本文選題：商業(yè)銀行 + 貸款定價��； 參考：《東北財經(jīng)大學(xué)》2016年碩士論文

【摘要】：2013年7月,中國人民銀行全面放開對貸款利率的管制,我國商業(yè)銀行獲得貸款全部自主定價權(quán),這對商業(yè)銀行自主定價能力提出了更高要求。同時,我國商業(yè)銀行信貸業(yè)務(wù)面臨著越來越大的競爭壓力,不斷完善的多層次資本市場、不斷擴大的影子銀行規(guī)模、快速發(fā)展的互聯(lián)網(wǎng)金融等在功能上對商業(yè)銀行貸款業(yè)務(wù)形成替代,民營銀行獲準(zhǔn)籌建與營業(yè)、企業(yè)與個人的投融資渠道增加均對商業(yè)銀行信貸業(yè)務(wù)產(chǎn)生不利影響。隨著中國人民銀行放開對存、貸款利率的管制,同業(yè)競爭已在存、貸產(chǎn)品的價格上直接展開。傳統(tǒng)的粗放式的貸款定價方式已不再適合新環(huán)境的需求,中國銀行業(yè)監(jiān)督管理委員會在2015年報中明確指出商業(yè)銀行應(yīng)研究向定價要效益。貸款定價能力開始成為影響商業(yè)銀行競爭力的重要因素,加強貸款定價方法研究的必要性與重要性顯著加強。2011年以來,我國商業(yè)銀行貸款不良率持續(xù)走高,商業(yè)銀行風(fēng)險成本加大,在盈利能力下滑背景下,有效控制風(fēng)險成本至關(guān)重要。而貸款定價的重要環(huán)節(jié)就是考量借款人信用風(fēng)險大小,并在此基礎(chǔ)上對所承擔(dān)的風(fēng)險要求合理的利率補償。因此加強貸款定價的研究對有效控制風(fēng)險成本有著重要的現(xiàn)實意義。此外,我國于2013年1月1日開始實施《商業(yè)銀行資本管理辦法(試行)》,新資本管理辦法加強了對商業(yè)銀行的資本要求,因此需要充分考慮資本要求對貸款利率的影響。綜上所述,加強商業(yè)銀行貸款定價研究對增強定價合理性、準(zhǔn)確性及增強商業(yè)銀行競爭力與降低不良貸款率(降低風(fēng)險成本)等有著十分重要的現(xiàn)實意義。本文首先對傳統(tǒng)貸款定價法進(jìn)行總結(jié),分析它們的優(yōu)點與并闡述在新的時代背景下存在的缺陷。其次,引入RAROC貸款定價法,該方法是RAROC系統(tǒng)在貸款定價領(lǐng)域的應(yīng)用。對RAROC系統(tǒng)的探索始于20世紀(jì)70年,并于90年實踐成功,隨后在發(fā)達(dá)國家得到廣泛使用。其研發(fā)初衷是提高績效評估與資本配置的合理性。RAROC模型的基本理念是以收益抵補預(yù)期損失,以經(jīng)濟資本吸收非預(yù)期損失,強調(diào)經(jīng)濟資本的最終抵補作用。RAROC貸款定價公式的構(gòu)成要素包括預(yù)期損失、經(jīng)濟資本、資金成本、經(jīng)營費用與目標(biāo)RAROC等。其中,預(yù)期損失、經(jīng)濟資本均是預(yù)期違約率的函數(shù)。對于預(yù)期違約率,本文使用KMV模型進(jìn)行估計。KMV模型認(rèn)為,平均說來,市場參與方很難持續(xù)戰(zhàn)勝市場,其并不要求市場是完全有效的。該模型的引人之處在于其有著堅實的理論基礎(chǔ),相關(guān)參數(shù)是可觀測變量的函數(shù),且模型基于上市公司股票交易數(shù)據(jù)計算公司負(fù)債預(yù)期違約率,具有前瞻性。對于經(jīng)濟資本,本文使用監(jiān)管資本作為代理變量,即基于漸進(jìn)單風(fēng)險因子模型進(jìn)行估計。漸進(jìn)單風(fēng)險因子模型是巴塞爾委員會信用風(fēng)險內(nèi)部評級法下資本計量的基礎(chǔ)模型。在單個公司層面上,漸進(jìn)單風(fēng)險因子模型對公司資產(chǎn)收益率進(jìn)行建模,認(rèn)為收益率是系統(tǒng)性風(fēng)險因子與異質(zhì)性風(fēng)險因子的函數(shù)。該模型借鑒Merton模型"一定時期內(nèi),債務(wù)人的資產(chǎn)價值低于臨界值即違約"的思想,在Merton模型中,已知違約臨界值,可求出違約率,且違約臨界值與違約率通過正態(tài)分布聯(lián)系起來。反過來,在已知借款人所在評級的平均違約率時,通過求解正態(tài)分布的反函數(shù),可獲得違約臨界值,進(jìn)而推得監(jiān)管資本計算公式。隨后基于機會成本的視角對經(jīng)典的RAROC貸款定價公式進(jìn)行改進(jìn),以期在一定程度上避免貸款業(yè)務(wù)的惡性競爭。再次,按一定原則從國泰安中國上市公司銀行貸款研究數(shù)據(jù)庫中選取56個貸款樣本,基于改進(jìn)的RAROC貸款定價法對其進(jìn)行實證分析。實證中,在測度預(yù)期違約率時,使用GARCH模型預(yù)測股票收益率的波動率,參照KMV公司的經(jīng)驗值確定違約點。最后,提出相關(guān)政策建議,包括加強借款人信用風(fēng)險的計量、完善數(shù)據(jù)庫建設(shè)、加強經(jīng)濟資本管理、合理設(shè)置目標(biāo)RAROC值與設(shè)置合理的再定價周期。本文的創(chuàng)新主要是基于機會成本的角度對原始貸款定價公式進(jìn)行改進(jìn),認(rèn)為在當(dāng)前商業(yè)銀行競爭加劇、不良貸款率回升、資本增值壓力增大、資本監(jiān)管趨嚴(yán)的背景下,RAROC貸款定價法相對于傳統(tǒng)定價法而言具有比較優(yōu)勢,在我國推廣RAROC定價法可行性較大。
[Abstract]:In July 2013, the people's Bank of China opened up the control of the loan interest rate in an all-round way. The commercial banks of China obtained all the independent pricing power of the loans, which put forward higher requirements for the independent pricing ability of the commercial banks. At the same time, the credit business of the commercial banks in China is facing more and more competitive pressure, the continuous improvement of the multi-level capital market and the continuous expansion of the capital market. The large size of the shadow bank and the rapid development of Internet finance have the function of replacing the commercial bank loan business. The private banks are allowed to build and operate, and the increase of investment and financing channels of enterprises and individuals all have adverse effects on the credit business of commercial banks. In the 2015 annual report, the China Banking Supervision and Management Committee clearly points out that commercial banks should study the benefit of pricing. The loan pricing ability begins to become an important factor affecting the competitiveness of commercial banks. The necessity and importance of strengthening the research on the loan pricing method have greatly strengthened since.2011, the rate of loan bad rate in commercial banks of our country continues to go high, the risk cost of commercial banks is increasing. Under the background of declining profitability, the effective control of the risk cost is very important. On the basis of this, a reasonable interest rate compensation is required for the risks undertaken. Therefore, the study of strengthening the loan pricing has an important practical significance for the effective control of the risk cost. In addition, in January 1, 2013, China began to implement the "commercial bank capital management method" (Trial Implementation), and the new capital management measures have strengthened the capital requirements for