基于银行债券视角对存款保险基本费率的测算

On the Estimation of Deposit Insurance Premium Based on Bank Bonds

存款保险制度可能引发道德风险问题,即促使参保银行主动承受更大的风险。因此,建立适合的存款保险制度需要从风险管理及反映风险的保险费用的确定等方面着手,其核心工作就是存款保险费率的厘定。常见的存款保险定价方法包括单一费率法和差别费率法,基于风险设计存款保险费率结构的差别费率法能降低银行的道德风险。RONN和VERMA结合存款保险的差别费率法和复合期权定价思路,提出存款保险价值不仅与银行资产的风险和收益有关,还可以与银行股权资本状况和存款债务建立关系。借鉴RONN和VERMA的建模思路,利用存款债务与其他普通债务的相似性及期权对角价差组合技术,建立银行资产市场价值和银行资产隐含波动率与银行普通债券价值和债券收益率的波动率之间的联立非线性方程组。利用上市银行债券数据的可得性,采用数值方法对5家国有商业银行的风险中性违约概率和存款保险基本费率进行测算。在此基础上,结合Ronn-Verma模型,得到其他10家上市银行的存款保险费率。研究结果表明,在其他情况相同的条件下,违约概率和存款保险费率均与银行债券收益率的波动率正相关,债券的价格信息能够反映一定的银行存款风险;此外,3类银行中以股份制银行的存款保险费率最高,城市商业银行次之,5家国有商业银行最低,后者略高于同期央行规定的基准费率。中国正逐步实践隐性存款保险向显性存款保险的转变,研究结果为基于债券市值给存款保险定价提供借鉴。在充分考虑实际情况的基础上,相关部门应该从实施风险差别费率、建立风险评级体系、完善风险费率措施等角度入手,为实施合适的存款保险费率制度创造有利条件。

A deposit insurance system can induce moral hazard problems and result in more risks for commercial banks. There- fore, the establishment of a suitable deposit insurance system needs to be considered from the perspectives of risk management and the deposit insurance premium based on risk. The key to solve this problem is pricing the rate of deposit insurance premium. The rates of deposit insurance premium usually can be broadly classified as unified rate and differentiated rate, and the latter that insurance premium structure based on risk can reduce moral hazard. Based on differentiated rate of the deposit insurance and the pricing method of compound option, Ronn and Verma propose that the deposit insurance is not only related to the risks and benefits of bank assets, but also to the bank＇s equity capital position and the deposit. Referring to the modeling ideas from Ronn- Verma, and based on the similarity between deposit and other common debt obligation and diagonal spread technology, this paper studies the relationship of the deposit premium and the default probability with the bank bond price by constructing and solving nonlinear equations with bank asset market value, the implied volatility of bank asset, the equity value and volatility of bond price as unknown variables. Meanwhile, leveraging the publicly observable prices of listed bank bonds, this paper adopts numer- ical methods to calculate the risk-neutral default probabilities and the deposit insurance premiums of 5 state-owned commercial banks. Based on the premiums calculated and combined with Ronn-Verma model, the deposit insurance premiums of the rest 10 listed non-state-owned banks can be obtained. The results show that given the same conditions, the probability of default and the deposit insurance premium are positively correlated with the volatility of bond price, and bond price can reflect the risk of bank deposits in a certain degree. Besides, the premium of joint-stock banks is the highest, city commercial banks＇ is at the intermediate level, and the premium of state-owned commercial banks is the lowest, which is slightly higher than that of the benchmark premium provided by the central bank in the same sample period. China is at present transforming from the implicit deposit insurance to visible deposit insurance gradually, and this paper builds a pricing theory for the deposit insurance through the bank bond price. Based on practical considerations, relevant depart- ments should adopt differentiated rate, establish risk rating system and improve risk supporting measures to create favorable con- ditions for implementing the appropriate deposit insurance rating system.