Research On Deposit Insurance Pricing Based On Expected Loss Pricing Model

The occurrence of the financial crisis has a huge impact on the global economy.Because the financial crisis is spread and contagious,once the losses are immeasurable,the impact on the banking industry bears the brunt.In order to reduce the large-scale bank run caused by the financial crisis and economic depression,countries have established deposit insurance systems.China has long implemented a hidden deposit insurance system.Until March 2015,China promulgated the Deposit Insurance Regulations and officially implemented the deposit insurance system.I became the 114 th country in the world to establish a deposit insurance system.The core issue of deposit insurance pricing is to determine reasonable pricing standards,so that it can prevent moral hazard and adverse selection,and effectively maintain the stability of the financial system.However,in the Deposit Insurance Regulations,only the benchmark rate and risk adjustment are adopted in China.The combination of rates does not stipulate the rate setting standards in China.The paper focuses on the pricing of deposit insurance.Firstly,based on the related concepts of deposit insurance pricing,the analysis of pricing formation and the analysis of related pricing theory are carried out.Then it summarizes the development of the global deposit insurance pricing system,and sorts out the mature deposit insurance system and pricing model in the United States and Taiwan,and determines the reasonable pricing method based on China's national conditions.Then try to use 16 kinds of listed banks in China,based on the expected loss pricing as the theoretical basis,combined with the revised KMV model to calculate the default loss rate,and then obtain the benchmark deposit insurance rate.Taking 16 listed commercial banks as an example to conduct risk rating differentiation and differentiated management,and finally form a risk-based deposit insurance pricing matrix and propose relevant policy recommendations.After the calculation of this article,from 2008 to 2009,affected by the economic crisis,the bank's default risk and risk rating are both high,and the calculated deposit insurance rate is also high,not universal.Since the economic stability in 2010,the expected default probability of China's listed banks has returned to normal levels,the risk rating has reached level 1,and the deposit insurance rate will be slightly floating,but basically stable.In the case of economic stability,the benchmark deposit insurance rate of China's commercial banks is between 0.1‰-1.5‰,and the deposit insurance rates of commercial banks in China range from 0.1‰-0.2‰;the deposit insurance rates of joint-stock commercial banks.The range is 0.2‰-1‰;the deposit insurance rate of city commercial banks ranges from 0.2‰ to 1.5‰;then it is slightly floating according to the benchmark rate combined with the risk rating,and finally,the final rate of state-owned banks is 0.1‰-0.5‰ The final rate of the joint-stock bank is 0.2‰-1.3‰,and the final rate of the city commercial bank is 0.2‰-1.8‰.It can be seen from the calculation results that this method of calculating the premium rate reflects the idea of risk difference.