信用风险与存款保险定价：方法与实证

存款保险定价是我国推出存款保险制度成败的关键。根据IMF相关指引,银行的价值主要由其资产价值决定;而信贷资产的价值与信贷资产的质量密切相关。针对我国商业银行的资产绝大部分为信贷资产的实际情况,我们对企业的资产价值进行了计算,并通过期权计算得到了银行信贷资产的价值,将信贷资产的价值与银行存款总量进行对比分析,进而得出了基于信用风险的存款保险定价模型,并进行了实证分析。实证分析结果表明,该模型很好地对我国银行进行了合理的存款保险定价。

Credit Risk and Deposit Insurance Pricing: Methods and Empirical Study

Designing reasonable deposit insurance pricing method is the key to deposit insurance system.Directed by the IMF,the bank value is mainly determined by its property value.But credit property value has close correlation with credit property quality.In view that the major part of the property of China's commercial banks is credit property,we carried out the computation to enterprise's property value,obtained the banks' credit property value by option computation,and analyzed the credit property value and the ...