發(fā)布時(shí)間：2018-01-04 13:23

  本文關(guān)鍵詞：我國(guó)中小商業(yè)銀行貸款定價(jià)模式研究　出處：《鄭州大學(xué)》2017年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 貸款定價(jià) RAROC定價(jià)模型 銀企關(guān)系 風(fēng)險(xiǎn)成本

【摘要】：2013年我國(guó)貸款利率市場(chǎng)化正式完成,標(biāo)志著我國(guó)市場(chǎng)經(jīng)濟(jì)建設(shè)邁入了一個(gè)新的層級(jí)。貸款利率的放開(kāi)能夠給予商業(yè)銀行定價(jià)自主權(quán),但是,也對(duì)銀行的貸款定價(jià)能力提出了挑戰(zhàn)。中小商業(yè)銀行是我國(guó)金融市場(chǎng)的重要組成部分,對(duì)我國(guó)金融市場(chǎng)的健康穩(wěn)定發(fā)展起著關(guān)鍵性的作用,通過(guò)對(duì)我國(guó)中小商業(yè)銀行貸款定價(jià)發(fā)展歷程的研究,由于我國(guó)先前嚴(yán)格的利率政策,我國(guó)中小商業(yè)銀行的貸款利率一直是參照官定利率,在官定利率的規(guī)定范圍內(nèi)對(duì)貸款進(jìn)行定價(jià),定價(jià)能力與自主定價(jià)積極性都不強(qiáng),隨后的貸款定價(jià)探索過(guò)程中,雖然利率管制相對(duì)放寬,但是由于經(jīng)濟(jì)發(fā)展環(huán)境的影響和中小商業(yè)銀行自身所處的發(fā)展階段,在取得貸款定價(jià)進(jìn)步的同時(shí),我國(guó)中小商業(yè)銀行所采用的貸款定價(jià)方式也存在著一些問(wèn)題,在定價(jià)權(quán)放開(kāi)的背景下,如何提升中小商業(yè)銀行的定價(jià)能力是一個(gè)亟待解決的問(wèn)題。通過(guò)對(duì)西方發(fā)達(dá)商業(yè)銀行定價(jià)模式的研究,其主要使用的定價(jià)模型為成本加成模型、基準(zhǔn)利率加成模型、客戶(hù)貢獻(xiàn)度模型以及RAROC定價(jià)模型,通過(guò)對(duì)幾種定價(jià)模型的研究,發(fā)現(xiàn)其有各自的優(yōu)缺點(diǎn)和貸款定價(jià)傾向。其中,使用最為廣泛,定價(jià)準(zhǔn)確性最高的是RAROC定價(jià)模型。通過(guò)對(duì)我國(guó)利率市場(chǎng)化進(jìn)程和銀行自身狀況的分析,我國(guó)中小商業(yè)銀行具備使用RAROC定價(jià)模型的客觀基礎(chǔ)�？陀^考察RAROC定價(jià)模型,其計(jì)算公式中并沒(méi)有關(guān)于銀企關(guān)系的因素,這嚴(yán)重脫離了現(xiàn)階段商業(yè)銀行業(yè)務(wù)的實(shí)際情況,在使用計(jì)量方法確定了RAROC模型各要素的計(jì)算公式后,對(duì)原有模型進(jìn)行修改,加入了客戶(hù)貢獻(xiàn)要素,使模型能夠根據(jù)客戶(hù)對(duì)中小商業(yè)銀行的貢獻(xiàn)對(duì)利率做出動(dòng)態(tài)調(diào)整。通過(guò)實(shí)證,改進(jìn)后的RAROC定價(jià)模型能夠照顧到非預(yù)期風(fēng)險(xiǎn),符合新資本協(xié)議的要求;并能根據(jù)客戶(hù)為銀行提供的收益給出優(yōu)惠利率,滿(mǎn)足銀行更深層次挖掘存量客戶(hù)的需要。這對(duì)于中小商業(yè)銀行降低貸款風(fēng)險(xiǎn),提高定價(jià)能力和競(jìng)爭(zhēng)力有著積極的作用。
[Abstract]:In 2013, the marketization of loan interest rate in our country was formally completed, marking that the construction of market economy of our country has entered a new level. The liberalization of loan interest rate can give commercial banks pricing autonomy, but. Small and medium-sized commercial banks are an important part of our financial market and play a key role in the healthy and stable development of our financial market. Through the study of the development of loan pricing of small and medium-sized commercial banks in China, because of the strict interest rate policy, the loan interest rate of small and medium-sized commercial banks in China has always been the reference rate. Pricing of loans within the scope of government interest rates, pricing ability and independent pricing enthusiasm are not strong, later in the loan pricing exploration process, although the interest rate control is relatively relaxed. However, due to the impact of the economic development environment and the development stage of the small and medium-sized commercial banks themselves, while making progress in loan pricing, there are some problems in the loan pricing methods adopted by the small and medium-sized commercial banks in China. In the context of the liberalization of pricing power, how to improve the pricing ability of small and medium-sized commercial banks is a problem to be solved urgently. The main pricing models are cost addition model, benchmark interest rate addition model, customer contribution model and RAROC pricing model, through the study of several pricing models. It is found that it has its own advantages and disadvantages and loan pricing tendency. Among them, the most widely used and the most accurate pricing model is the RAROC pricing model. Through the analysis of the interest rate marketization process and the bank's own situation in China. China's small and medium-sized commercial banks have an objective basis for using the RAROC pricing model. When the RAROC pricing model is objectively investigated, there are no factors related to the relationship between banks and enterprises in its calculation formula. This seriously deviates from the actual situation of commercial bank business at the present stage. After the calculation formula of each element of RAROC model is determined by using the measurement method, the original model is modified and the customer contribution factor is added. The model can dynamically adjust the interest rate according to the customer's contribution to the small and medium-sized commercial banks. The improved RAROC pricing model can accommodate the unexpected risks and meet the requirements of the new capital agreement. And can give preferential interest rate according to the income that the customer provides for the bank, satisfy the need of the bank to dig the stock customer deeper level, this reduces the loan risk for the small and medium-sized commercial bank. Improving pricing power and competitiveness has a positive effect.
【學(xué)位授予單位】：鄭州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.4

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