【作者】 杨晓燕；

【导师】 聂天洋；

【作者基本信息】 山东大学 ， 统计学， 2024， 硕士

【摘要】 在金融系统中,银行是市场不可缺少的一部分,其稳定运营关系着国家金融生态的安全。存款保险制度可以维护和保障银行业的稳定。合理的存款保险费率可以保障存款保险制度顺利实施,促进银行业发展,避免道德问题和逆向选择,同时也可以保障存款人的财产安全,对市场稳定发展具有重要作用。目前,对存款保险定价的研究大多是基于Merton提出的将存款保险看作是欧式看跌期权,使用期权定价的方法,并且假设市场是完备的。但是在瞬息万变的市场中,市场信息是不确定的,即市场是不完备的。因此,本文基于非线性期望理论将存款保险定价模型从完备市场推广至不完备市场,建立不完备市场下的存款保险定价模型,对上市银行的存款保险费率进行实证研究。首先,本文同时考虑了银行负债结构、监管宽容和清算成本三个现实因素,在此基础上修改了存款保险的赔付函数。为了使模型更加贴近市场应用,进一步推导得到不完备市场下考虑负债结构、监管宽容和清算成本因素的存款保险费率计算公式。考虑市场不完备性时,存款保险费率不再是一个固定的值,而是一个价格区间。其次,以往研究在存款保险定价模型中采用历史波动率作为波动率的度量,难以对未来风险趋势预测。因此,本文使用Informer模型预测波动率,预测结果更好地反映上市银行的风险情况,并且将预测的波动率应用于存款保险定价模型,使模型更具有适用性。最后,在实证分析中,从我国国有银行、股份制商业银行、城市商业银行和农村商业银行分别选取部分银行作为研究对象,测算他们的存款保险费率,并分析相关参数对存款保险费率的影响。实证结果发现国有银行、股份制商业银行、城市商业银行和农村商业银行的存款保险费率由低到高。各个银行存款保险费率的不同,证实了实行了风险差别费率的存款保险制度的必要性。同时发现期初负债资产比和资产价值收益的波动率呈正向变动;监管宽容系数和清算折扣率和存款保险费率呈反向变动;模糊系数k值越大,存款保险费率区间越大。更多还原

【Abstract】 In the financial system,banks are an indispensable part of the market,and their stable operation is related to the security of the country’s financial ecology.The deposit insurance system can maintain the stability of the financial sector.The key to the successful implementation of the deposit insurance system lies in determining a reasonable deposit insurance premium rate.A reasonable deposit insurance premium rate can promote fair competition among banks and avoid moral problems and adverse selection,while also protect the property safety of depositors,which is of great significance to market stability and sustained and healthy economic development.Currently,most of the research on deposit insurance pricing is based on Merton’s proposal of viewing deposit insurance as a European put option,using the option pricing method and assuming that the market is complete.But in a rapidly changing market,the market information is uncertain,i.e.,the market is incomplete.Therefore,this paper extends the deposit insurance pricing model from the complete market to the incomplete market based on the nonlinear expectation theory and establishes the deposit insurance pricing model under the complete market.First,This paper considers three realistic factors,namely,bank liability structure,regulatory forbearance system,and liquidation cost,modifies the compensation function of deposit insurance and further derives the formula for calculating the deposit insurance premium rate under the incomplete market by considering the factors of liability structure,regulatory forbearance system,and liquidation cost,to make the model closer to the actual market application.When considering market incompleteness,the deposit insurance premium rate becomes a price range rather than a fixed value.Second,previous research have used historical volatility as a measure of volatility in deposit insurance pricing models,making it difficult to predict future risk trends.This paper uses the Informer model to predict volatility,and the prediction results better reflect the risk profile of listed banks.The predicted volatility is applied to the deposit insurance pricing model to make the model more applicable.Third,in the empirical analysis,some banks are selected from China’s state-owned banks,joint-stock commercial banks,urban commercial banks,and rural commercial banks respectively as the research object to measure their deposit insurance premium rates,and the impact of relevant parameters on the deposit insurance premium rate is analyzed.The empirical results found that the types of banks with deposit insurance premium rates from low to high are:state-owned banks,joint-stock commercial banks,urban commercial banks,and rural commercial banks.The difference in the deposit insurance premium rate of each bank confirms the necessity of a deposit insurance system with risk-differentiated rates.It is also found that the greater the volatility of the initial liability-asset ratio and the return on asset value,the greater the deposit insurance premium rate;the smaller the regulatory tolerance coefficient and the liquidation discount rate,the greater the deposit insurance premium rate;and the greater the value of the fuzzy coefficient k,the greater the range of the deposit insurance premium rate.更多还原