银行储备金费率的一个新算法

New Method to Estimate Capital Charge Ratio

由Black-Scholes公式的欧式期权定价方法提出了计算银行资产储备金费率的一个新的数学方法,适用于指导中央制定金融储备金费率。在我国央行目前实行单一储备金费率条件下,具有一定的参考意义。据此从投保银行的角度来反向考虑,导出投保银行得到补偿率的一个上确界,并给出一个算例。

By Black-Scholes option pricing equation, we put forward a new simple method to estimate capital charge ration asked for the commercial bank in deposit insurance. The main contribution of the paper is that we model the upper limit of Compensate Ration that depositor can receive if the bank were bankrupt.