考虑银行资产负债结构的存款保险定价方法

Deposit Insurance Pricing Method Based on the Structures of Bank Assets and Liabilities

本文首先对银行的资产结构和负债结构进行了细分。以是否存在违约风险为标准,将银行资产划分为风险资产和无风险资产。按照清偿顺序不同将银行负债划分为优先债务、被保险存款债务和二级资本债。在此基础之上,本文对存款保险期权定价方法进行了改进,给出考虑银行资产、负债结构的存款保险定价模型,并在估计得到银行风险资产波动率以及银行优先债务市场价值的情况下,模拟测算了我国16家上市银行2016—2020年间不同存款保险投保比例下的费率水平,最后分析了各银行费率水平与其风险程度的相关关系。基本结论包括:研究期间我国上市银行存款保险费率水平整体偏低,且费率水平随被保险存款比例的上升而下降;存款保险费率水平与银行的风险资产占比正相关,与银行的二级资本债占比负相关,且与二级资本债占比的相关系数绝对值更大。

From the perspective of premium structure,more and more countries and regions are implementing the deposit insurance system of risk differential premium.The core of differential rate system is to require the premium rate level to reflect the different levels of risks faced by banks,but most differential rate pricing methods only focus on the volatility of total assets and total liabilities of banks,ignoring the impact of the structure of assets and liabilities on the risks faced by banks.From the asset side of the bank,different types of bank assets face different risks.Very safe asset portfolios may reduce the risk level of the bank,while other types of asset portfolios may increase the risk of the bank.Therefore,when calculating the deposit insurance premium level of the bank,the proportion of risky assets in its assets should be taken into account.Similarly,from the perspective of the bank’s liability side,the total liabilities of the bank can be divided into general debt and secondary capital debt composed of long-term debt and long-term bonds,etc.Secondary capital debt has become a line of defense for bank bankruptcy.Therefore,the proportion of secondary capital debt in a bank’s liabilities should also be considered as an influencing factor in determining its deposit insurance premium rate.Traditional deposit insurance option pricing methods usually take bank assets and liabilities as two whole parts,the premium rate can only reflect the volatility of the total assets of the bank,and it is usually assumed that the deposits of commercial banks are equal to their total liabilities and are all insured,so the calculated deposit insurance premium level ignores the impact of different asset and liability structures of different banks.Some scholars try to pay attention to the asset structure of banks in the research process of deposit insurance pricing,and some scholars pay attention to the impact of bank liability structure on deposit insurance premium rate.However,the existing studies tend to separate the detailed analysis of the asset side from the liability side,and few studies pay attention to the comprehensive impact of different structures of the asset side and the liability side of banks on their deposit insurance premium level.Considering the different structures of bank assets and liabilities,improving the traditional deposit insurance option pricing method and building a more accurate deposit insurance pricing model can make the calculated premium rate more accurately reflect the risk situation of banks,so as to better realize the fairness and accuracy of the differential premium rate.This paper firstly subdivides the asset structure and liability structure of the bank.According to the standard of whether there is default risk,the bank assets are divided into risk assets and risk-free assets.According to the different order of repayment,bank liabilities are divided into priority debt,insured deposit debt and secondary capital debt.On this basis,this paper improves the deposit insurance option pricing method,proposes a deposit insurance pricing model considering the structure of bank assets and liabilities,and simulates the annual deposit insurance premium level of 16 listed banks in China under the condition of estimating the volatility of bank risk assets and the market value of bank senior debt.Finally,the correlation between the rate of each bank and its risk degree is analyzed.The simulation and calculation data are taken from the Wind database during the study period from 2016 to 2020.The basic conclusions include:(1)The deposit insurance premium rate of listed banks in China during 2016-2020 is generally low:The average premium rate of China Merchant Bank is relatively high,followed by Bank of Ningbo and China Construction Bank,and other banks are relatively low;The deposit insurance premium rate of the banking industry in 2018 is relatively high,and the premium rate in the remaining years is relatively low;The level of deposit insurance premium decreases with the increase of the proportion of insured deposits.(2)The deposit insurance premium calculated in this paper is positively correlated with the ratio of risky assets of banks and negatively correlated with the ratio of secondary capital debt of banks;The correlation coefficient between the premium level and the ratio of secondary capital debt of banks is larger in absolute value;The deposit insurance premium rate can basically reflect the level of risks faced by banks.