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風險基準存款保險費率之評價與敏感性分析

Valuation and Sensitivity Analysis of Risk-Based Deposit Insurance Premiums

摘要


80年代中期,由於銀行倒閉家數的急劇上升,美國累積了50年之存款保險賠款準備基金已消耗殆盡,引起學者專家對現行存款保險制度的質疑,並積極研討如何改善,建議採行風險基準存保費率便是主要的方向之一,其中又以應用選擇權理論最受重視。許多學者均曾以選擇權模式來評訂存款保險費率(如Merton,1977,1975等),由於他們在其評價模式內均假定無風險報酬利率為固定,因而得到存保費率與利率並無直接相關之結果。然而,利率風險通常被視為金融機構生存的最大威脅,所以在評估一個金融機構的存款保險價值時,必須將利率風險因素納入考慮才合理。因此本文乃放鬆Black & Scholes(1973)無風險利率為固定常數之假定,而讓無風險利率遵循隨機變動過程,重新推導賣權之評價公式,並用以衡量存款保險之價值,同時也進行敏感性分析,以了解各變數與存款保險費率之關係。本文最後導出一個較Merton(1977)更一般化的存保費率評價模式,而有關敏感性分析之主要結論為:如果一個銀行之資本比率提高、或資產報酬率與利率變動之相關係數變大、或無風險利率上升時,則其存款保險費率可以降低;當金融檢查間隔期間愈長、或銀行資產報酬率標準差由低逐漸增高時,則銀行存款保險費率也應逐漸提高。

並列摘要


Due to the sharp increase of bank failure cases in the middle 1980s, the Federal Deposit Insurance Corporation (FDIC) almost used up the deposit insurance fund accumulated for over 50 years. In order to solve the S&Ls crisis, the academicians hence investigate alternative reform proposals. Among them, Merton (1977) first applied the Black-Scholes option pricing model (OPM) to estimate risk-based bank-specific deposit insurance premiums. By following Merton's approach, this paper first introduces the theoretical application of OPM with stochastic interest rate to the valuation of deposit insurance premiums. Then, we compare our model with Merton's original version in which the interest rate is assumed to be constant, and show that Merton's model is just a special case of our generalized model. Finally, we perform the sensitivity analysis to examine how each factor change affects the deposit insurance premiums. We find out that the higher the capital adequacy, or the larger the coefficient of correlation between the return of asset and the change of the interest rate, or the higher the risk-free rate, the lower the risk-based deposit insurance premiums. Besides, we also see that the longer the auditing time or the higher the volatility of bank asset return, the higher the deposit insurance premiums.

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