浅议中国商业银行公司贷款定价.pdfVIP

浅议中国商业银行公司贷款定价 摘 要 利率市场化是中国银行业改革的必然方向。在改革过程中，中国 的银行将面临来自贷款定价的巨大挑战。本文首先总结了目前成熟的 定价理论和中国银行业实施定价的现状。分析了这些理论在风险定价 方面的不足，提出一种对 Merton 模型的改进方法，用来计算短期流 动资金贷款的风险价格，并指出该风险价格应该结合违约率进行定价 计算。至于计算违约率的方法，本文提到 Merton 的违约距离和 Cox 的比例风险模型，模型所得结果能够提供对风险的相对排序，结合历 史违约分布，就能得到真实违约率。最后本文实证分析了某银行 150 家贷款客户的数据，分别运用文中所发展的定价模型计算了风险价格 以及违约距离，并讨论了计算结果与实际定价的关系。    关键词：贷款定价、利率市场化、Merton 模型、违约率        ON THE PRICING OF CORPORATE LOANS IN CHINA      ABSTRACT      The interest rate liberalization will be taking place soon in China’s banking industry. In the process of this reform, how to correctly price corporate default risk will be a great challenge for banks. This thesis firstly reviews existing pricing theories and the status quo in China’s banking system. The existing theories and practices are very limited in pricing default risk. Merton’s Model provides a theoretical method to analyze the corporate default risk, based on the viewpoint of equity being the same as a call option on assets. The thesis develops a new Merton’s type model for the structural characteristics of short-term loans in China. Applying the new model, we can get the price of default risk. The price should be combined with default probability together to decide the market risk price. The thesis mentions two methods to reach to that probability. One way is to compute Merton’s distance-to-default, and the other is to use Cox’s proportional hazard model. Empirical studies have been done by analyzing a bank’s 150 borrowers. Some meaningful results have been got. KEY WORDS: pricing loans, interest rate liberalization, Merton’s Model, Default Probability