基于实物期权理论的商业银行对小微企业贷款定价研究

发布时间：2018-01-19 14:29

本文关键词： 小微企业商业银行实物期权贷款定价　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：目前,随着我国经济和金融业的不断发展和逐渐开放,我国的商业银行和小微企业在发现居多发展机遇的同时,也面临着的越来越大的竞争压力。商业银行的大型企业客户通过其他方式获得融资的能力越来越强,议价能力不断提高,银行的利润空间越来越有限,商业银行急需开辟新的业务增长点,以保持稳定发展。自2011年11月开始,国家出台了一系列扶持小微发展的政策,我国小微企业得到了迅速的发展,其在推动我国经济发展和社会进步上的作用越来越重要。然而,由于信息不对称、公司制度不完善等因素的存在,小微企业的发展被限制在内部融资的瓶颈上,贷款困难的问题严重制约着小微企业的发展能力和扩张速度,有的企业甚至因为资金周转问题面临着破产的危机,小微企业急需要商业银行给与足够的资金支持以迅速发展。面对银行业的竞争压力和小微企业的发展需求,我们有必要寻找一个商业银行与小微企业共同发展的有机结合点,使两者达到银企双赢的效果。然而,小微企业贷款定价难却成了阻碍此项贷款业务发展的重要原因之一。由于小微企业经营风险高,抵押物有限,且带有逆向选择等风险,并且我国小微企业贷款定价的系统还不完善,这些原因都使银行很难确定一个合理的贷款价格。在这样的背景下,本文将从商业银行的角度出发,试图从我国小微企业贷款具有长期性和持续性的特征出发,构建适合小微企业发展的贷款定价的模型。本文的研究思路：要解决商业银行对小微企业贷款定价的问题,首先需要研究小微企业的贷款特征,分析研究商业银行对小微企业的贷款方式,在此基础上才能准确的构建贷款定价模型。本文从小微企业的经营特征开始研究,在此基础上分析其资金需求特征,进而研究其贷款特征,并分析了商业银行对小微企业的贷款方式,得出银行与小微企业合作具有长期性和持续性,确立了关系型贷款的主导地位。在此基础上,得出商业银行在贷款业务中会同时获得未来对小微企业贷款的权利,由于获得的只有权利,没有义务,且对未来贷款的综合业务收入具有不确定性,银行相当获得了一个贷款项目的实物期权。在银行贷款的综合业务净收益中加入获得的期权价值,从而构建适合小微企业贷款特征的定价模型。本文的主要观点：第一,商业银行为小微企业贷款具有长期性和持续性。第二,商业银行在对小微企业贷款时,可以获得两种价值：一种是商业银行对小微企业贷款的综合业务净收益,即,商业银行对贷款企业提供金融服务的综合收入减去综合成本；另一种是商业银行获得的实物期权的价值,即,未来对小微企业提供贷款的权利的价值。本文的主要内容：导论部分主要介绍选择研究商业银行对小微企业贷款定价的意义和研究目的,然后从小微企业的融资特征、小微企业的贷款方式及商业银行的贷款定价方法三方面对前人的研究成果进行了综述,最后介绍了本文的研究方法及与其他研究相比的不同点。在分析商业银行对小微企业贷款的特征过程中,首先研究了小微企业的经营特征,即具有经营主体和企业组建形式多样化、出资形式多元化、多种生产销售模式并存、管理运营模式简单、固定资产少、外来人口较多、本地人口较少、财务报表不规范等特征。在经营特征基础上,研究了小微企业的贷款特征,即：贷款交易具有长期性、贷款资金足额利用、资金要求很快到账、贷款频率高、额度小、风险大、抵押品不足、贷款业务和其他金融业务统一由银行负责等。然后,根据小微企业的经营特征和贷款特征,分析了我国商业银行对小微企业的贷款方式,得出商业银行对小微企业以信用贷款为主,且贷款具有长期性和持续性。过程中也介绍了我国商业银行对小微企业的贷款现状,表明小微企业贷款业务已经在银行业务中占据了较大比重,但在我国扶持小微企业政策的指引下,未来的小微业务还将会有更大的发展,为后文选择合适的实物期权种类奠定了基础。在评析当前存在的主要贷款定价模型时,分别研究了成本加成模型、市场利率导向模型和客户盈利导向模型的定价思路和方法,在此基础上,结合小微企业的贷款特征分析各个贷款模型的不足。成本加成法只考虑了银行的成本,没有兼顾小微企业的承受能力；市场利率导向模型的缺陷在于其假设市场利率可以弥补银行的成本且是完全市场化利率,但实际中,由于小微企业的贷款风险高等特点,加之小微贷款市场还处于开拓阶段,市场利率往往不能弥补银行的成本,所以不适合为小微企业贷款定价。客户盈利导向模型要求贷款企业有准确详细的财务报表记录,不符合小微企业的经营特征——财务报表不规范,也不能用来为小微企业贷款定价。然后,分析目前我国商业银行对小微企业贷款定价的方法是基准利率加点法,即在基准利率基础上根据贷款企业的信用指数确定上下浮动的幅度,分析了其缺点是在实际操作中,市场经理的个人风险偏好会影响贷款价格。除此之外,这四种定价方式都没有考虑到商业银行与小微企业合作的长期性特征,更没有考虑到这种长期性特征包含了银行未来的权利,在贷款定价中需要考虑这部分权利的价值。基于以上分析,可以得出我国商业银行需要构建一个适合我国小微企业贷款特征的贷款定价模型,即既满足了银行的预期收益和风险补偿,又符合银企合作的长期性特征,同时,小微企业的得到了合理地贷款利率。为了达到这个目标,首先应当准确的计量银行在贷款期间持有的价值,其不仅包含为贷款企业提供各种金融服务的综合净收益,还包含银行获得的未来对企业贷款的权利。仔细分析可以发现,这种权利和实物期权的性质是一样的,即持有者都有权利根据标的物的价格走势决定是否行使权利,而且这种权利都是有价值的,所以,可以在贷款定价模型中引入实物期权理论来估计这种权利的价值。在现实投资项目中存在多种实物期权,那么在小微企业贷款项目中应当考虑引入哪些期权呢?文章分析了在贷款项目中存在的各种期权,在此基础上结合目前我国小微贷款业务的发展现状和特征,得出放弃期权最适合引入到我国商业银行对小微企业的贷款定价模型中。原因是小微企业的风险大,且银行正处于对小微市场的开拓阶段,未来的不确定性很大,所以银行需要考虑随时拒绝经营情况不好的企业的贷款申请,这样银行才能用有限的资金投资于经营情况良好的企业,开拓出一批信誉良好的客户,而这个拒绝贷款的权利就是实物期权中的放弃期权。基于以上的分析,文章构建了引入放弃期权价值的商业银行对小微企业贷款的定价模型。该模型的左边是商业银行对小微企业贷款的综合业务净收益与放弃期权价值的和,右边为商业银行的预期收益。由于在等式中有小微企业的贷款利率,所以根据此模型可以解出贷款利率,从而得出适合我国小微企业融资特征的贷款价格。计算放弃期权价值时,文章使用了B-S期权定价模型进行估价。为了使模型具有实用性,本文对模型中的各个因素进行了分解,分别解释了各个变量的来源或估计方法。最后,本文以山西省某商业银行(A)对其小微客户(G企业)贷款为例,计算目前A银行确定的贷款利率,再用本文中考虑了放弃期权价值的模型计算贷款利率,过程中用到matlab解非线性方程；再计算没有考虑实物期权价值的贷款利率。