我国商业银行消费信贷的定价分析

发布时间：2018-05-17 08:33

本文选题：消费信贷 + 贷款定价　；参考：《东北农业大学》2012年硕士论文

【摘要】：消费信贷的合理定价是提高商业银行消费信贷业务经营效益和合理补偿消费信贷业务风险的重要前提,也是适应利率市场化和实现银行可持续发展的重要前提。因此,有必要改善我国传统的定价机制,借鉴西方期权定价理论,完善商业银行消费信贷定价的理论建设,完成消费信贷的深化发展。本文以消费信贷的产生和发展过程为背景,结合我国商业银行消费信贷定价的特点,运用Black-Scholes期权定价模型,对商业银行消费信贷定价的影响因素进行了定量研究,在此基础上,结合二叉树定价模型,以汽车消费信贷定价为例,做了具体的实证研究。侧重从实际操作的角度提出商业银行消费信贷定价的对策建议。首先,系统的阐述了消费信贷定价的基本理论,认为消费贷款定价是一个在动态环境下运行的系统工程,通过制定合理的定价机制对消费信贷业务进行科学定价,实现对消费信贷业务的风险覆盖和消化。其次,从我国商业银行消费信贷的基本现状入手,分析了利率市场化条件下,消费信贷定价面临在市场竞争和业务利润之间求得均衡的窘境,并指出了我国消费信贷定价存在的问题。再次,本文将现代资本市场中的Black-Scholes期权定价原理引入到消费贷款的定价中,充分考虑到了到期期限、无风险利率、行业波动以及借款人的理性程度这四个因素与消费信贷定价之间的定量关系。然后,运用了实证分析的方法,以汽车消费信贷定价为例,通过构建二叉树期权定价模型,运用风险中性定价法、倒推定价法,得出了在利率市场化条件下,汽车消费信贷定价的合理数值。最后,本文根据前文所作的研究和分析,结合我国实际情况,为我国商业银行消费信贷定价的发展提出几点可行性的对策建议,例如政府要建立合理的市场化利率体系,银行要积极培养基层的自助定价能力,加强同国外的人才与信息的交流等。
[Abstract]:The reasonable pricing of consumer credit is an important premise to improve the efficiency of commercial bank's consumer credit business and to reasonably compensate the risk of consumption credit business. It is also an important premise to adapt to the marketization of interest rate and to realize the sustainable development of banks. Therefore, it is necessary to improve the traditional pricing mechanism of our country, draw lessons from the western option pricing theory, perfect the theoretical construction of consumer credit pricing in commercial banks, and complete the deepening development of consumer credit. Based on the background of the emergence and development of consumer credit and the characteristics of consumer credit pricing in China, this paper makes a quantitative study on the influencing factors of consumer credit pricing in commercial banks by using Black-Scholes option pricing model. Based on the binomial tree pricing model, this paper takes the pricing of automobile consumption credit as an example, and makes a concrete empirical study. This paper puts forward the countermeasures and suggestions of consumer credit pricing in commercial banks from the point of view of practical operation. First of all, the paper systematically expounds the basic theory of consumer credit pricing, and considers that consumer loan pricing is a systematic project running in dynamic environment, and makes a reasonable pricing mechanism to carry out scientific pricing of consumer credit business. To achieve consumer credit business risk coverage and digestion. Secondly, starting from the basic situation of consumer credit of commercial banks in China, the paper analyzes the dilemma of consumer credit pricing in the market competition and business profit under the condition of interest rate marketization. It also points out the problems existing in the pricing of consumer credit in China. Thirdly, this paper introduces the Black-Scholes option pricing principle in the modern capital market into the pricing of consumer loans, taking full account of the maturity, risk-free interest rate, The quantitative relationship between the four factors of industry volatility and the rationality of borrowers and the pricing of consumer credit. Then, by using the method of empirical analysis, taking the pricing of automobile consumption credit as an example, by constructing a binomial tree option pricing model, using the risk neutral pricing method and the backward pricing method, the paper draws the conclusion that under the condition of marketization of interest rate. The reasonable value of car consumption credit pricing. Finally, according to the previous research and analysis, combined with the actual situation in China, this paper puts forward some feasible countermeasures for the development of consumer credit pricing in China's commercial banks, such as the government should establish a reasonable market-oriented interest rate system. Banks should actively cultivate the self-pricing ability of grassroots and strengthen the exchange of talents and information with foreign countries.
【学位授予单位】：东北农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.4;F224

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