Study On The Institutional Risk Control And Pricing Of Deposit Insuracne

From the foundation in 1930s, deposit insurance has been a vital institution because of its importance in protecting the benefit of depositors and stabilizing the financial system. However,deposit insurance also brings about some risk that can decrease itself's effects, even destroy the stability of financial system if there has not effective measures to control, for example, moral risk and adverse selection.So ,this dissertation focuses on the cause and function of institutional risk, and risk control. On the base of the foreign research, the author firstly introduces the basic theory of deposit insurance, including the institution's foundation and development,main content, theoretical base,and functions, then deeply demonstrates the formation of moral risk and adverse selection with the theory of game and some mathematics models.The author thinks that moral risk is being born in financial system because of the bank's deposit financing mode and information asymmetry,and deposit insurance on one hand loosens the bank's pressure that comes from the depositor's supervising and choosing the deposit bank cautiously,on the other hand activates the bank's risk motive that can place a premium on institutional risk ,especially when the fixed premium ratio and voluntarily-entering are applied.Moreover,unreasonable arrangements in deposit insurance produce adverse seletion. After these,on the base of other country's successful practice the anthor brings forward the effective measures to control risk by the numbers.Among these measures, the risk-based pricing of deposit insurance is the core and key. So author introduces the option-pricing model and lose-estimated pricing method in detail,and does demonstration research of the volatility ratio of bank's asset. Then on the base of the contrast in the practice of risk pricing between America,Canada and Taiwan region, author brings forward 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 are classified into different levels, and each level is adapted to different premium ratio according to its'risk. At last, in view of the actual situation of China, the premium ratio of China's deposit insurance is estimated by the lose-estimated pricing method, and the cumulation of insurance fund is forecasted and simulated in 2006~2010, supposing that China's deposit insurance is set up in 2006.Finally, the policy advice to control institutional risk in China's deposit insurance is brought forward.