台灣銀行業存款保險費率、資本寬容與金檢頻率之研究

A Study of Deposit Insurance Pricing, Forbearance and Examination Schedules in Taiwan Banking Industry

巫春洲(Chun-Chou Wu) ； 周恆志(Heng-Chih Chou)

《管理科學研究》 5卷1期 (2008/06) Pp. 39-59

https://doi.org/10.6873/MSR.200806_5(1).0003

摘要

本文在Merton（1977）選擇權評價法的架構下，加入Vasicek（1977）隨機利率行程，並引用Duan（1994，2000）的最大概似估計法（MLE）來估計台灣銀行業的存保費率。我們發現實際的存保費率遠低於理論費率，顯示中央存保公司在存款保險費率方面補貼銀行。其次本文發現台灣銀行業的存保契約中所隱含的資本寬容率相對較低，這個結果可以解釋為何台灣之金融機構發生破產清算的處分頻次並不高。最後，本文發現台灣銀行業現行存保契約中所對應的定期金融檢查頻率遠低於每半年一次。換言之，若要維持現行偏低的保費制度下，中央存保公司應該增加對銀行的定期金檢頻率。

關鍵字

存款保險 ； 隨機利率 ； 資本寬容 ； 金檢頻率

並列摘要

The study estimates the costs of deposit insurance of Taiwan's banks by using Merton (1977) option pricing model with Vasicek (1977) stochastic interest rate process. The study includes two parts: firstly, with the parameter values, .97 of forbearance and .5 of maturity, we calculate the costs of deposit insurance, and do the sensibility analysis. Secondly, because the estimated cost of deposit insurance is higher than the actual cost, we imply the forbearance and maturity from the actual cost of deposit insurance and option pricing model. The study is different from the previous research in two dimensions: we use Duan (1994, 2000) MLE approach to estimate the model parameters; and we imply the forbearance and maturity of Taiwan's deposit insurance contracts. The results of the study can explain why banks in Taiwan seldom bankrupt by the implied low forbearance rate.

並列關鍵字

Deposit insurance ； Stochastic Interest Rate ； Capital Forbearance ； Examination Schedules