监管宽容下资本展期的存款保险定价模型

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1、第20卷第1期运筹与管理V01．20，N。．I2011年2月OPERATIONSRESEARCHANDMANAGEMENTSCIENCEFeb．2011监管宽容下资本展期的存款保险定价模型孙晓琳，秦学志，陈田(大连理工大学管理学院．辽宁大连116024)摘要：存款保险制度可化解存款机构挤兑风险，从而保护了存款人利益。监管宽容的存款保险合约具有下列特征：在监管宽容范围内，若投保的存款机构在存款到期时无力偿还存款债务，并不立即对其破产清算，而允许其接受存款保险公司一定额度资金的救助。为准确厘定存款保险费

2、率水平，本文在监管宽容假设上，进一步引人资本展期因素，即接受救助的存款机构继续运营至资本展期结束；若在资本展期期末仍然资不抵债则再对其破产清算。基于上述情景，并且将救助资金作为存款机构的或有债务纳入保费中，本文结果构建了监管宽容下资本展期的存款保险定价模型，并严格推证了监管宽容力度、资本展期期限与存款保险价格的变化关系。结论显示。监管越宽容、资本展期越长、存款保险的价格也应越高。最后，应用所构建的定价模型，进行了实例分析。关键词：金融工程；存款保险价格；监管宽容；资本展期中图分类号：F840．682

3、文章标识码：A文章编号：1007-3221(2011)0l—0150—07DepositInsurancePricingModelwithCapitalExtensionunderRegulatoryForbearanceSUNXiao-lin，QINXue-zhi，CHENTian(SchoolofManagement，DalianUniversityofTechnology。Dalian16024，China)Abstract：Thedepositinsurancesystemcanreleas

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5、·diatelyduringtherangeofregulatoryforbearance，butwillbesubsidizedbydepositinsuranceagency．Inordertodeterminedepositinsurancefeesaccurately，onthefoundationoftheregulatoryforbearance，thisarticleintro-ducescapitalextensiofl，i．e．depositinstitutionsubsidize

6、dwilloperatefurtheruntilcapitalextensionends．How·ever，ifthedepositinstitutionisstillinsolvencywithitsassetsagainonthecapitalextensionend，thenitwillbeliquidated．Basedontheabovehypothesis，thisarticleconstructsadepositinsurancepricingmodelwithcapitalexten

7、sionunderregulatoryforbearanceincorporatingthesubsidyintoinsurancefees酗depositinstitution’Scon-tingentobligation．Itdepictsthecorrespondencebetweendepositinsurancepriceandregulatoryforbearanceandcapitalextensionthroughrigorousmathematicalderivation．Thec

8、onclusionindicatsthatthemoreofregulatoryforbearanceandthelongerofcapitalextension，thehigheristhepriceofdepositinsurance．AtlaSt，anempiricalanalysisispresentedwiththemodelconstructedinthisarticle．Keywords：financialengineering；depositinsur