最后,比较三种方法得到的利率,得出引入放弃期权价值后确定的贷款利率低于银行确定的一般贷款利率,也低于没有放弃期权价值的利率。最后得出利用本模型计算的贷款价格,银行不仅能获得风险补偿和长期受益,而且可以降低贷款价格,增加市场竞争力,扩大市场份额,获得长期发展。最后将贷款利率带入放弃期权的B-S模型中,得出放弃期权的价值,其占银行预期受益的22.68%,可见,实物期权价值应当在银行贷款定价中考虑并得到重视。本文的创新之处：第一,在构建商业银行对小微企业的贷款定价模型时,考虑到银行与企业的长期合作关系,并把这种合作关系看成银行持有的对企业贷款的实物期权,更准确的估计了银行贷款的综合收入。第二,在期权种类的选择方面,本文把银行对企业未来贷款的业务看成一种放弃期权,当银行在贷款项目中的综合收入低于综合成本时,银行可以选择收回成本,拒绝贷款；反之,银行可以继续为企业提供贷款。第三,在模型的实际应用方面,本文用实证的方法列举了一家小微客户(G企业)贷款定价的案例,并说明各个要素的来源,在贷款定价的实际操作上更具有实用价值。第四,在实证案例中计算贷款利率时,使用了matlab作图观察法和二分法分别估计了贷款利率,并与银行实际确定的利率、以及没有考虑期权价值时计算的贷款利率作比较,表明应用本文模型所求的贷款利率较低,而且,银行不仅可以控制贷款风险,获得长期受益,而且可以降低贷款价格,扩大竞争力,扩大市场份额。第五,为了更加充分地证明期权价值在小微企业贷款定价中的重要作用,文章把最后求得的贷款利率带入期权价值中,计算了期权价值占预期收益比例,得出其占比较大,更具有说服性。
[Abstract]:At present , with the continuous development and gradual opening of our country ' s economy and finance industry , our commercial banks and small micro - enterprises are facing more and more competitive pressures while discovering the opportunities of development . Facing the competition pressure of the banking industry and the development demand of small micro - enterprises , it is necessary to find an organic bond between a commercial bank and a small micro - enterprise to achieve the effect of double - win of silver - enterprise . However , it is difficult to determine a reasonable loan price because of the high risk of small micro - enterprises , limited collateral and adverse selection . In this paper , we need to study the loan characteristics of small micro - enterprises , analyze the loan characteristics of small micro - enterprises , and analyze the loan characteristics of small micro - enterprises . The main points of this paper are : First , commercial banks have long - term and persistent loans for small micro - enterprise loans . Second , commercial banks can obtain two kinds of value when loans to small micro - enterprises : one is the net income of comprehensive income of commercial banks to small micro - enterprise loans , that is , commercial banks provide the comprehensive income of financial services to the loan enterprises minus the comprehensive cost ; and the other is the value of the real options obtained by commercial banks , that is , the value of the right to provide loans to small enterprises in the future . The main contents of this paper are as follows : The introduction part mainly introduces the significance and research purpose of selecting the research commercial banks to the small micro enterprise loan pricing , then summarizes the previous research results from the financing characteristics of the small enterprises , the loan mode of the small micro enterprise and the loan pricing method of the commercial bank , and finally introduces the research methods and the differences compared with other research . In the process of analyzing the characteristics of small micro enterprise loan , the characteristics of small micro enterprise ' s loan are studied firstly , namely , the loan transaction has long - term property , the loan fund is