基于二维信用评级的中小企业贷款定价的仿真模拟研究

发布时间：2018-03-15 08:17

本文选题：中小企业　切入点：二维信用评级　出处：《安徽财经大学》2015年硕士论文　论文类型：学位论文

【摘要】：中小企业规模小的特点使其在经营过程中具有一定的灵活性,如做出决策的阻力相对较小、决策效率较高、能够灵活的进退市场等,因此在经济发展中具有特殊的战略地位。在各种政策的引导下,中小企业融资难困境有一定的改善,但是根据调查数据显示,中小企业融资成本依然比较高、融资环境依然处于偏紧的状况。2013年7月,中国人民银行放开了除个人住房贷款利率以外的贷款利率。理论上来说,贷款利率的放开有助于减少一些企业的融资成本,在一定范围内解决中小企业筹资过程中遇到的难题。但是此举也有可能减少商业银行的利润空间,增加银行的风险。商业银行为了增大利润空间,提高在市场中的核心竞争力,又必须抓住风险相对较高且不确定的中小企业这类潜在的客户群。拓展中小企业业务,商业银行如何根据自身的经营理念、特征属性对中小企业做出科学合理的信用风险评级,并把风险评级结果量化在贷款定价中,以此来寻找银企之间相互契合的动态均衡点,成为目前商业银行面临的主要问题之一。通过对已有文献的回顾,考虑到数据的可获得性、信用评级定性指标与定量指标的有效融合性等一些因素,本文从企业短期经营业绩和长期发展潜力两个角度,采用五级和三级三角模糊语言标度方法,把商业银行的风险态度、企业短期经营业绩和长期发展潜力的不同权重设置融合到信用评级中,计算不同情境下三角模糊数的期望值,以此来设置企业的信用等级。在中小企业贷款定价方面,基于资本资产定价(CAPM)模型,将信用评级结果量化在模型中,利用NetLogo仿真模拟平台,通过改变相关参数来模拟不同参数设置对中小企业贷款状况和商业银行预期收益的影响。最后提出相应的对策建议。
[Abstract]:The small scale of small and medium-sized enterprises makes them have certain flexibility in the process of operation, such as relatively small resistance to decision-making, high efficiency of decision-making, flexible advance and retreat of the market and so on. Therefore, it has a special strategic position in economic development. Under the guidance of various policies, the financing difficulties of small and medium-sized enterprises have been improved to some extent, but according to the survey data, the financing costs of small and medium-sized enterprises are still relatively high. The financing environment remains tight. In July 2013, the people's Bank of China liberalized lending rates other than those on individual housing loans. In theory, the liberalisation of lending rates helped to reduce the financing costs of some businesses. To solve the problems encountered in the process of raising funds for small and medium-sized enterprises within a certain scope. However, this move may also reduce the profit margins of commercial banks and increase the risks of banks. In order to increase profit margins and enhance core competitiveness in the market, commercial banks, It is also necessary to grasp such potential customer groups as small and medium-sized enterprises (SMEs) with relatively high risk and uncertainty. How can commercial banks make a scientific and reasonable credit risk rating for SMEs according to their own business concept and characteristic attributes? And quantifying the risk rating results in the loan pricing to find out the dynamic equilibrium point between banks and enterprises, which has become one of the main problems faced by commercial banks. By reviewing the existing literature, considering some factors, such as the availability of data, the effective combination of qualitative and quantitative credit rating indicators, this paper focuses on the short-term business performance and long-term development potential of enterprises. By using the five-level and three-level triangular fuzzy language scale method, the different weights of the risk attitude of commercial banks, the short-term business performance and the long-term development potential of the commercial banks are integrated into the credit rating to calculate the expected values of triangular fuzzy numbers in different situations. Based on the capital asset pricing model, the credit rating results are quantified in the model, and the NetLogo simulation platform is used to simulate the credit rating results. By changing the relevant parameters to simulate the impact of different parameter settings on the loan status of SMEs and the expected income of commercial banks. Finally, the corresponding countermeasures and suggestions are put forward.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F276.3;F832.4

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