銀行資本寬容及跳躍風險對存款保險價值的影響

The Effects of Bank Capital Forbearance and Jump Risk on Deposit Insurance Valuation

鍾麗英(Ly-Inn Chung) ； 吳仰哲(Yang-Che Wu) ； 鍾佳玘(Chia-Chi Chung)

《中國統計學報》 51卷3期 (2013/09) Pp. 292-326

摘要

本研究在發展一個以風險為基礎的存款保險定價模型，其中我們考慮影響存款保險費率的數個因素：利率變動、銀行資本寬容、跳躍風險、財務槓桿度及道德風險，推導出一個保費的封閉解公式，並研究他們對存款保險價值的影響；數值實驗分析不同的費率來源影響，並與Merton（1977）賣權式的存款保險費率及Lee et al.（2005）考慮資本寬容下的存款保險費率作比較，也顯示資本寬容率、寬容期間、跳躍頻率、跳躍幅度、銀行存款負債相對於銀行資產比率及道德風險如何影響存款保險費率。

關鍵字

存款保險 ； 資本寬容 ； 道德風險

並列摘要

This paper develops a risk-based pricing model of deposit insurance. In this case, we considered some impact factors of deposit insurance premium rates which are stochastic interest rate, bank capital forbearance, jump risk, financial leverage and moral hazard for deriving a closed-form formula, and we studied the effects on the valuation of deposit insurance. In the other part, we utilized the numerical experiment to analyze the effects on different sources of premium rates, and compared it to the deposit insurance put of Merton (1977) and the deposit insurance premium rates under the capital forbearance of Lee et al. (2005). Moreover, we showed that how do capital forbearance rate, forbearance period, jump frequency, jump size, bank debt-to-asset ratio and moral hazard of bank affect premium rates as well.

並列關鍵字

Deposit Insurance ； Capital Forbearance ； Moral Hazard

參考文獻

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