科学决策
科學決策
과학결책
Scientific Decision-Making
2013年
9期
47~62
,共null页
Merton模型 RV分析方法 监管外部性 系统性风险 风险分散
Merton模型 RV分析方法 鑑管外部性 繫統性風險 風險分散
Merton모형 RV분석방법 감관외부성 계통성풍험 풍험분산
Merton model ; RV approach ; bank regulation extemality ; system risk; risk diversifica- tion
存款保险定价模型应建立在所面临的违约风险水平基础上，现行的Merton模型和违约预期损失定价模型忽略了银行资产负债结构、监管外部性、非系统性风险相关性和银行规模等风险因素的影响，因而采取改变风险敞口额、加强监管协调提高监管宽容参数、统一国家范围承保和建立二元保费定价机制等措施可实现存款保险价格与违约风险水平相一致的目标，促进存款保险机制的合理健康发展，为我国今后建立存款保险定价机制提供一定的参考。关键词：Merton模型；RV分析方法；监管外部性；系统性风险；风险分散
存款保險定價模型應建立在所麵臨的違約風險水平基礎上，現行的Merton模型和違約預期損失定價模型忽略瞭銀行資產負債結構、鑑管外部性、非繫統性風險相關性和銀行規模等風險因素的影響，因而採取改變風險敞口額、加彊鑑管協調提高鑑管寬容參數、統一國傢範圍承保和建立二元保費定價機製等措施可實現存款保險價格與違約風險水平相一緻的目標，促進存款保險機製的閤理健康髮展，為我國今後建立存款保險定價機製提供一定的參攷。關鍵詞：Merton模型；RV分析方法；鑑管外部性；繫統性風險；風險分散
존관보험정개모형응건립재소면림적위약풍험수평기출상，현행적Merton모형화위약예기손실정개모형홀략료은행자산부채결구、감관외부성、비계통성풍험상관성화은행규모등풍험인소적영향，인이채취개변풍험창구액、가강감관협조제고감관관용삼수、통일국가범위승보화건립이원보비정개궤제등조시가실현존관보험개격여위약풍험수평상일치적목표，촉진존관보험궤제적합리건강발전，위아국금후건립존관보험정개궤제제공일정적삼고。관건사：Merton모형；RV분석방법；감관외부성；계통성풍험；풍험분산
The deposit insurance pricing model is based on the default risk level, and the present Merton model and expected loss pricing method overlook factors of default risk level from bank assert and liability structure, bank regulation externality, the correlation in unsystematic risk and bank size, thus it can take measures such as changing risk exposure, strengthening supervision coordination to raise regulatory forbearance parameter, constructing unified national and dual pri- cing system in order to maintain consistent between the price and risk level, which promotes healthy development of deposit insurance mechanism and provides reference for the future Chi- nese establishment of deposit insurance pricing system.
