Research On Deposit Insurance Pricing Based On Expected Loss Pricing Model

The deposit insurance system is a basic institutional arrangement that protects the depositors' property,reduces bank run risks and maintains the stability of the financial market,which plays an important role in the modern financial safety net.So far a total of 113 countries and regions throughout the world have completed the establishment of a deposit insurance system.As the core of deposit insurance system,studying deposit insurance premium will be conducive to fair competition in the banking industry and promote the healthy development of financial institutions.This article will be devoted to combining with the actual situation of deposit insurance institutions in various countries,and taking into account the length and the shortcomings of various deposit insurance pricing model,put forward a suitable method for making deposit insurance rates in our country.Studying deposit insurance pricing model is a very practical issue.Over the years,scholars from all countries have put forward their own views on this,formed a variety of deposit insurance pricing model.This article focuses on the expected loss pricing model,first introduces the moral risk and adverse selection problems that affect deposit insurance pricing,and then introduces Merton option pricing model and its expansion,capital allocation pricing model and expectation loss pricing model,then summarizes the experience of deposit insurance pricing in major developed countries and region.Finally,based on the data of commercial banks in our country,we use the expected loss pricing method to measure the premium rate and improve the model.In the core part of this paper,we first divide our commercial banks into four levels based on the scale of commercial banks:state-owned,joint-stock,urban and rural commercial banks;secondly,using the expected loss pricing model to separately estimate the premium rates for each commercial bank;finally,given that the development of credit rating agencies is not yet mature in our country,this article draws lessons from the United States CAMELS credit rating system and adds systematic risk to perfect the model.Finally,the deposit insurance rate of commercial banks in our country is between 0.001%and 0.0473%of the benchmark rate of 0.016%coincide.