模糊惩罚与宏观审慎监管下的存款保险去周期定价研究

Deposit insurance is an important guarantee to prevent the systemic risk of the banking industry. Deposit insurance premium rate based on Merton option pricing model can eliminate theoretically the adverse selection problem of deposit insurance. However, the pricing model has not yet taken into account the facts of the market ambiguity, and the insurance premium expropriation is doubtful of the pro-cyclicality effect. The project will introduce a new view of ambiguity penalty and propose a counter-cyclical pricing model of deposit insurance. In theory, this project will study the internal relation between insurance premium and ambiguity penalty via BSDEs tool. We consider the influence mechanism of pricing deposit under ambiguity penalty with the institutional factors of insurance regulatory forbearance, limitation of underwriting, liability structure influence, macro-prudential supervision, respectively. On the empirical aspect, this subject will use the U.S. options data to test the influence degree of ambiguity penalty of deposit insurance premiums, and compare with the classical models; Further, we will examine the influence degree of ambiguity of the stock market by China's 50 ETF options data in China, then will propose the suitable optimization strategy selection of China's deposit insurance pricing. The improvements of pricing deposit insurance will deepen the theory of pricing deposit insurance under the market oriented reform, provide references for regulatory authorities developing measures to determine fair rate and restrict the risk of moral hazard.

存款保险是防范银行业系统性风险的重要保障。基于Merton期权定价模型的费率厘定方法可以从理论上根除存款保险的逆向选择问题，但定价模型尚未考虑市场模糊状况的事实，且保费征收存在顺周期效应的应疑。本课题提出“模糊惩罚”新观点，建立市场模糊特征的去周期存款保险定价模型。在理论上，将利用倒向随机微分方程研究存款保险费率厘定与“模糊惩罚”的内在联系，并进一步考查监管宽容、限额承保、债务清偿结构、宏观审慎监管等条件在模糊惩罚下对保费厘定的影响机理。实证方面，将利用美国期权数据检验模糊惩罚对存款保险费率厘定的影响程度，并与随机波动率等经典模型加以对比检验；然后，将利用50ETF期权数据检验我国股票市场的模糊程度，进而将给出适宜我国存款保险费率厘定的优化策略选择。本课题对存款保险定价模式的改进和优化将丰富市场导向性的存款保险定价理论，为存款保险管理机构制定改进费率厘定、制约道德风险的政策提供参考。

大众信任是存款保险制度成功实施的前提保障，金融市场效率是存款定价模型可行的市场前提。本课题研究了储户对存款保险制度的信任机制及事件冲击对政府信任影响的相关研究，运用结构方程模型分析金融素养、风险感知及价值感知对存款保险制度信任的共同影响。分析了金融市场信息效率与模糊强度的测度，建立了“模糊惩罚”与存款保险期权定价模型法的内在联系，并分析了一类信息不对称与市场模糊下存款保险定价问题对应的平均场倒向重随机微分方程，建立了模糊惩罚视角下的周期调整的多期存款保险定价研究；并进行了市场模糊与区块链技术结合的拓展研究。本课题对存款保险定价模式的改进和优化将丰富市场导向性的存款保险定价理论。