The Study On The Deposit Insurance Pricing In China Based On BS Model

With the development of financial derivatives and financial integration,the entire financial system is actually bounded together.And as an important part of the financial industry,the banking industry can't ignore its risk pre-control.In our country,the steady advancement of financial liberalization and interest rate marketization has provided conditions for integrated banking operations,but the external competition pressure of banks has also increased.How to prevent the run risk and avoid the crisis of the entire financial industry caused by the problems of individual banks is an important issue to be faced.The deposit insurance system is a financial security system established to protect the legitimate rights and interests of depositors and prevent and resolve financial risks in a time.China formally implemented the deposit insurance system in May 2015,and is still in the primary stage of the development of the deposit insurance system.Many countries in the world have established deposit insurance systems,which provides practical experience for the development of deposit insurance system in China.But different countries have different national conditions.While referring to the experience of other countries,it is also necessary to find a suitable method to determine the deposit insurance rate based on the national conditions.This thesis summarizes three deposit insurance pricing models based on the Black-Scholes-Merton option-pricing model,and calculates the deposit insurance premium rate based on each model.Through the comparison of the results,it is concluded that the calculation results of Ronn and Verma's model with the regulatory tolerance index are more in line with the actual conclusions.Next,this paper uses the Ronn and Verma's model to calculate the deposit insurance premium rate of Chinese listed banks for a period of half a year according to the provisions of the Deposit Insurance Regulations.The analysis results show that the deposit insurance premium rate of state-owned commercial banks is low,while that of other joint-stock commercial banks is uneven.In order to further explore the factors that affect the deposit insurance premi-um rate,this thesis selects two kinds of factors:macroeconomic indicators and banks' own risk indicators,and makes regression analysis on selected indicators based on the calculated deposit insurance premium rates of listed banks.Using the modified Frish method to deal with the multicollinearity problem,a regression model is established with GDP growth rate,single customer loan concentration,asset-liability ratio as explanatory variables,and the influence of these factors on the deposit insurance premium rate is obtained.For non-listed banks,although the stock market data needed in Ronn and Verma's model is lacking,this thesis uses the established regression model to calculate their deposit insurance rate.In order to make the calculation results more accurate,the time range for non-listed banks is consistent with that of listed banks.According to the calculation results,the deposit insurance premium rates of different types of banks vary widely,which also confirms the rationality and importance of adopting the deposit insurance rate consisting of the benchmark rate and the risk differential rate.