未保险存款的利率对存款保险定价的影响

The Impact of Uninsured Deposit Rate on the Deposit Insurance Pricing

当实行限额赔付的存款保险制度时,参保银行以两种方式获得存款:以无风险利率吸收承保的存款,以含有风险溢价的存款利率吸收未被保险的存款。较高的未保险存款利率会提高商业银行的资金成本,使其容易发生破产风险。同时,提高未保险的存款利率会降低被保险存款的本息之和在期末全部负债中的比重,使其在债务清偿中处于不利地位。本文以Merton的期权定价模型为基础,通过建立引入未保险存款利率的费率厘定模型定量分析了上述影响。结果发现,存款者要求的风险价格越高,这种影响就越显著。

In a system of deposit insurance with a coverage, the commercial bank＇s deposit can be divided into two parts： The first part is insured deposit which is given by risk less rate, the other is uninsured deposit which is given by a rate including risk premium. The higher uninsured deposit rate increases the cost of bank＇s capital and makes the bank vulnerable to be insolvent. On the other hand, the increase of uninsured deposit will decline the weight of insured deposit on the total debt in deposit insurance＇ maturity, make the depositor of insured deposit in a disadvantage. Based on the Merton model, this paper analyzed the influence mentioned above by developing a model including the variable, uninsured deposit rate, and find that the higher of the risk price, the more remarkable this influence will be.