Please use this identifier to cite or link to this item: http://hdl.handle.net/11455/28557
標題: 農會信用部存款保險風險基礎費率水準之研究-選擇權訂價模式之應用
A Study on the Deposit Insurance Risk-Based Premium of Department of Farmers' Associations: Application of Option Pricing Model
作者: 陳昇鴻
Chen, Sheng-Hung
關鍵字: the credi department offarmers' associations
農會信用部
deposit insurance premiun
risk rasnking
clustering analysis
OPM
存款保險費率
風險分群等級
集群分析法
選擇權訂價模式
出版社: 農業經濟學系
摘要: 農會信用部在系統農業金融制度特許(chartered)的經營條件下,存在低風險的經營體質,卻因強制保險而適用於可能偏高的「存款保險風險差別費率」(Deposit Insurance Risk-Based Premium)(簡稱「存保費率」)。農會信用部與一般金融機構面對不同法令的約束與市場環境,定位於區域(local)經營型態,卻於1999年7月開始強制納入存保制度中,不但適用於一般銀行的「存保費率」水準,而且「存保費率」訂價基礎不明確,已引發農會信用部對「存保費率」訂價的質疑。本研究以加入存保的農會信用部財務資料為實證依據,並應用Merton(1977)所提出「存保費率」訂價模型,估算出農會信用部之風險基礎的「存保費率」水準;同時,使用「資本適足性」與「風險性」二大指標,將個別農會信用部加以風險等級分群,並以個別風險等級的差異作為訂定「存保費率」的基礎,進而訂定適用於農會信用部之三級差別「存保費率」水準。本文實證結果摘要說明如下: 一、在風險分群等級方面:本文實證結果發現,多數農會信用部處於低風險等級群組。但是,在2000年時產生經營良好的信用部有變差的情形,以及經營情況較差者有更行惡化的現象。 二、在估算「存保費率」水準方面:1999年全體平均費率為萬分之3.9165,然而卻於2000年上升至萬分之4.3501,二年間相差將近萬分之0.5的水準,由此顯示整體農會信用部之經營風險有明顯上升的趨勢;再者,對現行多數低風險的農會信用部而言,存在多數低經營風險者補貼少數高風險者與適用於偏高的費率水準現象。同時,低估少數高風險農會信用部其應有的經營風險水準,可能誘發其進而從事高風險的風險移轉(risk-shifting)行為。 三、訂定三級差別「存保費率」水準:1999年費率水準依序為萬分之3.7099、萬分之7.8735、萬分之8.4119;2000年費率水準依序為萬分之4.1800、萬分之6.2386、萬分之9.0585。就整體來說,實證結果發現多數農會信用部屬於第一級費率,大約佔全體94%,其餘則約佔6%。然而,本研究所估算費率水準依然現行費率中第一級的萬分之五為低,由此進一步說明現行農會信用部的確適用於偏高的費率水準。 本研究以風險分群等級為基礎所建構的存保費率水準,整體而言具有顯著有效性。依據所訂定三級差別「存保費率」水準,更能夠凸顯農會信用部不應適用於與一般銀行相同費率水準。因此,進一步建議中央存保公司(Central Deposit Insurance Company, CDIC)應可考慮調低第一級費率水準,以及調升二、三級的費率水準以符合現況。
Under the chartered operation conditions of the agricultural financial system, the credit department of farmers' associations has the lower operational risk. They paid the potentially higher “Deposit Insurance Risk-Based Premium ”(in short term of “premium”). Compared with the financial institutions in Taiwan, they compete in the different market situation by regulations and operate in the local (or rural) areas. They are imposed into the “Deposit Insurance System” and paid the “premium” as same as the financial institutions. However, the pricing foundation on the “premium” is unclear and had been questioned by the credit department of farmers' associations. This study applies the pricing “premium” model of Merton in 1977 to estimate the risk-based level of the “premium”, clustering them by the financial data into the different ranking of risk level. The estimated results could be concluded as followings: 1.The ranking of risk level for the credit department of farmers' associations is most at the lower position, but the situation would be worse in 2000. 2.The estimated average “premium” in 1999 is 3.9165 ‰. However, it rises up to 4.3501‰ in 2000, indicated that their operational risks are increasing. For most parts of them at the lower risky conditions, the “premium” now is paid in the unreasonable level. Lower risky ones could subsidy the higher risky ones, which may induce the behavior for the risky ones to do risky operations furthermore. 3.This study makes the three level “premium” in 1999 as follow 3.7099‰. 7.8735‰. 9.0585‰. And it is as follow 4.1800‰. 6.2368‰. 8.4199‰ in 2000. The estimated “premium” based on the risk ranking on this study is significantly effective. The three different “premium” levels could point out the unfair “premium” on the credit department of farmers' associations. Finally, this study suggests that the Central Deposit Insurance Company in Taiwan could consider reducing the first level of “premium” and rising up the second. third level premium to be fair situation.
URI: http://hdl.handle.net/11455/28557
Appears in Collections:應用經濟學系

文件中的檔案:

取得全文請前往華藝線上圖書館

Show full item record
 
TAIR Related Article
 
Citations:


Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.