Birds of a Feather Flock Together:The Stratified Model and China's Deposit Insurance Pricing
Based on the latest stratified model from major international deposit insurance jurisdictions,this study develops a strat-ified pricing scheme for China that integrates benchmarking ranges,evaluation systems,rating structures,and validation mecha-nisms.Firstly,a new method for estimating bank default probabilities using the DRSK model is introduced,providing a benchmark interval estimation for deposit insurance rates based on sample data.Secondly,a scoring system that balances"risk matching"and"quality matching"is proposed,incorporating risk matrix scores,regulatory ratings,operational quality assessments,and capital quality ratings.Thirdly,accounting for the differences in bank types,risks,and premium structures,a stratified rating system is de-signed to address both"cliff effects"and"gradational effects"in line with national conditions.Finally,the feasibility of the pro-posed scheme is validated for listed banks using back-testing and match-testing methods,with further confirmation for non-listed banks through mapped default rates and cumulative accuracy ratios from S&P,the NUS Credit Research Initiative,and domestic rating agencies.This work provides decision-making supports for improving China's deposit insurance system and strengthening banking risk control.
NETL
NSTL
万方数据
