单介绍存款保险制度的必要性与可行性，再重点引入传统的Merton期权定价模型、RV模型和期望损失定价模型，以及目前国内学者鲜少涉足的GARCH期权定价模型，并结合我国13家上市银行的相关数据对Merton模型和GARCH模型进行实证分析和比较，得出结论并相应提出建议，以期在我国存款保险定价模型的选择上具有一定的参考意义。 关键词：存款保险制度 Merton期权定价模型 Ronn-Verma模型 GARCH期权定价模型期望损失定价模型 Study on the deposit insurance pricing in China --empirical analysis based on 13 listed banks Abstract: From May 1, 2015, China will officially enter the ranks of the nations that have built deposit insurance system ,and complete the transition from implicit deposit insurance system to explicit deposit insurance system. As an effective means of maintaining financial stability, the deposit insurance system can work at its best only when it combines with national circumstances and the correct execution of all links. The key issue is to determine the deposit insurance rates. Unreasonable premium rate is likely to lead to moral hazard and adverse selection. This paper introduces the necessity and feasibility of the deposit insurance system, and then focus on the introduction of the traditional Merton option pricing model, RV model and expects loss pricing model and GARCH option pricing model,which is rarely set in by the domestic scholars, combined with related data of 13 listed Bank in China to make empirical analysis and comparison about Merton model and GARCH model, to draw conclusions and make recommendations in order to have a certain significance in the choice of reference pricing model. Keywords: Deposit Insurance System Merton Option Pricing Model Ronn-Verma Model GARCH Option Pricing Model Expects Loss Pricing Model 一、引言 目前，全球大多数国家处于动荡不安的宏观经济环境中，不时遭受金融危机的影响。结合现实可以发现，金融危机爆发的频率正在逐渐加快。如何维护金融体系的稳定以及促进金融行业的良好发展成为一项艰巨的任务。相对于其他企业，存款类金融机构的特殊性在于它们作为中介，一方面吸收公众的闲散资金来维持正常运作，另一方面利用储户的存款为实体经济提供助力，将资金供求双方紧密地联系起来。一旦经营出现问题，将对经济发展和社会安定产生巨大影响。 二十世纪三十年代的经济大萧