中文摘要：

银行存款保险费率定价往往基于期权理论模型,定价结果对不同模型设定敏感性各有不同。本文分别基于不同期权定价模型、不同波动率估计方法、以及考虑监管宽容与否三种不同维度上对我国商业银行存款保险费率进行测度,分析了不同模型设定对定价结果的影响及模型风险;首次提出了银行合意存保费率区间定价与附属担保金的概念及其风险管理思路。实证结论表明：波动率估计方法存在一定敏感性,但不起决定性作用;基于标准差所测结果稳健性更优,可作为参照系。考虑监管宽容与否的影响在于量上的全局性调整,对不同银行存保费率排序影响不大。基于不同期权模型设定敏感性最强,且是模型风险主因。本文提出的银行合意存保费率区间定价及其附属担保金的思路对存保制度或更具理论及实务意义。

英文摘要：

Bank deposit insurance rate pricing is often based on the option model, the pricing results＇ sensitivity is different in different models. In this paper, we measure Chinese commercial bank deposit insurance rate from three different dimensions, which based on option models under the different stochastic process assumes, different volatility estimation methods, and consider the regulatory tolerance or not. And then analyze the effect of different model set on the pricing result and model risk. We have first put forward the concept of pricing of the desirable deposit insurance rate range and attached security as well as its risk management ideas. The empirical results indicate that： the volatility estimation method has certain sensitivity, but not decisive role. Considering the influence of the regulatory tolerance or not lies in the overall adjustment on the quantity, of different little effects on the ranking of the bank deposit insurance rate. Option model set based on different random process presents the strongest sensitivity, and is the dominant model risk. The ideas of the desirable deposit insurance rate range pricing and attached security, which is combined with risk management ideas, are of more theoretical significance and practical operability.