large , the loan is large , the local population is low , the loan business and other financial business are unified by the bank . Based on the analysis of the current main loan pricing model , the cost addition model , the market interest rate guidance model and the customer profit guidance model are studied . Based on the above analysis , it can be concluded that China ' s commercial banks need to construct a loan pricing model which is suitable for the loan characteristics of small micro - enterprises in China . There are a variety of options in real - time investment projects , so what options should be considered in the small micro - enterprise loan project ? The paper analyzes the present situation and characteristics of small micro - enterprises . The reason is that the risk of small micro - enterprises is big , and banks are at the stage of opening up the small micro - market . Therefore , banks need to consider the loan application of enterprises which are not bad at any time , so that banks can invest in the enterprises with good operating conditions at any time , and the right to refuse the loan is the abandonment option in real options . Based on the above analysis , the paper constructs a pricing model for commercial banks to give up the option value . The left of the model is the sum of net income of the commercial bank to the small micro - enterprise loan and the value of giving up the option value , and the right is the expected return of the commercial bank . As the loan interest rate of the small micro - enterprise is found in the equation , the paper uses the B - S option pricing model to estimate the loan interest rate . In order to make the model practical , the paper decomposes the various factors in the model , and explains the source or estimation method of each variable respectively . At last , the loan interest rate determined by Bank A is calculated by taking a commercial bank ( A ) in Shanxi Province as an example , then the loan interest rate determined by Bank A is calculated , then the loan interest rate is calculated by using matlab solution in the process . Finally , the loan interest rate calculated by the three methods is lower than the loan interest rate determined by the bank . Finally , the loan interest rate is brought into the B - S model of the abandoned option . Finally , the loan interest rate is brought into the B - S model of the abandoned option , which accounts for 22.68 % of the expected benefit of the bank . The value of the real options should be taken into account in the bank loan pricing and paid attention . In the first part , when constructing commercial bank ' s loan pricing model for small micro - enterprises , considering the long - term cooperative relationship between banks and enterprises , it is more accurate to estimate the comprehensive income of bank loans .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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