基于Merton模型的存款保险定价研究

Research on Deposit Insurance Pricing Based on Merton Model

存款保险制度的核心是存款保险费率的厘定。本文以Merton存款保险定价的看跌期权模型为基础,引入监管宽容和未保险存款的利率两个参数,给出了商业银行存款保险定价公式。选择不同的银行对其保险费率进行估算,所得的保险费率之间有一定的差距,表明不同银行的存款保险费率是不同的,中国不适合单一费率,而适合风险费率。本文对我国正在酝酿出台的存款保险制度具有一定的指导意义。

Based on the deposit insurance pricing model proposed by Merton, this paper introduces the two parameters of regulatory forbearance and uninsured deposit rate into this model, then gives the formula of deposit insurance pricing for commercial bank. An example analysis results show that different commercial banks have differnet deposit insurance rates,and a single rate is not suitable for China,China＇s banks should take risk rate,which is a useful reference for the deposit insurance system being gestated in China today.