责任分层下考虑银行违约关联的存款保险定价

Pricing Deposit Insurance under Responsibility Layers with Bank Default Relevance

合理的保险费率水平是银行存款保险得以稳健运营的重要前提。随着市场约束机制的逐步完善,对银行损失风险及其层次结构进行精细刻画的必要性正日益凸显,这有利于保险公司针对特定的风险责任制定适宜的存款保险费率。因此,引入损失承担层,即将保险公司损失承担责任分为若干层次,在特定的损失承担层上保险公司对投保银行仅承担合约约定范围内的损失责任。考虑银行违约传染的关联违约强度,构建了不同损失承担层上银行关联违约条件下的存款保险费率定价模型。实证结论显示:损失承担层的下限越低,存款保险价格就越高;且忽视银行间违约传染性会导致存款保险费率被低估。

A reasonable deposit insurance premium is an important guarantee for a deposit insurance sys tem to operate stably. With market discipoines being improved gradually, it is necessary to articulate a bank＇s risk of loss and its hierarchical structure, and it is beneficial for insurance company to formulate ap- propriate deposit insurance premia for specifici risk responsibility. We firstly introduce the loss bearing levels, whick means that the loss responsibility born by insurance company is divided into several levels and insurance company bears specific range of loss responsibility in the contract for insurance banks, we then consider related default intensity in terms of bank defult infection and constructa a deposit insurance premi- um rate pricing model on different loss bearing levels under the condition of bank default relevance. Empir ical results indicate that the lower of loss bearing level＇s limit, the higher the price of deposit insurance is; and ignoring default infection between banks may cause deposit insurance premium underestimated.