The Chinese Deposit Insurance Pricing Based On Modified Black-Scholes Formula

Banking as the core of the financial industry.It is a financial institution that operates money and credit business.It has the characteristics of risk and instability by issuing credit currency,managing the circulation of money,adjusting the supply and demand of money,handling money deposit and settlement and settlement as credit intermediaries.Many countries in the world through the establishment of deposit insurance system to pre-control and regulate the banking industry.After 22 years,the "Deposit Insurance Regulations" since May 1,2015 in China began to implement.Through the development of the past two years,the deposit insurance system has been fruitful,but it has a long way to go.In this context,the paper studies the pricing of China's deposit insurance based on BS model.This paper starts from the domestic and foreign deposit insurance pricing theory,and then selects the deposit insurance pricing method suitable for China,and deduces the revised pricing model of deposit insurance,and then simulates the deposit insurance rate of a rural commercial bank in China Finally,based on the model,the conclusion of the case to China's deposit insurance policy to provide some suggestions.The full text is divided into five parts,from the theory to practice,from the domestic and international research to the problem of the proposed path to start,and finally to modify the model derived,and then draw the conclusions of this paper.The first part is the introduction,first introduced the background of the deposit insurance system,and the research significance of the paper,the research framework was introduced.The second part of the domestic and foreign deposit insurance system and the development of deposit insurance pricing in-depth study,summed up domestic and foreign scholars on the deposit insurance system for the majority of negative attitude,for the study of deposit insurance pricing,foreign scholars in this The paper puts forward a large number of deposit insurance models from different perspectives,including:First,the pricing model of the stock is derived from the stock market;the second is the data from the expected loss pricing model;third is the information economics oriented Pricing model at the theoretical level.The research of Chinese scholars started late,only a few scholars can use foreign mathematical models to measure the deposit insurance premiums in China.Combined with the basic characteristics of China's proposed amendments to the model is a very small number.The third part mainly discusses the theory of deposit insurance pricing,and compares the three models of deposit insurance pricing.The preliminary conclusion is that the data pricing model derived from the stock market is more suitable for the study of deposit insurance pricing in China.The fourth part mainly introduces the main body of this paper-based on the classic Black-Scholes option pricing initiated by Merton,introduces the income tax and supervision tolerance parameters,and extends the supervision of tolerance.That is,in the implementation of regulatory tolerance policy when it is divided into temporary intervention and injection help fund two stages,the model in the treatment is considered?i and ?2(?1<?2(?1))the two regulatory tolerance limits.On this basis,the nature of the form given the income tax parameters,the two regulatory tolerance parameters alone,mutual coordination on the impact of deposit insurance prices.Which includes the relationship between the income tax rate(TE)and the reverse of the deposit insurance pricing(H(0));the relationship between the regulatory tolerance coefficient(?1)and the pricing of the deposit insurance(H(0));the relationship between the tolerance coefficient of the supervision(?2)and the pricing of the deposit insurance(H(0));the tolerance coefficient(?2),the income tax rate(TE)and the deposit insurance Pricing(H(0))is reverse relationship;regulatory tolerance coefficient(?1),income tax rate(TB)and deposit insurance pricing(H(0))in the same direction.Finally,combined with the conclusion of the study,MATLAB analysis of the model to simulate a very practical reference to the optimal pricing range of 0-0.0014,and China's deposit insurance pricing related issues such as to further enhance the large listed commercial banks and other insurance business Bank information disclosure mechanism and other policy recommendations.The significance of this study is to make a comprehensive study of the deposit insurance pricing model,and then to propose a model of deposit insurance pricing in China,and then use the annual data of a rural commercial bank to measure the insurance rate.China's deposit insurance policy put forward some suggestions,and hope to be able to China's deposit insurance research play a certain role in promoting.