불연속시간체계에서 접근한 예금보험 가격결정모형
A Deposit Insurance Pricing Model - Discrete Time Framework Approach -
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초록
기존의 예금보험 가격결정모형들 대부분은 OPM(Option Pricing Model)을 예금보험의경우에 적용하여 도출되었기 때문에 이론적 타당성에는 문제가 없다. 그러나 OPM 자체가 연속시간체계(continuous time framework) 하에서 도출된 모형이기 때문에기존의 예금보험 가격결정모형들을 적용하여 실제로 예금보험료율을 산정한다는 것은거의 불가능하다. 구체적으로 기존의 예금보험 가격결정모형들을 적용하는데 있어서필수적인 순간표준편차(instantaneous standard deviation) 형태의 자산수익률 변동성을구하기가 난해하다는 한계가 있다. 본 연구에서는 불연속시간체계(discrete time framework) 하에서 예금보험 가격결정모형을 도출했으며 도출된 모형을 대상으로시뮬레이션을 수행했다. 분석결과에 따르면 수신·자금조달정책보다는 예금대비자기자본비율과 여신·투자정책이 예금보험료율에 미치는 영향이 상대적으로 큰것으로 나타났다.
Abstract
Deposit insurance pricing models suggested in the previous literature have theoretical justifications because they are based upon option pricing models. When we use them to calculate deposit insurance premiums,we need instantaneous standard deviation of the rate of return of assets because they are based upon the continuous time framework. However,it is difficult to obtain instantaneous standard deviation. In this paper,we suggested a deposit insurance pricing model based upon the discrete time framework and conducted a simulation to analyze it. According to the analysis, the ratio of equity to deposit amount and investment policy have greater effects on the deposit insurance premium than financing policy of the financial institution.
참고문헌 (23)
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