基于风险调整收益的银行贷款定价模式研究
发布时间：2018-11-05 14:05
【摘要】：贷款定价是指商业银行基于风险和收益的考量对贷款价格进行确定以满足银行安全性、流动性和盈利性需求的过程,风险识别与估算是商业银行贷款定价的核心和重点。随着利率市场化改革的不断深入,加之加入WTO后我国金融市场的逐步开放以及巴塞尔新资本协议的逐步推广,利率被作为政策工具更加频繁和有效地运用到国家宏观经济的调控中去,构成我国商业银行主要利润来源的信贷业务也必将在定价机制和决策方法等方面做出相应的调整和变更。因此,在当前“后金融危机时代”的大背景下,如何选取科学合理的贷款定价机制,使得商业银行能够运用价格手段实现不同期限下贷款收益和风险的动态匹配和均衡发展,就成为现阶段我国商业银行信贷业务发展的关键所在。 本文在对贷款定价基本原理和一般方法进行简要论述的基础上,引入利率市场化条件下风险调整收益的定价理念,从基本概念解读、模型体系构建和目标参数计算等方面对基于风险调整收益的RAROC定价模型进行了详细的推导和解读,对实际贷款定价过程中可能面临的各种预期风险和非预期风险进行了有效的转化和考量,并利用客户综合贡献度参数对初始RAROC模型进行了调整和修正。在此基础上,文章利用相关样本数据进一步论证了基于风险调整收益维度下RAROC初始模型和修正模型在实际运用中的有效性和可行性,并结合我国贷款定价的实际情况给出了新时期我国商业银行贷款定价模式发展的路径设计和若干政策建议。
[Abstract]:Loan pricing refers to the process that commercial banks determine the loan price based on the consideration of risk and income in order to meet the needs of bank security liquidity and profitability. Risk identification and estimation is the core and focus of commercial bank loan pricing. With the deepening of the reform of interest rate marketization, the gradual opening of China's financial market after China's entry into WTO and the gradual promotion of the Basel New Capital Accord, Interest rates are used more frequently and effectively as a policy tool in the country's macroeconomic regulation and control. The credit business, which constitutes the main profit source of commercial banks in China, will make corresponding adjustments and changes in pricing mechanism and decision-making methods. Therefore, under the background of the current "post-financial crisis era", how to select a scientific and reasonable loan pricing mechanism to enable commercial banks to use price means to achieve dynamic matching and balanced development of loan returns and risks under different periods of time. It has become the key to the development of the credit business of commercial banks in our country at the present stage. On the basis of a brief discussion of the basic principles and general methods of loan pricing, this paper introduces the pricing concept of risk-adjusted income under the condition of market-oriented interest rate, and interprets it from the basic concept. The RAROC pricing model based on risk-adjusted income is deduced and interpreted in detail from the aspects of model system construction and target parameter calculation. All kinds of expected and unexpected risks that may be faced in the process of actual loan pricing are effectively transformed and considered, and the initial RAROC model is adjusted and modified by using the customer's comprehensive contribution parameters. On this basis, the paper further demonstrates the effectiveness and feasibility of the RAROC initial model and the modified model based on the risk-adjusted income dimension by using the relevant sample data. Combined with the actual situation of loan pricing in China, the paper gives the path design and some policy suggestions for the development of loan pricing mode of Chinese commercial banks in the new period.
【学位授予单位】：北京林业大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.4;F224
[Abstract]:Loan pricing refers to the process that commercial banks determine the loan price based on the consideration of risk and income in order to meet the needs of bank security liquidity and profitability. Risk identification and estimation is the core and focus of commercial bank loan pricing. With the deepening of the reform of interest rate marketization, the gradual opening of China's financial market after China's entry into WTO and the gradual promotion of the Basel New Capital Accord, Interest rates are used more frequently and effectively as a policy tool in the country's macroeconomic regulation and control. The credit business, which constitutes the main profit source of commercial banks in China, will make corresponding adjustments and changes in pricing mechanism and decision-making methods. Therefore, under the background of the current "post-financial crisis era", how to select a scientific and reasonable loan pricing mechanism to enable commercial banks to use price means to achieve dynamic matching and balanced development of loan returns and risks under different periods of time. It has become the key to the development of the credit business of commercial banks in our country at the present stage. On the basis of a brief discussion of the basic principles and general methods of loan pricing, this paper introduces the pricing concept of risk-adjusted income under the condition of market-oriented interest rate, and interprets it from the basic concept. The RAROC pricing model based on risk-adjusted income is deduced and interpreted in detail from the aspects of model system construction and target parameter calculation. All kinds of expected and unexpected risks that may be faced in the process of actual loan pricing are effectively transformed and considered, and the initial RAROC model is adjusted and modified by using the customer's comprehensive contribution parameters. On this basis, the paper further demonstrates the effectiveness and feasibility of the RAROC initial model and the modified model based on the risk-adjusted income dimension by using the relevant sample data. Combined with the actual situation of loan pricing in China, the paper gives the path design and some policy suggestions for the development of loan pricing mode of Chinese commercial banks in the new period.
【学位授予单位】：北京林业大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.4;F224
【引证文献】
相关硕士学位论文 前1条
1 高佳Y，
本文编号：2312307
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