本文選題：消費(fèi)信貸 + 貸款定價(jià)　； 參考：《東北農(nóng)業(yè)大學(xué)》2012年碩士論文

【摘要】：消費(fèi)信貸的合理定價(jià)是提高商業(yè)銀行消費(fèi)信貸業(yè)務(wù)經(jīng)營效益和合理補(bǔ)償消費(fèi)信貸業(yè)務(wù)風(fēng)險(xiǎn)的重要前提,也是適應(yīng)利率市場化和實(shí)現(xiàn)銀行可持續(xù)發(fā)展的重要前提。因此,有必要改善我國傳統(tǒng)的定價(jià)機(jī)制,借鑒西方期權(quán)定價(jià)理論,完善商業(yè)銀行消費(fèi)信貸定價(jià)的理論建設(shè),完成消費(fèi)信貸的深化發(fā)展。 本文以消費(fèi)信貸的產(chǎn)生和發(fā)展過程為背景,結(jié)合我國商業(yè)銀行消費(fèi)信貸定價(jià)的特點(diǎn),運(yùn)用Black-Scholes期權(quán)定價(jià)模型,對商業(yè)銀行消費(fèi)信貸定價(jià)的影響因素進(jìn)行了定量研究,在此基礎(chǔ)上,結(jié)合二叉樹定價(jià)模型,以汽車消費(fèi)信貸定價(jià)為例,做了具體的實(shí)證研究。側(cè)重從實(shí)際操作的角度提出商業(yè)銀行消費(fèi)信貸定價(jià)的對策建議。 首先,系統(tǒng)的闡述了消費(fèi)信貸定價(jià)的基本理論,認(rèn)為消費(fèi)貸款定價(jià)是一個(gè)在動態(tài)環(huán)境下運(yùn)行的系統(tǒng)工程,通過制定合理的定價(jià)機(jī)制對消費(fèi)信貸業(yè)務(wù)進(jìn)行科學(xué)定價(jià),實(shí)現(xiàn)對消費(fèi)信貸業(yè)務(wù)的風(fēng)險(xiǎn)覆蓋和消化。其次,從我國商業(yè)銀行消費(fèi)信貸的基本現(xiàn)狀入手,分析了利率市場化條件下,消費(fèi)信貸定價(jià)面臨在市場競爭和業(yè)務(wù)利潤之間求得均衡的窘境,并指出了我國消費(fèi)信貸定價(jià)存在的問題。再次,本文將現(xiàn)代資本市場中的Black-Scholes期權(quán)定價(jià)原理引入到消費(fèi)貸款的定價(jià)中,充分考慮到了到期期限、無風(fēng)險(xiǎn)利率、行業(yè)波動以及借款人的理性程度這四個(gè)因素與消費(fèi)信貸定價(jià)之間的定量關(guān)系。然后,運(yùn)用了實(shí)證分析的方法,以汽車消費(fèi)信貸定價(jià)為例,通過構(gòu)建二叉樹期權(quán)定價(jià)模型,運(yùn)用風(fēng)險(xiǎn)中性定價(jià)法、倒推定價(jià)法,得出了在利率市場化條件下,汽車消費(fèi)信貸定價(jià)的合理數(shù)值。最后,本文根據(jù)前文所作的研究和分析,結(jié)合我國實(shí)際情況,為我國商業(yè)銀行消費(fèi)信貸定價(jià)的發(fā)展提出幾點(diǎn)可行性的對策建議,例如政府要建立合理的市場化利率體系,銀行要積極培養(yǎng)基層的自助定價(jià)能力,加強(qiáng)同國外的人才與信息的交流等。
[Abstract]:The reasonable pricing of consumer credit is an important premise to improve the efficiency of commercial bank's consumer credit business and to reasonably compensate the risk of consumption credit business. It is also an important premise to adapt to the marketization of interest rate and to realize the sustainable development of banks. Therefore, it is necessary to improve the traditional pricing mechanism of our country, draw lessons from the western option pricing theory, perfect the theoretical construction of consumer credit pricing in commercial banks, and complete the deepening development of consumer credit. Based on the background of the emergence and development of consumer credit and the characteristics of consumer credit pricing in China, this paper makes a quantitative study on the influencing factors of consumer credit pricing in commercial banks by using Black-Scholes option pricing model. Based on the binomial tree pricing model, this paper takes the pricing of automobile consumption credit as an example, and makes a concrete empirical study. This paper puts forward the countermeasures and suggestions of consumer credit pricing in commercial banks from the point of view of practical operation. First of all, the paper systematically expounds the basic theory of consumer credit pricing, and considers that consumer loan pricing is a systematic project running in dynamic environment, and makes a reasonable pricing mechanism to carry out scientific pricing of consumer credit business. To achieve consumer credit business risk coverage and digestion. Secondly, starting from the basic situation of consumer credit of commercial banks in China, the paper analyzes the dilemma of consumer credit pricing in the market competition and business profit under the condition of interest rate marketization. It also points out the problems existing in the pricing of consumer credit in China. Thirdly, this paper introduces the Black-Scholes option pricing principle in the modern capital market into the pricing of consumer loans, taking full account of the maturity, risk-free interest rate, The quantitative relationship between the four factors of industry volatility and the rationality of borrowers and the pricing of consumer credit. Then, by using the method of empirical analysis, taking the pricing of automobile consumption credit as an example, by constructing a binomial tree option pricing model, using the risk neutral pricing method and the backward pricing method, the paper draws the conclusion that under the condition of marketization of interest rate. The reasonable value of car consumption credit pricing. Finally, according to the previous research and analysis, combined with the actual situation in China, this paper puts forward some feasible countermeasures for the development of consumer credit pricing in China's commercial banks, such as the government should establish a reasonable market-oriented interest rate system. Banks should actively cultivate the self-pricing ability of grassroots and strengthen the exchange of talents and information with foreign countries.
【學(xué)位授予單位】：東北農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.4;F224

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