存款保險之評價：信用風險模型之應用

The Valuation of Deposit Insurance: An Application of Credit Risk Model

李君屏(Jin-Ping Lee) ； 陳宏輝(Hong-Huei Chen)

《風險管理學報》 9卷1期 (2007/03) Pp. 5-25

https://doi.org/10.30003/JRM.200703.0001

摘要

中央存款保險公司於民國七十四年成立，成立初期，存款保險費率採單一費率制度。隨著我國金融自由化的發展，銀行經營風險的差異日益顯著，造成單一費率制度已不足以反映個別銀行的經營風險。因此，中央存款保險公司自民國八十八年七月起開始實施風險差別費率制度（risk-based premium rate），以期能合理反映個別銀行的風險。以往存款保險評價之相關研究，大都視存款保險為一賣權契約，只考慮銀行資產的單一風險，並未考慮銀行對存款保險公司整體存款保險組合風險之影響。本研究依循Maccario, Sironi and Zazzara（2003）的方法以及KMV公司所發展之信用風險模型，以台灣地區股票上市銀行之資料，視中央存款保險公司承保之全體銀行為一個存款保險組合，探討個別銀行對此存款保險組合的風險貢獻，在考慮此風險貢獻之影響下，估計台灣地區各股票上市銀行合理之存款保險費率。並將此結果與傳統上僅考慮銀行資產單一風險之存款保險評價模型（Ronn and Verma, 1986）所估計的存款保險費率做一比較。

關鍵字

存款保險 ； 存款保險組合 ； 信用風險模型 ； KMV模型 ； 風險差別費率 ； 風險貢獻

並列摘要

The Central Deposit Insurance Corporation (CDIC) was established on September 27, 1985. In the beginning, the banks were levied at a flat premium rate. Since the deregulation on the financial sector, the scope of the bank's activities becomes more diversified and widens the differences in the risks faced by banks. This trend has sparked debate over the fairness of the flat rate system. In order to harmonize premium rates with the different levels of risk presented by individual bank, CDIC adopted the risk-based premium rate regime in July 1999. The literature of deposit insurance valuation incorporate only the effect of the bank's asset risk and prices the deposit insurance as a put option. However, the previous studies did not consider the effect of the risk contribution of an individual bank to the whole deposit insurance portfolio held by the deposit insurance corporation. This study follows the work of Maccario, Sironi and Zazzara (2003) to estimate the premium rate of listed commercial banks in Taiwan while considering the risk contribution of the bank to the deposit insurance portfolio. In addition, we compare these results with those estimated by the traditional deposit insurance pricing model (e.g. Ronn and Verma, 1986).

並列關鍵字

Deposit Insurance ； Deposit Insurance Portfolio ； Credit Risk Model ； KMV Model ； Risk-Based Premium ； Risk Contribution

參考文獻

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