以間斷式障礙選擇權數值模型評價具有破產成本之存款保險

Abstract

文獻中存款保險之討論有一個問題：大部分之保險評價模型都假設連續之時間資 料，但FDIC 只在固定的時間監管銀行。本研究中我們使用延伸之障礙選擇權數值模型 架構，考量間斷型之資料狀況，將銀行資本規範實務納入結構模型中考慮，進而分析存 款保險之介入點金額是否影響公允之保險定價。此方法可以對保險費率與監管政策之關 係提供新的瞭解，我們初期之結果也證實破產成本在存保定價中是不可忽略之重要因 素。

The pricing literature of deposit insurance has a drawback that most models are in continuous time while the FDIC monitors the banks periodically. In this study we discuss an adapted barrier pricing model with discrete monitoring of banks. The practice of bank capital regulation is embedded in our structural model. The numerical results show that varying the regulatory barrier is capable of determining a fair insurance premium. This numerical method could offer a new insight into the relationship between the insurance premium and the supervision policy. Furthermore, based on our preliminary results, the influence of the bankruptcy costs on deposit insurance cannot be ignored.