本文關鍵詞： 小企業(yè)貸款 貸款定價 違約概率 資本風險補償 違約風險補償　出處：《大連理工大學》2014年博士論文　論文類型：學位論文

【摘要】：資產(chǎn)定價是當代金融學領域的三大基礎支柱之一,貸款定價問題更是商業(yè)銀行的核心決策之一。如何為小企業(yè)貸款合理定價是商業(yè)銀行長期以來頗感困惑的問題。定價過高,會造成客戶源流失,使客戶轉(zhuǎn)向其他銀行；定價偏低,會造成商業(yè)銀行不能達到既定的盈利目標,更為嚴重的會造成無法覆蓋商業(yè)銀行支付的成本和擔負的風險。隨著國家金融管制的放松,貸款市場的競爭日趨激烈,對小企業(yè)貸款進行科學的定價是亟待探究的重要領域。 對小企業(yè)貸款進行合理定價,有利于改善小企業(yè)融資難、貸款難的現(xiàn)狀。因此,小企業(yè)貸款定價問題既是一個商業(yè)銀行定價決策的問題,更是一個非常重要的社會問題。 本論文分為五章。第一章分析了選題的背景、相關研究的進展、研究內(nèi)容之間的關系、研究思路及技術路線。第二章建立了基于主變量-邏輯回歸分析的小企業(yè)違約概率測算模型。第三章建立了基于風險補償?shù)臄?shù)值型小企業(yè)貸款定價模型。第四章建立了基于風險補償?shù)膮^(qū)間型小企業(yè)貸款定價模型。第五章為本文的結(jié)論與展望部分。本文的主要研究內(nèi)容如下： (1)根據(jù)我國小企業(yè)財務信息不健全的特點,建立了小企業(yè)貸款違約概率的測度模型。 以國內(nèi)某地區(qū)型商業(yè)銀行可收集的小企業(yè)貸款指標數(shù)據(jù)為基礎,結(jié)合國內(nèi)外金融機構及典型文獻的高頻指標,通過主變量分析和邏輯回歸分析相結(jié)合的方法篩選出能顯著區(qū)分違約企業(yè)和非違約企業(yè)的指標,構建了包括資產(chǎn)負債率、凈利潤現(xiàn)金含量等16個指標組成的小企業(yè)貸款違約概率測算模型。 通過資產(chǎn)負債率、凈利潤現(xiàn)金含量等指標反映了小企業(yè)的償債能力；通過凈資產(chǎn)收益率、營業(yè)利潤率等指標反映了小企業(yè)的盈利能力；通過應付賬款周轉(zhuǎn)率等指標反映了小企業(yè)的營運能力；通過業(yè)主相關行業(yè)從業(yè)年限、專利狀況等指標反映了小企業(yè)內(nèi)部非財務因素；通過個人信用卡記錄、居住狀況等指標反映了小企業(yè)業(yè)主的基本情況；通過擔保、抵押、質(zhì)押反映了小企業(yè)貸款的抵質(zhì)押擔保狀況。 (2)建立了覆蓋資本風險、違約風險等風險補償參數(shù)的小企業(yè)貸款定價模型。 根據(jù)巴塞爾協(xié)議對商業(yè)銀行核心資本充足率的最低規(guī)定,反推出特定貸款的資本收益,并使資本收益在貸款定價中得到補償。根據(jù)小企業(yè)財務信息相對不健全等特點,確定適合于測算小企業(yè)違約風險補償?shù)哪Ｐ?使小企業(yè)貸款定價模型中的違約風險得到合理的補償。考慮了存款準備金比率對存款付息成本的影響,提高了貸款資金成本的測算精度。通過計算貸款的資本風險、違約風險等補償參數(shù),建立了覆蓋貸款財務成本、貸款資本收益、違約風險補償?shù)男∑髽I(yè)貸款定價模型。 (3)在違約風險補償、資本風險補償?shù)榷▋r參數(shù)為區(qū)間數(shù)的背景下,建立了銀企雙方均可接受的、區(qū)間型小企業(yè)貸款定價模型. 采用區(qū)間數(shù)的形式反映存款利息支出率、費用支出率、違約風險補償率、資本風險補償率等定價指標所具有的彈性特征。以存款利息支出率、違約風險補償率等4個定價指標作為輸入,以貸款利率作為輸出,通過逆向求解區(qū)間數(shù)DEA模型,建立了基于風險補償?shù)膮^(qū)間型小企業(yè)貸款定價模型。
[Abstract]:Asset pricing is one of the three basic pillars in the field of modern finance . The problem of loan pricing is one of the core decisions of commercial banks . The reasonable pricing of small enterprise loan is beneficial to improving the current situation of financing difficult and difficult loan of small enterprises . Therefore , the problem of pricing decision of small enterprises is not only a problem of pricing decision - making of commercial banks , but also a very important social problem . This thesis is divided into five chapters . The first chapter analyzes the background of the topic , the progress of the research , the relationship between the research contents , the research thought and the technical route . The second chapter establishes the model of calculating the default probability of small enterprises based on the principal variable - logistic regression analysis . Chapter three establishes the model of the loan pricing based on the risk compensation . Chapter 5 sets up the loan pricing model of interval type small enterprise based on risk compensation . ( 1 ) Based on the characteristics of imperfect financial information of small enterprises in our country , a measure model of loan default probability of small enterprises is established . Based on the data of small enterprise loan data collected by a regional commercial bank in China , combined with the high frequency indexes of financial institutions and typical literatures at home and abroad , the indexes of the default enterprises and non - default enterprises are selected through the combination of principal variable analysis and logistic regression analysis , and a model for calculating the default probability of loan default of small enterprises composed of 16 indexes including asset liability ratio and net profit cash content is constructed . The debt service ability of small enterprises is reflected through indicators such as asset - liability ratio and net profit and cash content , and the profitability of small enterprises is reflected through the indexes such as net asset yield and operating profit margin . ( 2 ) A small enterprise loan pricing model covering the risk compensation parameters such as capital risk and default risk is established . According to the minimum stipulation of the Basel Accord to the core capital adequacy ratio of commercial banks , the capital gains of the specific loans are reversely pushed out , and the capital gains are compensated in the loan pricing . According to the relative imperfection of the financial information of the small enterprises , it is determined that the risk of default in the loan pricing model of the small enterprise is reasonably compensated . The loan pricing model covering the loan financial cost , the loan capital gains and the default risk compensation is established through the calculation of the compensation parameters such as the capital risk and the default risk of the loan . ( 3 ) Under the background of the pricing parameters such as default risk compensation and capital risk compensation , the pricing model of SME loan is established . In this paper , four pricing indexes such as deposit interest expense rate , cost expenditure rate , default risk compensation rate and capital risk compensation rate are reflected in the form of interval number . Four pricing indexes such as deposit interest expense rate and default risk compensation rate are used as input , and loan interest rate is used as output , and interval number DEA model based on risk compensation is established through inverse solution interval number DEA model .

【學位授予單位】：大連理工大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.4;F276.3

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