篇名 | 監理姑息與存款保險定價:兼論Ronn-Verma以選擇權為基礎之評價模型 |
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卷期 | 16:1 |
並列篇名 | Regulatory Forbearance and Deposit Insurance Pricing: A Comment on the Ronn-Verma Option-Based Model |
作者 | 林容竹(Lin, Jung-chu) |
頁次 | 93-114 |
關鍵字 | 監理姑息 、 選擇權定價模型 、 風險基準之存款保險費 、 定價過低或過高 、 Regulatory forbearance 、 Option pricing model 、 Risk-based deposit insurance premium 、 Under- or over-pricing 、 Scopus 、 TSSCI |
出刊日期 | 200512 |
本文以臺灣上市銀行為樣本檢視監理姑息與存款保險定價兩者間之關係。首先回顧以選擇權定價模型評估風險基準保險費率之文獻;接著,應用Ronn-Verma選擇權定價模型分析臺灣上市銀行在不同的監理姑息環境下對存款保險費率之影響效果;我們發現所估計出來的保險費率不僅隨著時間的經過增加,也隨著監理姑息的程度而增加,且不同的監理姑息程度將導致定價過高或過低不同的推論;因此,我們的結論是存款保險機構是否高估或低估存款保險費率端視其監理姑息程度而定 。監理姑息程度愈高,被保機構承擔的風險愈高,則將被索取較高的費率:監理姑息程度低者,被保機構承擔的風險較低,則被收取的費率會較低。
This paper examines the relationship between regulatory forbearance and the pricing of deposit insurance for listed commercial banks in Tawian. After first reviewing the literature regarding the application of the option pricing models to assess the risk-based deposit insurance premiums, we then apply the Ronn-Verma option pricing model to empirically examine the effect of alternative schemes of regulatory forbearance on the deposit insurance premiums of Taiwan's listed commercial banks. We find that the estimated deposit insurance premiums, in addition to increasing with time, are also increasing with the degree of regulatory forbearance, and different degrees of regulatory forbearance will lead to different inferences regarding over-or under-charging. Thus, we conclude that the extent to which the deposit insurance agency under-or over-prices the deposit insurance premiums will depend on the degree of regulatory forbearance. If there is a high degree of regulatory forbearance, the rish that insured institutions bear will be higher, and consequently a higher premium will be charged. However, when the degree of regulatory forbearance is lower, the rish that the insured institution bear will be lower and hence lower premiums will be assessed.