基于风险调整收益的小额贷款公司贷款定价研究

发布时间：2018-05-24 01:12

本文选题：小额贷款公司 + 贷款定价　；参考：《安徽财经大学》2013年硕士论文

【摘要】：随着我国资金需求的不断扩张,新兴的小额贷款公司开始在金融市场崭露头角。自2010年下半年以来,在宏观经济紧缩的政策下,商业银行开始逐步收紧银根,与此同时,由于前两年的信贷松绑,商业银行已经无钱可贷。在此背景下,支撑国民经济的中小企业资金短缺,融资显得更加困难,然而试点至今已逾4年的小额贷款公司则乘势迎来发展契机。小额贷款公司作为一种新生事物,正处于初步的探索阶段。那么,小额贷款公司如何利用收入覆盖成本以及弥补损失?如何建立合理的贷款定价体系以保持目前良好的发展态势?这些都应引起理论界和实务界的广泛重视。本文首先就几种主要的贷款定价方法的基本原理进行阐述,并针对各种贷款定价方法的优势、局限以及适用性展开比较；其次,根据小额贷款公司自身的特点以及贷款定价方法选择的主要影响因素筛选出适合的定价模型——基于风险调整收益(RAROC)的贷款定价模型；然后对模型中各变量加以介绍,针对复杂变量进行分解说明,从而达到对整个模型的详细分析,最后以A小额贷款公司的数据为案例,通过模型计算对对小额贷款公司的贷款定价过程进行具体的应用演示。研究发现,对于小额贷款公司而言,利用RAROC定价法测算出的贷款利率能较好地覆盖信用风险,具有一定的可操作性。首先,RAROC模型的核心思想是将预期风险损失量化为当期成本,将未来无法识别和度量的风险量化为非预期损失,使贷款价格能够较好的弥补非预期损失；其次,通过选取具有一定代表性的小额贷款公司进行案例分析,以便指导小额贷款公司贷款定价,模型测算出的贷款价格同小额贷款公司的实际利率相比是偏低的,表明目前小额贷款公司的利率水平可以实现较好的盈利。但是这种方法在运用中还存在一定的局限,表现为信用评级不完善、数据信息不充足、风险考虑不周全等,并针对这些问题提出相应的政策建议。
[Abstract]:As China's capital demand continues to expand, the emerging microfinance companies have begun to emerge in the financial market. Since the second half of 2010, commercial banks have gradually tightened their silver roots under the policy of macroeconomic tightening. At the same time, commercial banks have no money to lend because of the credit loosening of the previous two years. Small and medium-sized enterprises in the people's economy are in short supply and financing is more difficult. However, the small loan companies that have been in the pilot for more than 4 years have come to the opportunity to develop. As a new thing, microfinance companies are in a preliminary exploration stage. How do microfinance companies use income to cover costs and make up for losses? How to establish a small loan company Reasonable loan pricing system to maintain the current good development trend, all these should arouse the extensive attention of the theoretical and practical circles.
This paper first expounds the basic principles of several main loan pricing methods, and compares the advantages, limitations and applicability of various loan pricing methods. Secondly, according to the characteristics of the microfinance company and the main influence of the loan pricing method, the suitable pricing model is selected from the main influence of the loan pricing method - based on the wind. The loan pricing model of risk adjusted income (RAROC) is introduced. Then, the variables in the model are introduced, and the complex variables are explained in detail, thus the detailed analysis of the whole model is achieved. Finally, the data of the A microfinance company is taken as a case, and the loan pricing process of the microfinance company is concretely applied through the model calculation. Demonstration.
The study found that for small loan companies, the loan interest rate calculated by RAROC pricing method can better cover credit risk and have certain maneuverability. First, the core idea of RAROC model is to quantify the expected risk loss as the current cost, and quantify the risk of future inability and measurement into unexpected loss, so that the loan will be loan. The price can make up the unexpected loss better. Secondly, by choosing a representative small loan company to carry on the case analysis in order to guide the loan pricing of the small loan company, the loan price calculated by the model is low compared with the real interest rate of the microfinance company, indicating the interest rate level of the small loan company at present. Good profit can be achieved, but there are some limitations in the application of this method, which shows that the credit rating is not perfect, the data information is insufficient, the risk is not fully considered, and the corresponding policy suggestions are put forward for these problems.
【学位授予单位】：安徽财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.4

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