CAJ | 학술논문

本文结合我国银行业特有的隐性保险和监管救助特点，在标准的期权定价方法和分析范式内，分别给出了零监管宽容和监管宽容下政府对银行的各种隐性救助概率和救助成本的测度公式，并基于我国上市银行可观测的股权价值序列等信息，估计了政府对它们的隐性救助概率和救助成本。研究表明：（1）在零监管宽容下，监管当局对上市银行以债务加权的隐性救助概率为1．59％，隐性救助成本占上市银行同期债务总值的0．04％；（2）监管当局对上市银行的隐性救助成本与其救助方式密切相关。且监管宽容极大地提高了其隐性救助成本，譬如当监管宽容系数p从1分别降至0．95和0．9时，其隐性救助成本占上市银行同期债务总值的比例将分别提高至0．07％和0．15％。同样地，本文结论适用于将来显性存款保险体制下，存款保险机构根据特定银行的历史风险特征或风险承担倾向，所应进行的风险调整的保险费率设计与定价要求。
본문결합아국은행업특유적은성보험화감관구조특점，재표준적기권정개방법화분석범식내，분별급출료령감관관용화감관관용하정부대은행적각충은성구조개솔화구조성본적측도공식，병기우아국상시은행가관측적고권개치서렬등신식，고계료정부대타문적은성구조개솔화구조성본。연구표명：（1）재령감관관용하，감관당국대상시은행이채무가권적은성구조개솔위1．59％，은성구조성본점상시은행동기채무총치적0．04％；（2）감관당국대상시은행적은성구조성본여기구조방식밀절상관。차감관관용겁대지제고료기은성구조성본，비여당감관관용계수p종1분별강지0．95화0．9시，기은성구조성본점상시은행동기채무총치적비례장분별제고지0．07％화0．15％。동양지，본문결론괄용우장래현성존관보험체제하，존관보험궤구근거특정은행적역사풍험특정혹풍험승담경향，소응진행적풍험조정적보험비솔설계여정개요구。
Combing with the implicit insurance practice and regulatory bailout characteristic of the banking industry in China, the paper puts forward multifarious measurement formulas for government＇s implicit bailout probabilities and bailout costs under the conditions of zero regulatory forbearance and regulatory forbearance respectively based on the standard option pricing approach and analysis framework. We estimate the dynamic charaeteristic parameters of asset values based on the observable equity values series of the listed banks, the implicit bailout probabilities and bailout costs are estimated as well. It is found that （ 1 ） the government＇s implicit bailout probability weighted by total liabilities of listed banks is 1.59%, the implicit bailout cost reaches to 0. 04% of the total liabilities values at the corresponding period. （2） The government＇s implicit bailout costs have close connections with its bailout modes, and regulatory forbearance significantly increases the government＇s implicit bailout costs. For example, the government＇s implicit bailout costs will rise to 0. 07% and 0. 15% of the total liabilities values at the corresponding period when the regulatory forbearance parameterdrops to 0. 95 and 0. 9 respectively. Similarly, these conclusions can be generalized and applied to the risk - adjusted premium design and pricing under the explicit deposit insurance system in future.