發(fā)布時(shí)間：2018-11-05 14:05

【摘要】：貸款定價(jià)是指商業(yè)銀行基于風(fēng)險(xiǎn)和收益的考量對(duì)貸款價(jià)格進(jìn)行確定以滿足銀行安全性、流動(dòng)性和盈利性需求的過程,風(fēng)險(xiǎn)識(shí)別與估算是商業(yè)銀行貸款定價(jià)的核心和重點(diǎn)。隨著利率市場化改革的不斷深入,加之加入WTO后我國金融市場的逐步開放以及巴塞爾新資本協(xié)議的逐步推廣,利率被作為政策工具更加頻繁和有效地運(yùn)用到國家宏觀經(jīng)濟(jì)的調(diào)控中去,構(gòu)成我國商業(yè)銀行主要利潤來源的信貸業(yè)務(wù)也必將在定價(jià)機(jī)制和決策方法等方面做出相應(yīng)的調(diào)整和變更。因此,在當(dāng)前“后金融危機(jī)時(shí)代”的大背景下,如何選取科學(xué)合理的貸款定價(jià)機(jī)制,使得商業(yè)銀行能夠運(yùn)用價(jià)格手段實(shí)現(xiàn)不同期限下貸款收益和風(fēng)險(xiǎn)的動(dòng)態(tài)匹配和均衡發(fā)展,就成為現(xiàn)階段我國商業(yè)銀行信貸業(yè)務(wù)發(fā)展的關(guān)鍵所在。 本文在對(duì)貸款定價(jià)基本原理和一般方法進(jìn)行簡要論述的基礎(chǔ)上,引入利率市場化條件下風(fēng)險(xiǎn)調(diào)整收益的定價(jià)理念,從基本概念解讀、模型體系構(gòu)建和目標(biāo)參數(shù)計(jì)算等方面對(duì)基于風(fēng)險(xiǎn)調(diào)整收益的RAROC定價(jià)模型進(jìn)行了詳細(xì)的推導(dǎo)和解讀,對(duì)實(shí)際貸款定價(jià)過程中可能面臨的各種預(yù)期風(fēng)險(xiǎn)和非預(yù)期風(fēng)險(xiǎn)進(jìn)行了有效的轉(zhuǎn)化和考量,并利用客戶綜合貢獻(xiàn)度參數(shù)對(duì)初始RAROC模型進(jìn)行了調(diào)整和修正。在此基礎(chǔ)上,文章利用相關(guān)樣本數(shù)據(jù)進(jìn)一步論證了基于風(fēng)險(xiǎn)調(diào)整收益維度下RAROC初始模型和修正模型在實(shí)際運(yùn)用中的有效性和可行性,并結(jié)合我國貸款定價(jià)的實(shí)際情況給出了新時(shí)期我國商業(yè)銀行貸款定價(jià)模式發(fā)展的路徑設(shè)計(jì)和若干政策建議。
[Abstract]:Loan pricing refers to the process that commercial banks determine the loan price based on the consideration of risk and income in order to meet the needs of bank security liquidity and profitability. Risk identification and estimation is the core and focus of commercial bank loan pricing. With the deepening of the reform of interest rate marketization, the gradual opening of China's financial market after China's entry into WTO and the gradual promotion of the Basel New Capital Accord, Interest rates are used more frequently and effectively as a policy tool in the country's macroeconomic regulation and control. The credit business, which constitutes the main profit source of commercial banks in China, will make corresponding adjustments and changes in pricing mechanism and decision-making methods. Therefore, under the background of the current "post-financial crisis era", how to select a scientific and reasonable loan pricing mechanism to enable commercial banks to use price means to achieve dynamic matching and balanced development of loan returns and risks under different periods of time. It has become the key to the development of the credit business of commercial banks in our country at the present stage. On the basis of a brief discussion of the basic principles and general methods of loan pricing, this paper introduces the pricing concept of risk-adjusted income under the condition of market-oriented interest rate, and interprets it from the basic concept. The RAROC pricing model based on risk-adjusted income is deduced and interpreted in detail from the aspects of model system construction and target parameter calculation. All kinds of expected and unexpected risks that may be faced in the process of actual loan pricing are effectively transformed and considered, and the initial RAROC model is adjusted and modified by using the customer's comprehensive contribution parameters. On this basis, the paper further demonstrates the effectiveness and feasibility of the RAROC initial model and the modified model based on the risk-adjusted income dimension by using the relevant sample data. Combined with the actual situation of loan pricing in China, the paper gives the path design and some policy suggestions for the development of loan pricing mode of Chinese commercial banks in the new period.
【學(xué)位授予單位】：北京林業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2011
【分類號(hào)】：F832.4;F224

【引證文獻(xiàn)】

相關(guān)碩士學(xué)位論文 前1條

1 高佳Y，

本文編號(hào)：2312307