基于非完全竞争市场条件下的贷款定价研究

发布时间：2018-04-26 20:57

本文选题：贷款定价 + 信贷需求　；参考：《南京财经大学》2014年硕士论文

【摘要】：自从1996年,我国正式启动利率市场化改革以来,我国利率市场化改革已经取得了丰富的成果。并随着时间的向后推移,利率市场化改革将不断完善,中央银行对商业银行的资产负债业务定价的管制会逐步减少,这对商业银行的自主定价能力提出了新的要求。我国商业银行必须逐步建立以市场需求为导向的风险定价体系,才能在充满竞争和风险的市场中稳步发展。二十世纪七十年代以来,西方商业银行的利率定价理论研究得到了迅速发展,并建立了多种科学的利率定价模型。然而,我国商业银行利率受央行管制,市场化程度较低,过去业务人员通常凭借经验对贷款进行利率定价,理论研究更是缺乏。最近几年,对贷款定价的研究开始逐步增多,但是大都是贷款定价研究往往过度集中在贷款风险的研究上,而忽略了在贷款定价过程中考虑市场需求和我国信贷市场的市场结构状况。本文从成本收益贷款定价方法研究着手,从发放贷款的成本,取得的收益、信贷市场需求和市场结构出发。假定银行业市场是非完全竞争市场,根据巴塞尔Ⅱ新资本协议内部评级法对预期损失、非预期损失和最低资本金要求的规定,建立了一个基于非完全竞争市场的贷款定价模型。通过我国某银行的贷款定价案例分析,比较了非完全竞争市场和完全竞争市场贷款定价的差别,比较结果表明非完全竞争市场贷款定价比完全竞争市场贷款定价高很多。最后,对案例的定价结果与实际贷款利率的差别进行分析,并由此提出一些政策与建议。
[Abstract]:Since 1996, our country officially launched the interest rate marketization reform, our country interest rate marketization reform has already obtained the rich achievement. As time goes on, the reform of interest rate marketization will be improved continuously, and the central bank will gradually reduce the control on the pricing of assets and liabilities of commercial banks, which puts forward new requirements for the independent pricing ability of commercial banks. In order to develop steadily in the market full of competition and risk, China's commercial banks must gradually establish a risk pricing system oriented by market demand. Since the 1970s, the interest rate pricing theory of western commercial banks has developed rapidly, and many scientific interest rate pricing models have been established. However, the interest rate of commercial banks in China is controlled by the central bank, and the degree of marketization is relatively low. In recent years, the research on loan pricing has gradually increased, but most of the studies on loan pricing tend to focus too much on the study of loan risk. It neglects to consider the market demand and the market structure of our country's credit market in the process of loan pricing. This paper starts with the research on the pricing method of cost-benefit loan, starting with the cost of loan, the income obtained, the demand of credit market and the market structure. Assuming that the banking market is not completely competitive, a loan pricing model based on incomplete competition market is established according to the provisions of the Basel II new capital agreement internal rating method for expected loss, unexpected loss and minimum capital requirement. Through the case study of loan pricing in a bank in China, the difference between loan pricing in incomplete competitive market and perfect competitive market is compared. The results show that loan pricing in imperfect competitive market is much higher than that in fully competitive market. Finally, the difference between the case pricing results and the real loan interest rate is analyzed, and some policies and suggestions are put forward.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.4

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