我国中小商业银行存款保险风险费率厘定问题研究——基于面板有序Logistic回归模型

The Determination of Deposit Insurance Risk Premium of Small and Medium-sized Commercial Banks in China——Based on Panel Ordered Logistic Regression Model

风险差别费率厘定是存款保险有效实施的关键环节,但对费率厘定方法始终存在争议。本文基于我国2003-2016年15家中小投保机构银行年度数据,采用PSTR模型合理区分投保机构无清偿能力风险指数状态区间,构建面板有序Logistic回归模型测度投保机构风险等级,并依风险等级确定相应的保费等级,厘定适合投保机构的费率水平。研究表明,宏观经济金融环境、投保机构经营管理状况对该投保机构风险等级有显著影响,利用面板有序Logistic回归模型测度投保机构风险拟合优度较高,该模型既能预测投保机构未来所处风险等级,又能有效区分出投保机构的风险等级差异,对厘定我国投保机构费率水平及完善我国风险差别费率机制具有一定的借鉴意义。

The risk difference rate is the key to the effective implementation of deposit insurance pri- cing, but there is always a dispute over the method of determining the risk rate level in academic field. Based on the annual data of some small and medium--sized commercial banks in China from 2003 to 2016, this paper, by using the PRPS model, reasonably distinguishes the risk index interval of insurance compa- nie isolveney, constructs the panel ordered logistic regression model to assess the risk level of the insured institution, and determines the corresponding premium grades according to the risk level and the premium rate for the insured institutions. The results show that the logistic regression model can make full use of the maeroeconomie and banking management information, which have significant influence on the risk of deposit insurers, to effectively distinguish the risk level of the insured institutions, as well as predict the probability of the future risk of the insurance institutions. This paper has a good reference for improving the risk differential mechanism in China.