commercial banks. Therefore, it is necessary to take full consideration of the effect of capital requirements on the loan interest rate. In summary, it is of great practical significance to strengthen the research on the loan pricing of commercial banks to enhance the rationality of pricing, the accuracy and the competitiveness of commercial banks and reduce the bad loan rate (reducing the risk cost). The advantages and shortcomings of the new era are analyzed and analyzed. Secondly, the RAROC loan pricing method is introduced, which is the application of the RAROC system in the field of loan pricing. The exploration of the RAROC system began in 70 years in twentieth Century and has been successfully used in 90 years, and then widely used in developed countries. Its original purpose is to improve its original intention. The basic idea of the rationality.RAROC model of performance evaluation and capital allocation is to compensate the expected loss with income, absorb the unexpected loss with economic capital, and emphasize the final offset of economic capital. The elements of the.RAROC loan pricing formula include the expected loss, the economic capital, the capital cost, the operating cost and the target RAROC, etc. In terms of expected default rate, economic capital is a function of expected default rate. For the expected default rate, the KMV model is used to estimate the.KMV model. On average, the market participants are difficult to continue to defeat the market. It does not require the market to be completely effective. The model has a solid theoretical basis and the related parameters are available. Based on the stock trading data of the listed company, the model is based on the stock trading data of the listed company to calculate the expected default rate of the company's liabilities. For economic capital, this paper uses regulatory capital as an agent variable, which is based on the gradual single risk factor model. The gradual single risk factor model is the internal evaluation of the credit risk of the Basel Committee. The basic model of capital measurement under the level law. At a single company level, the model of gradual single risk factor model is used to model the rate of return of the company's assets. It is considered that the rate of return is a function of the systemic risk factor and the heterogeneity risk factor. This model draws on the Merton model "the debt owner's asset value is lower than the critical value, that is the breach of contract in a certain period of time". In the Merton model, the default critical value is known, and the default rate can be obtained, and the critical value of default and the default rate are connected by the normal distribution. In turn, the critical value of default can be obtained by solving the inverse function of the normal distribution in the average default rate of the borrower's rating, and then the formula of the regulatory capital calculation can be derived. In the perspective of opportunity cost, the classic RAROC loan pricing formula is improved in order to avoid the malignant competition of loan business to a certain extent. Again, 56 loan samples are selected from the bank loan research database of China's Listed Companies in Tai'an according to certain principles. Based on the improved RAROC loan pricing method, the empirical analysis is carried out. In the measure of the expected default rate, the GARCH model is used to predict the volatility of the stock return rate and to determine the default point according to the experience value of KMV company. Finally, the relevant policy suggestions are put forward, including strengthening the measurement of the borrower's credit risk, perfecting the database construction, strengthening the management of the economic capital, setting up the target RAROC value reasonably and setting a reasonable re setting. The innovation of this paper is based on the improvement of the original loan pricing formula based on the opportunity cost. The RAROC loan pricing method has a comparative advantage over the traditional pricing method in the context of the intensification of the current commercial banks' competition, the recovery of the bad loan rate, the increasing pressure of capital appreciation and the stricter capital supervision. It is feasible to popularize the RAROC pricing method.
【學(xué)位授予單位】：東北財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2016
【分類號】：F832.4

