| Firstly, the paper investigated the status of overall deposit insurancesystem, especially the evolution and current approach of deposit insurancepricing system in the United States and China Taiwan. Now the UnitedStates and China Taiwan have adopted a hierarchical risk-based depositinsurance pricing system. Secondly, the paper applied both the credit riskmodel and the expected loss pricing model to empirically study on thedeposit insurance pricing for fourteen listed commercial banks in China.The model assumed that the equity returns of different banks follow amultivariate normal distribution. Taking the default correlation of differentbanks into consideration, the paper got the one-year deposit insurancepremium rate of fourteen listed commercial banks in China at the point ofSeptember of2012respectively. It showed that the results of depositinsurance premium rates of fourteen listed commercial banks in Chinacalculated by both credit risk model and expected loss pricing model areclose to the mean value of deposit insurance premium rate currentlypracticed by China Taiwan. The results are in line with the value ofexperience. However, the gap of deposit insurance premium rates ofdifferent listed commercial banks in China is quite large. After that, thepaper did the regression test of calculated deposit insurance premium rateof different listed commercial banks in China on their capital adequacyratio, non-performing loan ratio, equity return volatility and long-term debtto total debt ratio. It was found that the deposit insurance premium rate hada significant negative correlation with capital adequacy ratio and long-termdebt to total debt ratio, while had a significant positive correlation withnon-performing loan ratio and equity return volatility. According to the study, it is recommended that China can refer to the United States andChina Taiwan to take a risk-based deposit insurance premium rate rankedby capital adequacy situation, business risk, debt structure. |
