摘要
在实行显性存款保险制度的前提下,商业银行的损失实际上是由商业银行的股东和存款保险机构共同承担的,损失准备金、风险资本和存款保险构成了商业银行风险管理的三道防线。本文从分析商业银行的资本配置与存款保险定价的关系出发,通过拟合商业银行的损失分布,提出了存款保险定价的一种新方法。该方法能较充分地利用监管机构、信用评级机构关于商业银行资本配置和风险评估方面的信息,数据比较容易获得,对估计我国商业银行的存款保险费率水平具有一定的借鉴意义。
Under the explicit deposit insurance system, commercial bank＇ s loss is actually paid by bank＇ s shareholders and deposit insurance companies. Loss provision, risk capital and deposit insurance fund are three cushions against the commercial banks＇ risk. This paper analyzes the relation between the allocation of commercial bank＇s capital and the deposit insurance pricing, and then proposes a new method for deposit insurance pricing by fitting the bank＇s loss distribution. This method can well make use of all kinds of information from supervision institution and rating agency, and give us some aids to estimate the premium of banks deposit insurance in China.
出处
《金融研究》
CSSCI
北大核心
2007年第01A期53-60,共8页
Journal of Financial Research
基金
本研究获国家自然科学基金创新研究群体科学基金资助(70521001)
关键词
损失准备金
风险资本
存款保险
Loss provision, risk capital, deposit insurance
