| 基于银行监管资本的存款保险定价研究 |
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| 引用本文： | 刘海龙,杨继光. 基于银行监管资本的存款保险定价研究[J]. 管理科学学报, 2011, 14(3): 73-82 |
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| 作者姓名： | 刘海龙 杨继光 |
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| 作者单位： | 刘海龙,LIU Hai-long(上海交通大学安泰经济与管理学院,上海,200052);杨继光,YANG Ji-guang(招商银行博士后科研工作站,深圳,518067) |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 结合存款保险定价的期权定价法和期望损失定价法,提出了利用银行破产时被保险存款的期望损失来定价存款保险的新思路,该方法的特点是存款保险定价不仅仅与银行资产的风险和收益有关,而且与银行资本持有状况和存款的参保比率有密切关系.通过理论推导得到了存款保险定价公式.运用极大似然估计方法与测算原理,实证研究了其敏感性、可行性与合理...
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| 关 键 词： | 存款保险 期权定价 监管资本 期望损失 |
Study of deposit insurance pricing based on the regulatory capital of commercial banks |
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| LIU Hai-long,YANG Ji-guang. Study of deposit insurance pricing based on the regulatory capital of commercial banks[J]. Journal of Management Sciences in China, 2011, 14(3): 73-82 |
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| Authors: | LIU Hai-long YANG Ji-guang |
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| Affiliation: | LIU Hai-long1,YANG Ji-guang2 1.Antai Economics & Management College,Shanghai Jiaotong University,Shanghai 200052,China,2.Postdoctoral Programme China Merehants Bank,Shenzhen 518067 |
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| Abstract: | Firstly,based on the option pricing method and the expected cost pricing method,we propose to price the deposit insurance using expected loss of the insured deposits when a bank goes bankrupt.In our model the price of deposit insurance is not only related to the risks and benefits of bank assets,but also to the bank's capital position and the ratio of insured deposits.Then,we give the pricing formula of deposit insurance through theoretical derivation.Finally,the empirical studies using the maximum likeliho... |
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| Keywords: | deposit insurance option pricing regulatory capital expected cost |
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