基于RAROC模型的中国商业银行贷款定价实证研究

发布时间：2018-06-15 20:35

本文选题：商业银行 + 贷款定价　；参考：《东北财经大学》2016年硕士论文

【摘要】：2013年7月,中国人民银行全面放开对贷款利率的管制,我国商业银行获得贷款全部自主定价权,这对商业银行自主定价能力提出了更高要求。同时,我国商业银行信贷业务面临着越来越大的竞争压力,不断完善的多层次资本市场、不断扩大的影子银行规模、快速发展的互联网金融等在功能上对商业银行贷款业务形成替代,民营银行获准筹建与营业、企业与个人的投融资渠道增加均对商业银行信贷业务产生不利影响。随着中国人民银行放开对存、贷款利率的管制,同业竞争已在存、贷产品的价格上直接展开。传统的粗放式的贷款定价方式已不再适合新环境的需求,中国银行业监督管理委员会在2015年报中明确指出商业银行应研究向定价要效益。贷款定价能力开始成为影响商业银行竞争力的重要因素,加强贷款定价方法研究的必要性与重要性显著加强。2011年以来,我国商业银行贷款不良率持续走高,商业银行风险成本加大,在盈利能力下滑背景下,有效控制风险成本至关重要。而贷款定价的重要环节就是考量借款人信用风险大小,并在此基础上对所承担的风险要求合理的利率补偿。因此加强贷款定价的研究对有效控制风险成本有着重要的现实意义。此外,我国于2013年1月1日开始实施《商业银行资本管理办法(试行)》,新资本管理办法加强了对商业银行的资本要求,因此需要充分考虑资本要求对贷款利率的影响。综上所述,加强商业银行贷款定价研究对增强定价合理性、准确性及增强商业银行竞争力与降低不良贷款率(降低风险成本)等有着十分重要的现实意义。本文首先对传统贷款定价法进行总结,分析它们的优点与并阐述在新的时代背景下存在的缺陷。其次,引入RAROC贷款定价法,该方法是RAROC系统在贷款定价领域的应用。对RAROC系统的探索始于20世纪70年,并于90年实践成功,随后在发达国家得到广泛使用。其研发初衷是提高绩效评估与资本配置的合理性。RAROC模型的基本理念是以收益抵补预期损失,以经济资本吸收非预期损失,强调经济资本的最终抵补作用。RAROC贷款定价公式的构成要素包括预期损失、经济资本、资金成本、经营费用与目标RAROC等。其中,预期损失、经济资本均是预期违约率的函数。对于预期违约率,本文使用KMV模型进行估计。KMV模型认为,平均说来,市场参与方很难持续战胜市场,其并不要求市场是完全有效的。该模型的引人之处在于其有着坚实的理论基础,相关参数是可观测变量的函数,且模型基于上市公司股票交易数据计算公司负债预期违约率,具有前瞻性。对于经济资本,本文使用监管资本作为代理变量,即基于渐进单风险因子模型进行估计。渐进单风险因子模型是巴塞尔委员会信用风险内部评级法下资本计量的基础模型。在单个公司层面上,渐进单风险因子模型对公司资产收益率进行建模,认为收益率是系统性风险因子与异质性风险因子的函数。该模型借鉴Merton模型"一定时期内,债务人的资产价值低于临界值即违约"的思想,在Merton模型中,已知违约临界值,可求出违约率,且违约临界值与违约率通过正态分布联系起来。反过来,在已知借款人所在评级的平均违约率时,通过求解正态分布的反函数,可获得违约临界值,进而推得监管资本计算公式。随后基于机会成本的视角对经典的RAROC贷款定价公式进行改进,以期在一定程度上避免贷款业务的恶性竞争。再次,按一定原则从国泰安中国上市公司银行贷款研究数据库中选取56个贷款样本,基于改进的RAROC贷款定价法对其进行实证分析。实证中,在测度预期违约率时,使用GARCH模型预测股票收益率的波动率,参照KMV公司的经验值确定违约点。最后,提出相关政策建议,包括加强借款人信用风险的计量、完善数据库建设、加强经济资本管理、合理设置目标RAROC值与设置合理的再定价周期。本文的创新主要是基于机会成本的角度对原始贷款定价公式进行改进,认为在当前商业银行竞争加剧、不良贷款率回升、资本增值压力增大、资本监管趋严的背景下,RAROC贷款定价法相对于传统定价法而言具有比较优势,在我国推广RAROC定价法可行性较大。
[Abstract]:In July 2013, the people's Bank of China opened up the control of the loan interest rate in an all-round way. The commercial banks of China obtained all the independent pricing power of the loans, which put forward higher requirements for the independent pricing ability of the commercial banks. At the same time, the credit business of the commercial banks in China is facing more and more competitive pressure, the continuous improvement of the multi-level capital market and the continuous expansion of the capital market. The large size of the shadow bank and the rapid development of Internet finance have the function of replacing the commercial bank loan business. The private banks are allowed to build and operate, and the increase of investment and financing channels of enterprises and individuals all have adverse effects on the credit business of commercial banks. In the 2015 annual report, the China Banking Supervision and Management Committee clearly points out that commercial banks should study the benefit of pricing. The loan pricing ability begins to become an important factor affecting the competitiveness of commercial banks. The necessity and importance of strengthening the research on the loan pricing method have greatly strengthened since.2011, the rate of loan bad rate in commercial banks of our country continues to go high, the risk cost of commercial banks is increasing. Under the background of declining profitability, the effective control of the risk cost is very important. On the basis of this, a reasonable interest rate compensation is required for the risks undertaken. Therefore, the study of strengthening the loan pricing has an important practical significance for the effective control of the risk cost. In addition, in January 1, 2013, China began to implement the "commercial bank capital management method" (Trial Implementation), and the new capital management measures have strengthened the capital requirements for commercial banks. Therefore, it is necessary to take full consideration of the effect of capital requirements on the loan interest rate. In summary, it is of great practical significance to strengthen the research on the loan pricing of commercial banks to enhance the rationality of pricing, the accuracy and the competitiveness of commercial banks and reduce the bad loan rate (reducing