| 基于简约型方法的商业银行信用贷款定价研究 |
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| 引用本文： | 么向华,蒋东明.基于简约型方法的商业银行信用贷款定价研究[J].北京交通大学学报(社会科学版),2007,6(3):59-63. |
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| 作者姓名： | 么向华 蒋东明 |
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| 作者单位： | 天津大学,管理学院,天津,300072;中信银行计划财务部,北京,100027 |
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| 基金项目： | 国家自然科学基金资助项目(70573076) |
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| 摘 要： | 本文研究了利率市场化背景下的商业银行信用贷款定价问题。通过借鉴Hughston＆Turnbull（2001）中将风险债券定价问题分解为三个基本定价模块的办法,建立了贷款定价模型。经过对算例的Monte Carlo随机模拟,实际计算出了贷款的风险升水g,得出了盈亏平衡条件下信用贷款的风险升水主要取决于贷款客户的信用等级、贷款期限,并在满足一定假设条件下,与银行授信额度、客户实际使用额度情况无关,且应用模型可以在贷款期限内的任何时点计算出盈亏平衡利率。结论对商业银行信用贷款业务实际操作具有现实意义和推广价值。
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| 关 键 词： | 信用风险 简化型方法 贷款 定价 |
Research of Pricing A Credit Loan in Commercial Bank Based on Reduced form Approach |
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| YAO Xiang-hua,JIANG Dong-ming.Research of Pricing A Credit Loan in Commercial Bank Based on Reduced form Approach[J].Journal of Beijing Jiaotong University Social Sciences Edition,2007,6(3):59-63. |
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| Authors: | YAO Xiang-hua JIANG Dong-ming |
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| Institution: | YAO Xiang-hua,JIANG Dong-ming (1.School of Management,Tianjin University,Tianjin 300072,China;2.Department of Planning and Financing,China CITIC Bank,Beijing 100027,China) |
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| Abstract: | The article studies how to price a credit loan in the commercial bank under the circumstances of floating interest rates.Through borrowing ideas from the approach of Hughston ＆ Turnbull（2001）which decomposes the question of pricing a credit bond into three basic building blocks,the model of pricing is deduced.By the Monte Carlo simulating an example,risk premium of a credit loan is calculated.The conclusion conditioned on ＂break-even＂ point is that the risk premium of a credit loan is not related to the maximum authorized amount and the drawdown amount under some conditions,but is only rested with credit rate and loan term of a borrower,and applying the model ＂break-even＂ interest at any time within the term can be calculated.This conclusion is significant to the credit operations of commercial bank. |
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| Keywords: | credit risk reduced form approach loan pricing |
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