基于风险补偿原理的小企业贷款定价模型研究

发布时间：2018-02-28 16:33

本文关键词： 小企业贷款贷款定价违约概率资本风险补偿违约风险补偿　出处：《大连理工大学》2014年博士论文　论文类型：学位论文

【摘要】：资产定价是当代金融学领域的三大基础支柱之一,贷款定价问题更是商业银行的核心决策之一。如何为小企业贷款合理定价是商业银行长期以来颇感困惑的问题。定价过高,会造成客户源流失,使客户转向其他银行；定价偏低,会造成商业银行不能达到既定的盈利目标,更为严重的会造成无法覆盖商业银行支付的成本和担负的风险。随着国家金融管制的放松,贷款市场的竞争日趋激烈,对小企业贷款进行科学的定价是亟待探究的重要领域。对小企业贷款进行合理定价,有利于改善小企业融资难、贷款难的现状。因此,小企业贷款定价问题既是一个商业银行定价决策的问题,更是一个非常重要的社会问题。本论文分为五章。第一章分析了选题的背景、相关研究的进展、研究内容之间的关系、研究思路及技术路线。第二章建立了基于主变量-逻辑回归分析的小企业违约概率测算模型。第三章建立了基于风险补偿的数值型小企业贷款定价模型。第四章建立了基于风险补偿的区间型小企业贷款定价模型。第五章为本文的结论与展望部分。本文的主要研究内容如下： (1)根据我国小企业财务信息不健全的特点,建立了小企业贷款违约概率的测度模型。以国内某地区型商业银行可收集的小企业贷款指标数据为基础,结合国内外金融机构及典型文献的高频指标,通过主变量分析和逻辑回归分析相结合的方法筛选出能显著区分违约企业和非违约企业的指标,构建了包括资产负债率、净利润现金含量等16个指标组成的小企业贷款违约概率测算模型。通过资产负债率、净利润现金含量等指标反映了小企业的偿债能力；通过净资产收益率、营业利润率等指标反映了小企业的盈利能力；通过应付账款周转率等指标反映了小企业的营运能力；通过业主相关行业从业年限、专利状况等指标反映了小企业内部非财务因素；通过个人信用卡记录、居住状况等指标反映了小企业业主的基本情况；通过担保、抵押、质押反映了小企业贷款的抵质押担保状况。 (2)建立了覆盖资本风险、违约风险等风险补偿参数的小企业贷款定价模型。根据巴塞尔协议对商业银行核心资本充足率的最低规定,反推出特定贷款的资本收益,并使资本收益在贷款定价中得到补偿。根据小企业财务信息相对不健全等特点,确定适合于测算小企业违约风险补偿的模型,使小企业贷款定价模型中的违约风险得到合理的补偿。考虑了存款准备金比率对存款付息成本的影响,提高了贷款资金成本的测算精度。通过计算贷款的资本风险、违约风险等补偿参数,建立了覆盖贷款财务成本、贷款资本收益、违约风险补偿的小企业贷款定价模型。 (3)在违约风险补偿、资本风险补偿等定价参数为区间数的背景下,建立了银企双方均可接受的、区间型小企业贷款定价模型. 采用区间数的形式反映存款利息支出率、费用支出率、违约风险补偿率、资本风险补偿率等定价指标所具有的弹性特征。以存款利息支出率、违约风险补偿率等4个定价指标作为输入,以贷款利率作为输出,通过逆向求解区间数DEA模型,建立了基于风险补偿的区间型小企业贷款定价模型。
[Abstract]:Asset pricing is one of the three basic pillars in the field of modern finance . The problem of loan pricing is one of the core decisions of commercial banks . The reasonable pricing of small enterprise loan is beneficial to improving the current situation of financing difficult and difficult loan of small enterprises . Therefore , the problem of pricing decision of small enterprises is not only a problem of pricing decision - making of commercial banks , but also a very important social problem . This thesis is divided into five chapters . The first chapter analyzes the background of the topic , the progress of the research , the relationship between the research contents , the research thought and the technical route . The second chapter establishes the model of calculating the default probability of small enterprises based on the principal variable - logistic regression analysis . Chapter three establishes the model of the loan pricing based on the risk compensation . Chapter 5 sets up the loan pricing model of interval type small enterprise based on risk compensation . ( 1 ) Based on the characteristics of imperfect financial information of small enterprises in our country , a measure model of loan default probability of small enterprises is established . Based on the data of small enterprise loan data collected by a regional commercial bank in China , combined with the high frequency indexes of financial institutions and typical literatures at home and abroad , the indexes of the default enterprises and non - default enterprises are selected through the combination of principal variable analysis and logistic regression analysis , and a model for calculating the default probability of loan default of small enterprises composed of 16 indexes including asset liability ratio and net profit cash content is constructed . The debt service ability of small enterprises is reflected through indicators such as asset - liability ratio and net profit and cash content , and the profitability of small enterprises is reflected through the indexes such as net asset yield and operating profit margin . ( 2 ) A small enterprise loan pricing model covering the risk compensation parameters such as capital risk and default risk is established . According to the minimum stipulation of the Basel Accord to the core capital adequacy ratio of commercial banks , the capital gains of the specific loans are reversely pushed out , and the capital gains are compensated in the loan pricing . According to the relative imperfection of the financial information of the small enterprises , it is determined that the risk of default in the loan pricing model of the small enterprise is reasonably compensated . The loan pricing model covering the loan financial cost , the loan capital gains and the default risk compensation is established through the calculation of the compensation parameters such as the capital risk and the default risk of the loan . ( 3 ) Under the background of the pricing parameters such as default risk compensation and capital risk compensation , the pricing model of SME loan is established . In this paper , four pricing indexes such as deposit interest expense rate , cost expenditure rate , default risk compensation rate and capital risk compensation rate are reflected in the form of interval number . Four pricing indexes such as deposit interest expense rate and default risk compensation rate are used as input , and loan interest rate is used as output , and interval number DEA model based on risk compensation is established through inverse solution interval number DEA model .

【学位授予单位】：大连理工大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.4;F276.3

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