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摘要近20年来，由于金融管制的放松以及逐渐加快的经济全球化进程，各国政府都将工作重点放在了文护金融系统稳定上，金融系统中的银行体系又是整个金融体系稳定的重要组成部分。而存款保险是文护银行系统问题的一项重要工具，它能够保护存款人利益，并对银行系统的稳定起到重要作用。在存款保险制度中，存款保险费率的制定和计算又是重中之重的内容，恰当的存款保险费率的制定才能保证存款保险制度的有效实施，减轻道德风险和逆向选择的产生。所以本文将研究重点放在了对存款保险费率的研究上，并利用预期损失定价模型对我国的存款保险费率进行了估计。
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本文前半部分主要介绍了存款保险制度的研究背景、意义以及国外现有的存款保险制度的现状和发展，其中着重介绍了美国和日本两个国家，并将研究重点放在了两个国家存款保险的历史费率变动情况上。本文的后半部分为本文的重点研究段落，主要研究了现行的两种主流费率计算方法—单一费率和风险调整费率，并对这两种费率制度所引发的道德风险和逆向选择问题进行研究。同时对我国存款保险制度的现状进行了介绍，并利用预期损失定价模型，对违约损失率、风险敞口和预期违约率进行了计算。其中本文对于预期违约率的计算又分为市场分析法和利用信用评级机构的评级两种方法。市场分析法的计算主要是根据我国15家前列银行年度报表中的存款以及资产数据计算得出；信用评级法主要是利用我国12家优秀银行在标准普尔和穆迪评级中的评级计算存款保险费率。32298
关键词 存款保险 单一费率 风险调整费率 预期损失定价模型
毕业论文外文摘要
Title: The rate calculation of the deposit insurance system and the analysis of its basic problems
Abstract:
In the past 20 years, due to the relaxation of financial regulation and quickly process of economic globalization, governments need to focus on maintaining the stability of the financial system and the banking system in financial institutions is an important part of the stability of the financial system. We can see that deposit insurance which can protect the interests of depositors and the stability of the financial system is an important tool to protect the banking system. In the deposit insurance system, the computation of the deposit insurance premium is the most important content in this system. Only if the government formulates the proper deposit insurance premium, deposit insurance enable to ensure the effective implementation of the deposit insurance system and reduce the moral hazard and adverse selection. So this thesis will focus on the deposit insurance rate and use the expected loss pricing model to estimate the deposit insurance rate of our country.
In this thesis, the first part mainly introduces the background and significance of deposit insurance system and the development of existing foreign deposit insurance system, which focuses on the United States and Japan. The thesis will describe the change of these two historical deposit insurance rate. The latter part is the most significant part of this thesis. This part mainly introduces two current mainstream deposit insurance rates—single rate and risk adjusted rates, which may cause the moral hazard and adverse selection problems. At the same time, the status of deposit insurance system in China is introduced and the expected loss pricing model is used to calculate the default loss rate, exposure risk and expected default rate. Also, the calculation of the expected default rate is pided into the market analysis method and the use of credit rating agencies rating. Market analysis method is mainly calculated according to China's 15 top banks’ annual report of deposits and assets data. Credit rating method is mainly calculated the deposit insurance premium by using 12 Chinese outstanding bank ratings at standard & Poor's and Moody's rating.