臺灣博碩士論文加值系統

本論文採用一個考慮到技術性清償能力不足下的存款保險定價模型來估計九家台灣上市櫃銀行的存款保險費率。其中應用到 Duan 發展的一種可以市價為基準的最大概數估計法來估計模型所需用到的一些參數。也用到一個跳躍擴散模型來描述淨存款變動。最後使用到蒙地卡羅模擬法來模擬存款費率。本研究模擬的結果就我們的資料期間而言，發現算出九家銀行所需付的存款費率都比中央存保公司所收的還要高。而實證的結果也發現技術清償能力不足的保費有可能存在，雖然其所佔保費的份量比實質清償能力不足的保費小很多。
本實證研究的模擬存款費率估計與之前的其它研究有下列三點不同之處:考慮到銀行資產清算時產生的折現費用;可能由於資金流通問題所導致的無法清償(例如發生擠兌);還有存戶理賠金額上限情形(例如目前中央存保公司對每人在每一銀行最高理賠一百萬)。

This study employs a deposit insurance pricing model to estimate the costs of deposit insurance for nine depository institutions which stocks are traded in the Taiwan Stock Exchange Corporation (TSEC). A market-value-based maximum likelihood estimation method completed by Duan is used to calculate some of the parameters needed for the model. The net change of the deposit, , is described by a jump-diffusion model. We also use Monte Carlo simulation method for the premium evaluation and analysis. Our empirical results find that the premiums levied by the Central Deposit Insurance Corporation (CDIC) are lower for those listed institutions over the sample period. The technical insolvency does have its role in the deposit insurance premium. Even it is much lower than the cost of real insolvency.
The empirical practice is different from the previous studies in three ways: a liquidation cost may occur when a depository institution is closed and its assets are sold; a depository institution failure may due to liquidity problem (e.g. bank run); the limited insurance coverage (such as the maximum NTD one million for each depositor at each insured institution) is also simulated.

CONTENTS

CHINESE ABSTRACT i
ENGLISH ABSTRACT ii
ACKNOWLEDGEMENTS iii
CONTENTS iv
LIST OF TABLES vi

CHAPTER 1 INTRODUCTION
1.1 Background and Objectives…….………………………………….… 1
1.2 Organization………………...………………………………………... 3

CHAPTER 2 LITERATURE REVIEW
2.1 Merton (1977) Deposit Insurance Pricing Model…………………... 4
2.2 Other Extended Literatures…………………………………………... 6

CHAPTER 3 DATA AND METHODOLOGY
3.1 The Deposit Insurance Pricing Model…….…………………………. 8
3.2 Maximum Likelihood Estimation Method………………………….. 11
3.3 Parameter Definition………………………………………….…….. 13

CHAPTER 4 EMPIRICAL RESULTS
4.1 Results With No Limited Coverage………….. 22
4.2 Results of Closed-Form Solution With No Limited Coverage 23
4.3 Results With Limited Coverage ……………… 25
4.4 Comparative Static Analysis ……………………………………... 26
4.5 Discussion……………………………………………………………. 35

CHAPTER 5 CONCLUSION AND RESEARCH LIMITATIONS
5.1 Conclusion………….……………………………………………………. 37
5.2 Research Limitations...……………………………………………………. 38

REFERENCES……………………………………………………………………..… 39
APPENDIX 41
Appendix A: Fact Sheet on Taiwan Deposit Insurance System………..…… 41

REFERENCES


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