基于宏观审慎监管框架的存款保险费率定价机制研究

Research on the Pricing Mechanism of Deposit Insurance Premium Rate Based on Macro-prudential Supervision Framework

我国存款保险实行差别费率与基准费率相结合的制度。学术界对存款保险费率定价研究主要以防范道德风险为出发点,聚焦于风险差别费率。传统的风险差别费率定价模型是期权定价模型和期望损失模型,两者均是对商业银行自身倒闭风险进行定价。本文认为,存款保险的目的是防范系统性风险。存款保险费率定价机制作为存款保险制度的重要部分,也应将目标聚焦于防范系统性风险。基于此,本文选择以存款保险基金管理机构的宏观审慎监管视角,对存款保险差别费率定价机制展开研究。本文通过分析宏观审慎监管框架下的目标与特征,讨论存款保险费率定价机制的要点与形成过程。本文还进一步原创性地构建了一个基于宏观审慎监管框架的存款保险费率定价模型,该模型以商业银行系统性风险贡献度作为衡量商业银行风险的依据。并且我们以中国16家上市银行数据对模型做了保费测算。结论证实模型的定价体系更全面,能更好地维护金融稳定。

The deposit insurance system combining differential rate and benchmark rate is constructed in China. The traditional study on deposit insurance premium rate mainly focuses on the risk differential rate with the aim to prevent moral hazard. Black-Scholes option model and the expected loss model mainly price the banking financial institution＇s own failure risk. The purpose of deposit insurance system is to guard against systemic risk. As an important component of the deposit insurance system, deposit insurance premium rate pricing mechanism should focus on the prevention of systemic risk. Based on this consideration, we selects the macro-prudential management perspective of the deposit insurance fund management institution to study the pricing mechanism of the deposit insurance premium rate. In this paper, the elements and the formation process of the mechanism are discussed through the analysis of objectives and characteristics of the macro-prudential supervision framework. Furthermore, a deposit insurance premium rate model based on macro-prudential supervision is constructed, which measures the risk of bank on the basis of the systematic risk contribution. We carry out premium based on the data from 16 listed banks in China. The conclusion confirms the pricing system of the model is more comprehensive and can better maintain the financial stability.