Abstract: It is generally considered that the overall costs of bank failures are higher than those in other industries. This is due to the existence of negative externalities of bank failures, which may lead to additional loss of the default banks' assets. This paper establishes a pricing model of deposit insurance with consideration of bankruptcy externalities. It is taken into account that each default bank's bankruptcy cost involves not only its assets loss caused by liquidation but also the externalities that may increase other banks' bankruptcy cost. Expected loss pricing method is used to calculate the net premium of deposit insurance while the additional premium is determined utilizing Shapley value. The total premium accordingly reflects each bank's marginal contribution to the total bankruptcy cost of the whole banking system. Three scenarios are constructed to test the model. The results show that it is negatively correlated between the premium and the banking system's acquisition ability of the bankruptcy assets, and this correlation becomes more significant when the economic situation deteriorates. Meanwhile, the number of insured banks in the banking system impacts the premium negatively.

Key words: finance, pricing model, Shapley value, deposit insurance

摘要： 运用存款保险的期望损失定价方法和Shapley值法,建立了考虑银行违约/破产外部效应的存款保险定价模型。模型中度量的破产成本不仅考虑了银行破产清算过程中其自身资产价值的损失,还考虑了银行违约/破产的负外部效应——可能增加其他银行的破产损失,据此确定的存款保险保费反映了各银行对系统总破产成本的边际贡献。为验证模型效果,构造了三种情景进行模拟分析,结果表明:存款保险保费与银行系统对破产银行资产的收购能力负相关,且负相关程度随经济形势的恶化而加剧;保费与整个银行系统参保银行数目之间也呈负相关关系。

关键词: 金融, 定价模型, Shapley值, 存款保险