基于时变波动率的存款保险定价研究

Deposit insurance pricing based on time-varying volatility

存款保险合理定价对于维护金融稳定至关重要,但是现有研究却很少考虑银行资产异方差性以及债务清偿顺序的差异.利用GARCH过程刻画资产收益波动率的时变性,结合债务清偿结构得到了封闭形式的存款保险定价公式,并给出了参数的极大似然估计方法.利用A股上市银行数据估计资产过程,并通过数值模拟分析了时变波动率和债务清偿结构对存款保险价格的影响.结果表明,忽视资产收益波动率的时变性在高风险时段将导致存款保险价格被高估,而在低风险时段却会导致价格被低估;高优先级负债越多,存款保险价格越高,普通债务(包括存款)越多,存款保险价格也越高,但前者的影响更大;受次级债的影响,忽视债务清偿顺序的差异往往导致存款保险价格被明显高估.

Scientific pricing of deposit insurance is important for maintaining financial stability. However, the heteroscedasticity of bank asset return and the discharge order of bank debt are rarely taken into account in previous deposit insurance pricing studies. This paper characterizes the time-varying volatility of asset return with GARCH process, and develops a closed丒form deposit insurance pricing formula considering debt discharge structures. A maximum likelihood estimation method for formula parameters is also presented. Bank asset processes are estimated with the data of banks listed in the A-share market. Then, through numerical simulation ,the paper investigates the impacts of the heteroscedasticity of bank asset returns and debt discharge orders on the deposit insurance premium. The results show that, ignoring the heteroscedasticity of asset returns, the deposit insurance would be overvalued during high risk periods and undervalued during low risk periods. High priority debt and normal debt (including deposits) are positively related to deposit insurance premiums, but the impact of the former is larger. Due to the impact of subordinated debt, the deposit insurance is always overvalued without considering the debt discharge order.