系统风险不同预期下的存款保险费率测算

doi:10.12005/orms.2019.0065

运筹与管理 ›› 2019, Vol. 28 ›› Issue (3): 127-138.DOI: 10.12005/orms.2019.0065

系统风险不同预期下的存款保险费率测算

吕筱宁

东北财经大学金融学院,辽宁大连 116024

收稿日期:2017-06-07 出版日期:2019-03-25
作者简介:吕筱宁(1983-),女,辽宁大连人,东北财经大学金融学院讲师,博士,研究方向为金融保险。
基金资助:
国家自然科学基金资助项目(71601035);国家社科基金资助项目(2016CJY080);国家社科基金资助项目(2017BJY204)

The Estimation of Deposit Insurance Premium underDifferent Systemic Risk Expectation

LV Xiao-ning

School of Finance, Dongbei University of Finance and Economics, Dalian 116024, China

Received:2017-06-07 Online:2019-03-25

摘要/Abstract

摘要： 将影响银行资产价值的风险因素分解为系统风险因素和银行特定风险因素,进而在系统风险因素点估计和区间估计的不同预期下测算银行存款保险费率水平,得到的费率能够反映银行资产风险随经济形势波动的变化情况。通过模拟测算了我国16家上市银行2008~2016年间特定经济形势情境下的存款保险费率水平,并在极端压力下与传统Merton费率进行了比较。得到的基本结论包括:不同年度不同银行费率对系统风险因素的敏感程度不同;经济形势尾部极端分布对费率的影响具有非对称性特点,风险极高区间对费率的贡献远大于风险极低区间;与传统的Merton费率相比,系统风险特定预期下测算的费率更契合经济形势的变化,这在存款保险制度运行初期,有利于增强基金的抗压能力。

关键词: 存款保险, 系统风险因素, 费率测算

Abstract: The risk factor that affects the value of bank assets is decomposed into systematic risk factor and bank idiosyncratic risk factor, so as to estimate the deposit insurance premium under different systemic risk expectations. Thereby the premium obtained reflect changes of the banks’ assets risk along with the economy fluctuation. By simulating certain circumstances, the deposit insurance premium that considering specific systemic risk across nine years(2008~2016)of 16 listed banks in China are obtained. And a comparison of the corresponding premium with the traditional Merton premium is made under extreme pressures. The basic results show that the sensitivities of the positively correlated relationship between the deposit insurance premium and the systematic risk are different among different banks as well as different years. The extreme tails of the systematic risk distribution affect deposit insurance premium asymmetrically, meaning that the high risk tail makes more contribution to the average premium than the low risk tail. Meanwhile, the premium estimated by particular systematic risk fit economic situations more than the Merton premium. Hence, this kind of premium may strengthen the pressure resist ability of the deposit insurance fund especially when the system is at the starting stage.

Key words: deposit insurance, systematic risk, premium estimation

中图分类号:

F830.48

吕筱宁. 系统风险不同预期下的存款保险费率测算[J]. 运筹与管理, 2019, 28(3): 127-138.

LV Xiao-ning. The Estimation of Deposit Insurance Premium underDifferent Systemic Risk Expectation[J]. Operations Research and Management Science, 2019, 28(3): 127-138.

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系统风险不同预期下的存款保险费率测算

The Estimation of Deposit Insurance Premium underDifferent Systemic Risk Expectation

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[2]	吕筱宁, 秦学志. 考虑银行破产外部效应的存款保险定价模型[J]. 运筹与管理, 2014, 23(2): 206-212.