本文選題：存款保險 + 期權定價模型��； 參考：《西南交通大學》2012年碩士論文

【摘要】：存款保險制度是一項重要的基礎建設,是經(jīng)濟健康發(fā)展的重要保障,存款保險制度的建立,可以有效的防止金融危機的影響,減少危機帶來的社會成本。本文主要分析研究存款保險制度的期權定價模型及我國銀行存款保險費率的測算。 本文首先綜述國內(nèi)外己有研究成果。國外對存款保險定價研究模型已有一個系統(tǒng)的發(fā)展,目前主要是建立在期權定價模型和預期損失模型的理論基礎之上,但是,國內(nèi)關于存款保險定價的研究較少,大部分為介紹國外的模型,運用國內(nèi)數(shù)據(jù)進行實證測算較少。因此本文將對存款保險定價進行測算,通過實證分析,研究我國銀行存款保險。 其次,本文介紹了經(jīng)典的期權定價模型,主要是Merton(1977)的模型和RonnVerma (1986)模型。期權定價模型將存款保險看作是一個看跌期權,運用Black-Scholes期權定價公式,進而對存款保險的定價進行分析。 再次,本文對存款保險合理定價的意義進行闡述,并分析存款保險在我國的定價問題。本文從資產(chǎn)規(guī)模和不良貸款狀況兩個方面分析銀行風險狀況,將我國銀行分成三類,分別是國有銀行、股份制商業(yè)銀行和其他金融機構的風險狀況。 然后,本文測算了股份制商業(yè)銀行、國有銀行以及其他金融機構的保險費率,進行了實證研究,并對研究結果進行分析和修正。測算結果顯示,國有銀行的費率范圍為0.006%-0.023%。股份制商業(yè)銀行間的數(shù)據(jù)差別較大,招商銀行、中信銀行的費率均比較低,而浦發(fā)銀行和民生銀行的費率則較高。股份制商業(yè)銀行的費率范圍為0.028%-1.6%。城市商業(yè)銀行費率相對適中,范圍為0.089%-0.33%。 最后,本文對完善我國存款保險定價提出幾點建議,在分析本研究的不足之處的基礎上,對我國存款保險定價提出相關建議。目前,我國存款保險的基本費率可定在0.015%-0.018%之間。同時,各類銀行的性質(zhì)及業(yè)務不僅相同,這使得它們的風險有著著系統(tǒng)性的差別,因此可以在不同類別的金融機構之間實行有差別的的存款保險費率,而對同一性質(zhì)的金融機構,采取單一費率。
[Abstract]:Deposit insurance system is an important infrastructure construction and an important guarantee for the healthy development of economy. The establishment of deposit insurance system can effectively prevent the impact of financial crisis and reduce the social cost brought by the crisis. This paper mainly analyzes the option pricing model of deposit insurance system and the calculation of deposit insurance rate in China. This paper first summarizes the domestic and foreign research results. There has been a systematic development of deposit insurance pricing model abroad, which is mainly based on the theory of option pricing model and expected loss model. However, there is little research on deposit insurance pricing in China. Most of the models introduced abroad, the use of domestic data empirical measurement is less. Therefore, this paper will measure the deposit insurance pricing, through empirical analysis, the study of bank deposit insurance in China. Secondly, this paper introduces the classical option pricing model, mainly Merton (1977) model and Ron Verma (1986) model. The option pricing model regards deposit insurance as a put option and analyzes the pricing of deposit insurance by using Black-Scholes option pricing formula. Thirdly, this paper expounds the significance of rational pricing of deposit insurance, and analyzes the pricing of deposit insurance in China. This paper analyzes the risk situation of banks in terms of asset size and non-performing loans, and divides Chinese banks into three categories, namely, state-owned banks, joint-stock commercial banks and other financial institutions. Then, this paper calculates the premium rates of joint-stock commercial banks, state-owned banks and other financial institutions, carries on empirical research, and analyzes and corrects the research results. The results show that the rate range of state-owned banks is 0.006-0.023. The data of joint-stock commercial banks differ greatly. The rates of China Merchants Bank and Citic Bank are all relatively low, while the rates of Pudong Development Bank and Minsheng Bank are higher. The rate range of joint-stock commercial banks is 0.028-1.6. The city commercial bank rate is relatively moderate, the range is 0.089-0.33. Finally, this paper puts forward some suggestions to improve the pricing of deposit insurance in China. Based on the analysis of the deficiencies of this study, the paper puts forward some suggestions on the pricing of deposit insurance in China. At present, the basic rate of deposit insurance in China can be set at 0.015-0.018%. At the same time, the nature and business of various types of banks are not the same, which makes their risks systematically different, so that different deposit insurance rates can be applied among different types of financial institutions. For financial institutions of the same nature, a single rate is adopted.
【學位授予單位】：西南交通大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.1;F224

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本文編號：2070226