基于还款能力和还款意愿的贷款定价模型研究

企业的违约取决于还款能力和还款意愿综合作用的结果。传统的信用风险评估方法将还款能力与还款意愿当成两个独立的对象来处理,分别对二者进行评估后再做出风险决策,这种做法忽视了二者之间的内在联系,从而影响了信用风险决策的科学性与合理性。文章通过比较企业还款的成本与企业违约的机会成本大小来量化还款意愿,建立了一个n期的模型量化了借款人的动态的还款意愿。在此基础上,研究了企业还款意愿、还款能力对信用风险定价的交互影响,进一步建立了综合考虑还款能力和还款意愿两类因素条件下的贷款定价模型。

Loan-pricing Model Based on Repayment Ability and Repayment Willingness

The possibility of default for a corporation depends on the combined effects of its ability and willingness to repay.The conventional methodologies for credit risk measurement view repayment ability and repayment willingness as two separate objects,which evaluates them separately and then makes the risk decision.This method has ignored the intrinsic relationship between them,so as to hamper the scientificity and rationality of the credit risk decision.The repayment willingness is quantified by comparing the...