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Fair premium rate of the deposit insurance system based on banks' creditworthiness

机译：基于银行信誉度的存款保险制度的公允保费率

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Purpose-Deposit insurance is a key element in modern banking, as it guarantees the financial safety of deposits at depository financial institutions. It is necessary to have at least a dual fair premium rate system based on creditworthiness of financial institutions, as considering singular premium system for all banks will have moral hazard This paper aims to develop theoretical and empirical model for calculating dual fair premium rates. Design/methodology/approach-The definition of a fair premium rate in this paper is a rate that covers the operational expenditures of the deposit insuring organization, provides it with sufficient funds to enable it to pay a certain percentage share of deposit amounts to depositors in case of bank default and provides it with sufficient funds as precautionary reserves. To identify and classify healthier and more stable banks, the authors use credit rating methods that use two major dimensional reduction techniques. For forecasting nonperforming loans (NPLs), the authors develop a model that can capture both macro shocks and idiosyncratic shocks to financial institutions in a vector error correction model.Findings-The response of NPLs/loans to macro shocks and idiosyncratic innovations shows that using a model with macro variables only is insufficient, as it is possible that under favorable economic conditions, some banks show negative performance due to bank level reasons such as mismanagement or vice versa. The final results show that deposit insurance premium rate needs to be vary based on banks' creditworthiness.Originality/value-The results provide interesting insight for financial authorities to set fair deposit insurance premium rate. A high premium rate reduces the capital adequacy of individual financial institutions, which endangers the stability of the financial system; a low premium rate will reduce the security of the financial system.
机译：目的存款保险是现代银行业务的关键要素，因为它保证了存款金融机构存款的财务安全。有必要至少建立一个基于金融机构信誉度的双重公允保费率制度，因为考虑到所有银行的单一保费制度都会有道德风险。本文旨在建立理论和经验模型来计算双重公允保费率。设计/方法/方法-本文中公允溢价率的定义是涵盖存款保险组织的运营支出，为其提供足够资金以使其能够向存款人支付一定比例的存款金额的费率。银行违约的情况，并提供足够的资金作为预防准备金。为了识别和分类更健康，更稳定的银行，作者使用了信用评级方法，该方法使用了两种主要的降维技术。为了预测不良贷款（NPL），作者开发了一个模型，可以在矢量误差校正模型中捕获对金融机构的宏观冲击和特质冲击。发现-不良贷款/贷款对宏观冲击和特质创新的反应表明，使用不良贷款仅具有宏观变量的模型是不够的，因为在有利的经济条件下，某些银行可能由于管理不善等银行层面的原因而表现为负面表现，反之亦然。最终结果表明，存款保险费率需要根据银行的信誉度而变化。原始性/价值-该结果为金融机构设定公平的存款保险费率提供了有趣的见解。高保费率会降低单个金融机构的资本充足率，危及金融体系的稳定性；低保费率将降低金融系统的安全性。

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