存款保險制度風(fēng)險控制及定價研究.pdf

1、重慶大學(xué)碩士學(xué)位論文存款保險制度風(fēng)險控制及定價研究姓名：陳海龍申請學(xué)位級別：碩士專業(yè)：金融學(xué)指導(dǎo)教師：@20060401重慶大學(xué)碩士學(xué)位論文 英文摘要IIABSTRACTFrom the foundation in 1930s, deposit insurance has been a vital institutionbecause of its importance in protecting the benefit of depo

2、sitors and stabilizing thefinancial system. However,deposit insurance also brings about some risk that candecrease itself’ s effects, even destroy the stability of financial system if there has noteffective measures to c

3、ontrol, for example, moral risk and adverse selection.So ,thisdissertation focuses on the cause and function of institutional risk, and risk control.On the base of the foreign research, the author firstly introduces the

4、basic theoryof deposit insurance, including the institution’ s foundation and development,maincontent, theoretical base,and functions, then deeply demonstrates the formation of moralrisk and adverse selection with the th

5、eory of game and some mathematics models.Theauthor thinks that moral risk is being born in financial system because of the bank’ sdeposit financing mode and information asymmetry,and deposit insurance on one handloosens

6、the bank’ s pressure that comes from the depositor’ s supervising and choosingthe deposit bank cautiously,on the other hand activates the bank’ s risk motive that canplace a premium on institutional risk ,especially when

7、 the fixed premium ratio andvoluntarily- entering are applied.Moreover,unreasonable arrangements in depositinsurance produce adverse seletion. After these,on the base of other country’ s successfulpractice the anthor bri

8、ngs forward the effective measures to control risk by the numbers.Among these measures, the risk- based pricing of deposit insurance is the core andkey. So author introduces the option- pricing model and lose- estimated

9、pricing method indetail,and does demonstration research of the volatility ratio of bank’ s asset. Then on thebase of the contrast in the practice of risk pricing between America,Canada and Taiwanregion, author brings for

10、ward the way of risk- based pricing in China’ s deposit insurance:risk- classified pricing, that is to say, according to the risk and asset all insured banks areclassified into different levels, and each level is adapted

11、 to different premium ratioaccording to its’ risk. At last, in view of the actual situation of China, the premium ratioof China’ s deposit insurance is estimated by the lose- estimated pricing method, and thecumulation o

12、f insurance fund is forecasted and simulated in 2006~2010, supposing thatChina’ s deposit insurance is set up in 2006.Finally, the policy advice to control institutional risk in China’ s deposit insurance isbrought forwa