基于RAROC模型的商业银行授信额度研究

发布时间：2018-01-17 22:28

本文关键词：基于RAROC模型的商业银行授信额度研究　出处：《经济管理》2012年12期 　论文类型：期刊论文

【摘要】：科学合理地确定授信额度是商业银行信贷管理的一项重要工作,改进其确定方法的准确度有利于提高商业银行的经营业绩并降低其承担的风险。针对现有商业银行授信额度确定模型的不足,本文从最大化商业银行的风险调整资本收益(RAROC)出发,构建授信额度确定模型。在此基础上,运用沪深两市上市商业银行以及其他上市公司2010年的相关数据对上述模型进行检验。实证研究表明,在一定贷款利率、银行资金成本率、经营费用率和违约损失率的条件下,上市公司的股权市场价值与股权市场价值波动率构成商业银行的授信额度边界;商业银行应给予公司客户的授信额度随公司客户的股权市场价值及股权市场价值波动率的增加而呈上升趋势。然而,商业银行应给予公司客户的授信额度并不是无条件的随股权市场价值波动率的增大而提高,还需要其股权市场价值相应地增加。同时,在给定的授信额度下,公司客户的股权市场价值与股权市场价值波动率具有一定的可替代性。
[Abstract]:Scientific and reasonable determination of credit line is an important task of commercial bank credit management. Improving the accuracy of its determination method is conducive to improve the performance of commercial banks and reduce the risks they bear. This paper starts from the maximization of risk adjustment capital gains of commercial banks (RAROC) and constructs a credit line determination model. On this basis. Using the data of Shanghai and Shenzhen listed commercial banks and other listed companies in 2010 to test the above model, the empirical study shows that in a certain loan interest rate, the bank capital cost rate. Under the condition of operating expense rate and default loss rate, the market value of the listed company and the fluctuation rate of the stock market value constitute the credit line boundary of the commercial bank. The amount of credit granted by commercial banks to corporate customers increases with the increase of the market value of equity and the volatility of market value of equity. The credit amount that commercial banks should give to corporate customers is not unconditionally increased with the increase of the volatility of equity market value, but also the corresponding increase of equity market value. At the same time, under the given credit line. The volatility of equity market value and equity market value of corporate clients have certain substitutability.
【作者单位】：湖南大学工商管理学院;湖南大学金融与投资管理研究中心;
【基金】：国家自然科学基金创新研究群体科学基金项目(71221001) 国家软科学研究计划项目(2010GXS5B141) 教育部创新群体项目(IRT0916)
【分类号】：F832.33;F224
【正文快照】： 一、引言众所周知,商业银行是吸收存款、发放贷款和从事其他中间业务的盈利性金融企业。对信贷业务的管理与控制是商业银行经营管理和风险控制的基本内容,信贷业务经营状况的好坏以及信贷资产质量的高低将直接影响商业银行的经营业绩及其承担的风险。然而,商业银行在开展信贷

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