the risk cost). The advantages and shortcomings of the new era are analyzed and analyzed. Secondly, the RAROC loan pricing method is introduced, which is the application of the RAROC system in the field of loan pricing. The exploration of the RAROC system began in 70 years in twentieth Century and has been successfully used in 90 years, and then widely used in developed countries. Its original purpose is to improve its original intention. The basic idea of the rationality.RAROC model of performance evaluation and capital allocation is to compensate the expected loss with income, absorb the unexpected loss with economic capital, and emphasize the final offset of economic capital. The elements of the.RAROC loan pricing formula include the expected loss, the economic capital, the capital cost, the operating cost and the target RAROC, etc. In terms of expected default rate, economic capital is a function of expected default rate. For the expected default rate, the KMV model is used to estimate the.KMV model. On average, the market participants are difficult to continue to defeat the market. It does not require the market to be completely effective. The model has a solid theoretical basis and the related parameters are available. Based on the stock trading data of the listed company, the model is based on the stock trading data of the listed company to calculate the expected default rate of the company's liabilities. For economic capital, this paper uses regulatory capital as an agent variable, which is based on the gradual single risk factor model. The gradual single risk factor model is the internal evaluation of the credit risk of the Basel Committee. The basic model of capital measurement under the level law. At a single company level, the model of gradual single risk factor model is used to model the rate of return of the company's assets. It is considered that the rate of return is a function of the systemic risk factor and the heterogeneity risk factor. This model draws on the Merton model "the debt owner's asset value is lower than the critical value, that is the breach of contract in a certain period of time". In the Merton model, the default critical value is known, and the default rate can be obtained, and the critical value of default and the default rate are connected by the normal distribution. In turn, the critical value of default can be obtained by solving the inverse function of the normal distribution in the average default rate of the borrower's rating, and then the formula of the regulatory capital calculation can be derived. In the perspective of opportunity cost, the classic RAROC loan pricing formula is improved in order to avoid the malignant competition of loan business to a certain extent. Again, 56 loan samples are selected from the bank loan research database of China's Listed Companies in Tai'an according to certain principles. Based on the improved RAROC loan pricing method, the empirical analysis is carried out. In the measure of the expected default rate, the GARCH model is used to predict the volatility of the stock return rate and to determine the default point according to the experience value of KMV company. Finally, the relevant policy suggestions are put forward, including strengthening the measurement of the borrower's credit risk, perfecting the database construction, strengthening the management of the economic capital, setting up the target RAROC value reasonably and setting a reasonable re setting. The innovation of this paper is based on the improvement of the original loan pricing formula based on the opportunity cost. The RAROC loan pricing method has a comparative advantage over the traditional pricing method in the context of the intensification of the current commercial banks' competition, the recovery of the bad loan rate, the increasing pressure of capital appreciation and the stricter capital supervision. It is feasible to popularize the RAROC pricing method.
【学位授予单位】：东北财经大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.4

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