CAJ | 학술논문

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。
존관보험정개시아국추출존관보험제도성패적관건。근거IMF상관지인,은행적개치주요유기자산개치결정;이신대자산적개치여신대자산적질량밀절상관。침대아국상업은행적자산절대부분위신대자산적실제정황,아문대기업적자산개치진행료계산,병통과기권계산득도료은행신대자산적개치,장신대자산적개치여은행존관총량진행대비분석,진이득출료기우신용풍험적존관보험정개모형,병진행료실증분석。실증분석결과표명,해모형흔호지대아국은행진행료합리적존관보험정개。
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 proper- ty,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 banks＇ deposit total quantity with contrast, then we obtained credit risk-based pricing model of the deposit insurance, and carried on the real diagnosis analysis. The results show that we can get reasonable deposit insurance rates of Chinese banks through this method.