The Research On China's Deposit Insurance Pricing Of Considering Bank Debt

As a kind of financial security system,the deposit insurance system is mainly to protect and maintain depositors' profits and the stability of the banking system.But its running carried by its own problems(moral hazard and adverse selection problem).The core to solve these problems is to have a reasonable price.In the existing research,there are two methods to determine the deposit insurance rate:one is the option pricing model based on the bank market data;the other is a pricing method that measures the risk of the expected loss according to the bank's relevant accounting information.In the previous study of pricing,most of the assumptions that are the liabilities are all deposits.In order to better adapt to the specific situation in our country,we relax this assumption,considering the debt structure of the bank and estimating the appropriate deposit insurance rates based on the Merton model,the rate level obtained by this method has certain guiding significance to the proposed deposit insurance rates in our country.This paper starts with the theory of deposit insurance and game theory and its pricing at home and abroad,then applying the knowledge of game theory to establish the model to analyze the runs among the depositors,to reduce the influence of the risk of moral hazard to on financial system between depositors and Banks,regulators and between Banks,and we have to make a reasonable pricing,therefore,this paper applies the RV model to calculate rate of 16 listed Banks in China,and then relax assumption,considering pricing model to measure the rate of bank debt.Last,we apply the most widely the application scope of the expected loss of pricing model to estimate the rate again,and compare and analyze the result of three kinds of model.This article has six chapters.The first chapters mainly summarizes the research background,significance and progress of the deposit insurance system.The second chapter introduces the pricing theory of deposit insurance,including the influence factors and the effects of connotation.The third chapter is deposit insurance and game theory.Through the establishment of the pricing model without or with the deposit insurance,this chapter illustrates the risk among the depositors,the moral hazard after establishing deposit insurance between the bank and the regulator,the depositor and the bank.The forth chapter is the option pricing model and the empirical research.Firstly we introduce the relevant models of the option pricing.Next,we use the RV model to analyze the 16 banks listed in China,and then we analyze the influence of the regulatory tolerance coefficient and stock dividend rate on the rate.Finally,we establish the deposit insurance pricing model considering the bank debt,and at the same time,measuring the insurance rate of the China's 16 listed banks and analyzing the effect of debt structure on deposit insurance premiums.The fifth chapter predicts the loss pricing model and the empirical analysis.Firstly,we introduce the theoretical model,then we select the Standard&Poor's rating of listed banks to conduct an empirical analysis.Considering the highest pay limitation 500000 yuan which was prescribed in the regulations on the deposit insurance and formally implemented in our country on May 1,2015,that is to say,not all deposits are guaranteed,so the risk exposure is set to 99.63%.Finally,it compares the results with the empirical results of the two pricing models in chapter 4.In Chapter 6,we draw the conclusion on the basis of the previous chapters and put forward some suggestions on China's deposit insurance system,Last,we analyze the innovation and deficiency of this paper.