监管宽容、债务清偿结构与存款保险定价

Regulatory Forbearance,Debt Discharge Structure and Deposit Insurance Pricing

为定量分析存款保险机构的监管宽容政策和银行自身的债务清偿结构对存款保险费率的共同影响,在考虑监管宽容的前提下,引入资本展期,依据债务在清偿次序及其风险上的差异,通过构建两个跨期的熊市价差卖权组合得到存款保险的定价模型。运用数值方法分析不同监管宽容水平、宽容期限以及债务清偿结构下的存款保险费率的变化特征。分析结果表明,随着存款额度的增加和展期期限的延长,存款保险的单位实施成本都呈现出下降趋势;并且在存款保险和展期期限同向变化时,存款保险单位成本的变化趋势将有所减缓。

In order to quantitative analysis of the combined action of the regulatory forbearance policy and the debt settlement structures of commercial banks on the deposit insurance rates. Based on the differences on the debt repayment orders and the differences on their risks and via introducing the capital extension, the article explores two intertemporal bear spreads put packages to build the corresponding deposit insurance pricing model. Conclusions show that with the increase of scale on deposits amount and the extension period, per-uint cost on insurance is gradually reduced. In addition, when the former two change in the same direction, the trends of the latter is slow down.