Study Of Deposit Insurance Pricing Based On Regulatory Capital And Bankruptcy Costs Of Commercial Banks

In recent 30 years,many countries have happened financial crisis,especially the global financial crisis in 2008 triggered by the U.S.sub-prime crisis,which given a negative influence on every country's national economic security and financial sovereignty in some extent,and some countries are still in the phase of post-crisis recovery.So,the financial regulatory authorities should study how to guard against and defuse financial risks.One of the necessary measures to guard against financial risks is to build a firewall.Financial scholars have put forward many policies and measures for the prevention of financial risks,and deposit insurance system(DIS)is one of important components.DIS has a lot of elements,and the core element is the determination of deposit insurance premiums.On May 1,2015.China become the 114th country of formally implemented the explicit deposit insurance system of risk based premium.The core issue of the explicit deposit insurance system of risk based premium is the pricing of deposit insurance premiums,so the research of deposit insurance pricing has a very important theoretical and practical significance in our country.This article combines the deposit insurance pricing methods of option pricing and the expected loss pricing,and puts forward a new idea of deposit insurance pricing based on the bankruptcy cost and the expected loss of the insured deposits of commercial banks when they are in bankruptcy.The character of this method is that the deposit insurance premium is not only affected by the risk and earnings of bank assets,but also affected by the bank's own capital adequacy level,the ratio of insured deposit and the bankruptcy costs.This paper builds a formula of deposit insurance pricing based on regulatory capital and bankruptcy costs of commercial banks by using theoretical derivation,and estimates the relevant parameters by using maximum likelihood estimation method and option pricing theory.The deposit insurance premiums of China's 16 listed banks with time span of 2009 to 2014 is also calculated in this paper.In addition.This paper makes the sensitivity analyses of the influence of related parameters on the deposit insurance premium.