Research On Deposit Insurance Pricing Model Based On Liquidity Risk Of Commercial Banks

With the continuous promotion and development of China's economy,the scale of credit in the financial sector continues to expand.How to protect the deposits of depositors and improve the stability of the financial system has become an important issue that Chinese financial regulators cannot avoid in the financial reform process.Since the implementation of deposit insurance in the United States,the deposit insurance system has been continuously improved.More than 100 countries in the world have completed the establishment and implementation of the deposit insurance system.As a financial system to protect the interests of depositors and maintain bank credit,the deposit insurance system has played an important role in maintaining financial order and has been recognized by more and more countries.The fundamental problem of the current deposit insurance system is that it may induce moral hazard and adverse selection.The root cause of these problems is that there is no reasonable rate setting structure.However,the problem of deposit insurance pricing is essentially how to measure the risk value of bank assets.Therefore,the reasonable estimation of the risk level of bank asset value becomes the key to deposit insurance pricing.When measuring the risk of bank assets,the traditional model is relatively one-sided.Most of them only consider the effect of market risk on assets,and mainly use the volatility of bank assets to reflect the risk.Modern banking industry faces not only market risk,credit risk and operational risk,but also liquidity risk.Liquidity risk arises mainly from the fact that banks failures to cope with liquidity difficulties caused by falling liabilities or increased assets.Liquidity is a necessary condition for commercial banks to maintain normal operating activities.When the liquidity of commercial banks is insufficient,it cannot rapidly reduce debts or realize assets to obtain sufficient funds at a reasonable cost.Even if the bank is solvent,it will face severe operational difficulties and even go bankrupt.Based on the introduction of traditional deposit insurance pricing theory and model,this paper proposes to introduce liquidity risk into deposit insurance pricing by including the liquidation discount factor in bank bankruptcy liquidation and introducing the bank technical bankruptcy,and adopts the Gap option pricing model.In addition,the traditional deposit insurance pricing models do not distinguish between time deposits and demand deposits,considering that the liabilities of banks are composed of two types of deposits,this paper also studies the deposit insurance pricing of demand deposits and analyzes the differential risks brought by the two types of deposits.In order to obtain the deposit insurance rate suitable for China,this paper conducts an analysis based on the data of 25 listed banks in China,calculates the deposit insurance rate under different circumstances,and compares the results.The results show that after considering the bank's liquidity problems,the deposit insurance premium rate has increased,and the insurance premium rate of time deposits is much higher than that of demand deposits.In addition,based on the results,this paper uses factor analysis and cluster analysis to classify 25 listed banks in China,and ranks the risk level of 25 listed banks based on the factor score.Finally,this paper puts forward some suggestions on the deposit insurance pricing system in China.