论文标题:商业银行贷款风险定价模型研究
Research on Commercial Bank Loans Risk Pricing Model
论文作者
论文导师 龙海明,论文学位 硕士,论文专业 金融学
论文单位 湖南大学,点击次数 124,论文页数 61页File Size1599K
2006-10-24论文网 http://www.lw23.com/lunwen_158812437/
Bank loan;;Loan Risk Pricing;; Credit Transfer Matrix
贷款业务是商业银行的核心业务,贷款定价合理与否直接关系到银行的盈利能力及其市场竞争力。在我国金融市场日益开放和利率逐步市场化的背景下,商业银行将完全拥有贷款定价的自主权,如何合理、准确确定贷款价格是商业银行面临的新课题。 本文沿着从传统定价方法,到定价方法的改进,再到定价方法的拓展的思路,对商业银行贷款定价模型进行了深入研究。 首先,本文介绍了目前商业银行贷款定价机制运行的现状及存在的问题,讨论了贷款定价的基本原则以及贷款价格的构成因素,详细论述了传统的成本加成定价法、客户综合盈利定价法的计算过程,并分析了它们的不足之处。 其次,针对成本加成定价法在计算贷款预期损失、非预期损失和预期收益率方面的不足,本文进行了改进。把贷款预期损失与预期收益率的计算与借款人的信用等级相联系,建立了一个基于信用评级的风险定价模型。与传统的使用“方差”度量金融风险不同,该模型使用“半方差”来度量贷款的信用风险,它能更好地反映信用风险的基本属性,实现贷款风险与收益的匹配。然后,利用国内一银行的数据对模型进行了实证检验,求出了各信用等级借款人的风险中性利率、风险调整利率(RORAC)、风险价值(CreditVaR)、经济资本等相关变量。 第三,考虑到贷款担保能在一定程度上缓解贷款的信用风险,从而降低贷款的利率,因此,本文把贷款担保作为一个单独变量纳入风险定价模型对模型进行拓展,在期权定价框架下来讨论贷款利率、违约率、抵押率三者之间的定量关系,并求出了贷款合理的抵押率。 最后,论文还比较了成本加成定价法、客户综合盈利定价法、信用评级风险定价模型、基于期权原理的定价模型的优劣与应用范围。提出了完善我国商业银行贷款定价体系的一些政策建议。
Loan business is the core business of commercial banks,the loan price whether is reasonable or not directly affects the profitability of banks and their competitiveness in the market. With China"s financial markets gradually opening up and market-oriented interest rate, how to determine the price of loan for Commercial bank is a new issue. Along the traditional pricing method, pricing method’s improvements, and then to expand pricing method for commercial bank, This paper studies the commercial bank loan pricing models. First, this paper introduced the commercial bank loans pricing situation and existing problems, discussed the basic principles and the factors that loan pricing should consider, discussed how to use the traditional cost-plus pricing model, Customers comprehensive profit model,and analysised their inadequacy. Second, in response to cost-plus pricing method’s inadequacy on calculating the risk and expected earnings, in this paper a improved risk costs and the expected revenue calculation is provided . associated risk cost and the expected earnings with the borrower"s credit rating ,this paper created a pricing model based on the credit risk rating.The model used the "semi-variance" to measure the credit risk of loans, it matching the benefits and risks of loans better. Using of a bank"s internal data tested the model, obtained the credit rating of the borrower"s balance interest rates、offer interest rates、value-at-risk (CreditVaR)、the economic capital and other relevant variables. The empirical results show that the interest rates of investment-grade borrowers is lower than the actual rate, and interest rates of speculation the theoretical level borrowers is higher than the actual rate, which indicates that an investment-grade borrowers on credit market subsidies speculative grade borrowers and the existing the phenomenon of adverse selection. Because there are serious information asymmetry on credit market , the banks can not judge the borrower"s credit accurately, only to determined the loan price according with the borrower"s overall default rate, which is the Shortcomings of the cost-plus pricing method. The Mortgage can be able to ease the credit risk of loans in a certain extent , thus it lowering the interest rate. The relations between loan guarantee (collateral) and lending rates are irreplaceable. Therefore, in this paper we take collateral as a separate variables into the model in order to expand it. In the framework of option pricing loan interest rates, we studied the quantitative relationship between reasonable mortgage、interest rate and default rate of a loan. Models show that commercial banks whether raising the interest rate on loans or requiring the borrower to provide loan collateral to guard against risks is determined by the marginal rate of substitution (flexibility) size. Papers also compared the cost-plus pricing、customer profitability comprehensive pricing model、credit risk rating pricing model、based on the principle of Option Pricing Model with the merits of applications. Finally, the paper provided some policy recommendations for improving the China"s pricing system for commercial bank.
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