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监管宽容下资本展期的存款保险定价模型
引用本文:孙晓琳,秦学志,陈田.监管宽容下资本展期的存款保险定价模型[J].运筹与管理,2011,20(1).
作者姓名:孙晓琳  秦学志  陈田
作者单位:大连理工大学,管理学院,辽宁,大连,116024
基金项目:国家自然科学基金资助项目,教育部人文社科基金资助项目,教育部新世纪优秀人才支持计划基金资助项目,大连理工大学人文社会科学研究基金联合资助
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率水平,本文在监管宽容假设上,进一步引入资本展期因素,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

Deposit Insurance Pricing Model with Capital Extension under Regulatory Forbearance
SUN Xiao-lin,QIN Xue-zhi,CHEN Tian.Deposit Insurance Pricing Model with Capital Extension under Regulatory Forbearance[J].Operations Research and Management Science,2011,20(1).
Authors:SUN Xiao-lin  QIN Xue-zhi  CHEN Tian
Institution:SUN Xiao-lin,QIN Xue-zhi,CHEN Tian (School of Management,Dalian University of Technology,Dalian 116024,China)
Abstract:The deposit insurance system can release the risk of running on a deposit institution.Therefore it protects depositor's benefit.The characteristics of deposit insurance contract with regulatory forbearance are as follows: if the deposit institution insured is incapable of paying deposit off on due time,it will not be settled immediately during the range of regulatory forbearance,but will be subsidized by deposit insurance agency.In order to determine deposit insurance fees accurately,on the foundation of th...
Keywords:financial engineering  deposit insurance price  regulatory forbearance  capital extension  
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