The Chinese Listed Banks Deposit Insurance Pricing Based On B-S Option Pricing Model

Deposit insurance system is a social protection system that protects all or part of the legitimate interests of creditors and maintains the stability of the financial system when the financial institutions absorbed in deposits have payment difficulties or a loss of liquidity. Its main purpose is to protect national financial system preventing the phenomenon of large-scale cash of protecting their legal property when one bank have big problems. Deposit insurance have moral hazard and adverse selection, deposit insurance Pricing can solve the moral hazard and adverse selection. Currently there are two relatively mature deposit insurance pricing model, this paper is based on B-S option pricing model.The thesis is studied on deposit insurance, based on the foreign experience and theory. It discusses the feasibility of implementing deposit insurance system in China, the option of deposit insurance, the deposit insurance pricing model based on B-S option, then simulated Chinese listed banks by model and make policy recommendations of Chinese deposit insurance system. The main thesis is organized as follows:Firstly, the paper elaborates the deposit insurance system related theory, Introduces the basic concepts of deposit insurance including the definition, function;deposit insurance pricing and the relationship between deposit insurance; the development of deposit insurance pricing model, all of which provide theoretical support for the deposit insurance pricing research.Secondly, the thesis researches the feasibility of the deposit insurance system in China, focusing on the status of our deposit insurance, the need of implementing, and the conditions of implementing .At last obtains that the deposit insurance system can be introduced in our current economic situation.Thirdly, the paper firstly explains the characteristics of deposit insurance options, then designs the pricing model of deposit insurance based on option pricing model, introducing two parameters of the regulatory forbearance and uninsured deposits rate. Our country listed bank deposit insurance rates conclude through simulation and analysis the data collected on China's commercial banks deposit insurance system .Finally, combining the actual situation in our country, the deposit insurance system in China was discussed and proposed safeguards by the previous research results.