基于资本监管要求和还款意愿的贷款定价研究

在借款人有道德风险的情况下,如何合理地确定贷款价格是一个理论界及实务界面临的共同难题。本文分析了企业的还款意愿对商业银行贷款定价的影响,并将还款意愿融入到信用风险定价的结构化模型中,建立了资本监管下商业银行贷款定价模型。研究表明,贷款占用银行的监管资本越多或银行吸收存款的利率越高,贷款价格也越高;企业的还款意愿越弱,则银行给企业的贷款价格越高;反之,企业的还款意愿越强,则银行给企业的贷款价格越低。

Loan-Pricing Based on Capital Supervision and Repayment Willingness

How to reasonably determine loan prices under the condition of borrowers moral hazardis a difficult problem for both the theoretical andpractical circles.This paper considers the impact of borrowers re payment willingness on commercial bank loan pricing,integrates repayment willingness into the structural model of credit risk pricing and establishes the commercial bank loan pricing model under capital supervi sion.The results show that the larger the ratio of loans to banks supervision capital is or the higher the bank deposits interest rates are,the higher the loan prices are;the weaker repayment willingness the firms have,the higher the loan prices offered by banks are.Conversely,the stronger repayment willingness the firms have,the lower the loan prices offered by banks are.