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 王勝邦;王瑾;;信用風(fēng)險內(nèi)部評級法監(jiān)管改革[J];中國金融;2016年12期

2 龔雯;許志峰;吳秋余;;開局首季問大勢——權(quán)威人士談當(dāng)前中國經(jīng)濟[J];理論導(dǎo)報;2016年05期

3 陳志剛;吳姬姬;;基于RAROC模型的商業(yè)銀行貸款定價實證研究[J];價值工程;2015年32期

4 孟彩云;;利率市場化下我國商業(yè)銀行貸款定價能力探討——基于RAROC模型的貸款定價實證研究[J];西南金融;2014年06期

5 周朝陽;王皓白;;基于RAROC模型的商業(yè)銀行貸款定價實證研究[J];統(tǒng)計與決策;2012年21期

6 張建波;文竹;;利率市場化改革與商業(yè)銀行定價能力研究[J];金融監(jiān)管研究;2012年10期

7 劉迎春;劉霄;;基于GARCH波動模型的KMV信用風(fēng)險度量研究[J];東北財經(jīng)大學(xué)學(xué)報;2011年03期

8 劉新軍;周鴻衛(wèi);;商業(yè)銀行RAROC貸款定價方法的改進(jìn)與應(yīng)用[J];統(tǒng)計與決策;2009年06期

9 趙先信;陳穎;王勝邦;;打開內(nèi)部評級法的黑箱:假設(shè)、模擬與監(jiān)管實踐[J];國際金融研究;2008年08期

10 彭建剛;呂志華;張麗寒;屠海波;;基于RAROC銀行貸款定價的比較優(yōu)勢原理及數(shù)學(xué)證明[J];湖南大學(xué)學(xué)報(自然科學(xué)版);2007年12期

相關(guān)博士學(xué)位論文 前3條

1 郭代;基于經(jīng)濟資本的商業(yè)銀行價值管理研究[D];中國農(nóng)業(yè)大學(xué);2015年

2 杜永強;基于風(fēng)險補償原理的小企業(yè)貸款定價模型研究[D];大連理工大學(xué);2014年

3 陳暮紫;我國不良貸款違約損失率計量模型研究[D];中國科學(xué)技術(shù)大學(xué);2010年

相關(guān)碩士學(xué)位論文 前4條

1 袁荃;基于RAROC模型的我國農(nóng)商行貸款定價研究[D];南京大學(xué);2014年

2 殷穎;巴塞爾資本協(xié)議III對商業(yè)銀行貸款定價的影響研究[D];復(fù)旦大學(xué);2012年

3 薛玉明;經(jīng)濟資本計量及其在商業(yè)銀行的應(yīng)用研究[D];山東大學(xué);2011年

4 吳玉含;上市公司信用風(fēng)險計量研究[D];安徽大學(xué);2011年

，

本文編號：2023539