摘要
本文构建了基于银行监管资本和破产成本的存款保险定价模型.根据理论模型,本文测算了2011年到2017年中国16家上市银行的存款保险费率.结果表明,五大国有银行的存款保险费率要显著低于股份制商业银行和城市商业银行的存款保险费率,但是股份制商业银行的存款保险费率高于城市商业银行的存款保险费率.另外,本文对相关重要参数进行了数值模拟,模拟结果表明,存款保险费率随着监管资本比率和被保险存款比率的提高而下降,随着利率和破产成本的上升而上升.
We develop a deposit insurance pricing model that explicitly considers regulatory capital and bankruptcy costs.Based on the pricing deposit insurance model,we calculate the deposit insurance premiums of China's 16 listed banks with time span of 2011 to 2017 in this paper.The results demonstrate that the deposit insurance premiums of state-owned banks is lower than joint-stock commercial banks and city commercial banks,however,the deposit insurance premiums of joint-stock commercial banks is higher than city commercial banks.Numerical simulation shows that,ceteris paribus,the value of deposit insurance decreases with regulatory capital ratios and the insured deposits ratios,but it increases with interest rate and bankruptcy costs.
作者
程孝强
CHENG Xiaoqiang(School of Economics,East China Normal University,Shanghai,200062,China)
出处
《应用概率统计》
CSCD
北大核心
2019年第5期535-549,共15页
Chinese Journal of Applied Probability and Statistics
基金
supported by the Research and Innovation Project of Postgraduates of East China Normal University(Grant No.40500-20102-222000/001/003/006)
关键词
存款保险定价
监管资本
破产成本
预期损失
deposit insurance pricing
regulatory capital
bankruptcy costs
expected losses