存保费测算与银行经营绩效评价结果一致吗?——基于“市场有效性”视角的探析

Is the Deposit Insurance Premium Pricing Consistent with Banks' Operating Performance?——An Analysis from the "Market Efficiency" Perspective

本文基于期权定价模型分别对考虑监管宽容与否两种情形下的银行存保费率进行定价;从"市场有效性"视角,首次结合匹配经营绩效的思路探讨了不同模型定价与经营绩效的一致性。结论表明:对同一银行不同年份而言,存保费率与波动率正相关。考虑监管宽容与否主要影响量值而不影响排序;BS模型所测费率存在低估风险,SVJ模型测算结果相对合理。存保费率排序与经营绩效不尽一致;股市仍存在一定的效率缺失,从而导致股市信息无法充分、有效地反映企业的经营绩效及风险方面的真实情况;基于股票市场数据出发的存保费率测算无法与基于"现货市场"(标的公司)的实际经营、财务数据出发的经营绩效相一致,即股票市场质量和信息传递效率的缺失,掣肘了二者内在信息的协调联动。

In this paper, we measure China＇s commercial bank deposit insurance rate based on BS and SVJ op- tion models with the consideration of the regulatory tolerance or not. And combined with the idea of matching operating performance, we discuss the consistency between different models＇ pricing results and the performance. The empirical results indicate that for the same bank of different years, deposit insurance rate and volatility are positively related. Considering the influence of the regulatory tolerance or not mainly affects the quantity rather than the rankings of the bank deposit insurance rate. The measuring result of the option model only based on Brownian motion process exist un- derestimated risk, while the SVJ model pricing result is relatively reasonable. Deposit insurance premium rate and oper- ating performance are not so consistent. There exists a loss in the efficiency of stock market in our country, which causes the stock market information （price, etc.） can＇t fully and effectively reflect the business performance of enter- prises and the actual circumstances of the risk. It means that the lack of stock market quality and efficiency of informa- tion transmission, impedes the coordinated linkage of the internal information of the above-mentioned.