基于Merton期权定价模型的存款保险定价及实证研究

The Deposit Insurance Pricing and Its Empirical Study——A Perspective of Merton Option Pricing Model

存款保险定价是存款保险制度建设中的核心内容,从理论和实证两方面论述了运用Merton期权定价模型确定存款保险价格的问题。目前,我国存款保险的基本费率可定在0.5‰-0.7‰之间。由于当前我国不同类别银行的风险存在着系统性的差别,可以考虑对不同类别的金融机构实行不同等级的存款保险费率,同一类别的金融机构之间实行单一费率。

Deposit insurance pricing is the core content of the deposit insurance system. This paper, from both theoretical and empirical aspects, discusses how to use Melton option pricing model to determine the deposit insurance prices. At present, the deposit premium rate in China＇s banks is between 0. 5‰ and 0. 7‰. Because the risks of different kinds of banks are not the same, it is suggested that financial institutions of the same category adopt the same deposit insurance premium rate.