【作者】 陈秀梅；

【导师】 高长元；

【作者基本信息】 哈尔滨理工大学 ， 管理科学与工程， 2011， 博士

【摘要】 贷款业务是我国商业银行的核心业务，也是其盈利的主要来源之一。贷款定价的合理与否，不仅影响商业银行的收益水平，更会影响其资产质量、客户结构和市场竞争力。目前，在内外部激烈的市场环境下，加之缺乏对借款人信用风险的科学度量，商业银行制定的贷款价格与其承受的信用风险并不对等。由于这种不对等，使得借款人发生违约行为时，商业银行无法获得相应的风险补偿。当大量违约事件同时出现时，商业银行的生存将面临巨大风险。因此科学度量借款人的信用风险并将其合理的反映在贷款价格中，对于商业银行提高贷款定价能力、建立科学合理的贷款定价机制、适应利率市场化的金融环境具有重要的理论意义和切实可行的现实意义。任何企业都不能不受其他因素影响而孤立地制定价格，商业银行也不例外。本文在对信用风险度量和贷款定价的相关理论和方法进行分析的基础上，首先从商业银行贷款活动所涉及的宏观及行业层面、交易对手层面和银行内部经营层面对相关影响因素进行分析，并给出相应量化指标；接着从贷款合约角度分析贷款期限和贷款发放时间对贷款利率的影响并进行相应量化；最后对银企关系进行了界定并给出各类银企关系对贷款利率影响的量化标准。贷款的信用风险是商业银行在定价中最难把握的不确定因素，其度量包括对借款人违约概率和贷款违约损失率两方面。对借款人违约概率的确定上，本文在对借款人违约原因进行分析的基础上，首先对借款人债务保障现金流影响因素进行研究，并从定性和定量两方面设定贷款定价流程终止标准；接着根据借款人债务保障现金流分布形态和分布特征确定其分布函数的方法和步骤；最后设定了借款人违约的标准并对债务保障比率临界值进行了研究。对贷款违约损失率的确定上，本文首先给出在无其他担保方式下借款人保障现金流对贷款偿付率计算的方法，然后分别研究了第三方保证、抵押、质押三种担保方式下贷款违约损失率的度量。根据混合Copula模型建立了借款人和担保人的联合违约分布函数，并研究了在联合违约概率下担保人对贷款的偿付率；应用ARCH、GARCH和t-GARCH模型对抵押物价值波动性进行描述的基础上，借鉴VaR理论构建抵押物（质押物）风险价值模型，并根据抵押物（质押物）风险价值对债务的比率判定抵押物（质押物）是否可以设置担保。在体现贷款信用风险的前提下，商业银行在制定贷款价格时还要实现“具有竞争力、风险可控下收益最大化、覆盖经营成本实现预期盈利”的目标。为综合体现贷款信用风险量化与商业银行经营目标的结合，本文根据各目标下贷款定价所参照的信用风险标准不同分别建立了单目标贷款定价模型；然后根据多目标优化理论建立体现商业银行经营目标的贷款定价模型，并提出分层平衡思想求解贷款利率；最后利用Markov链对信用风险变化过程进行了描述，在此基础上实现了即期贷款利率的远期变换。在上述研究的基础上，本文第六章以某上市公司为例，研究在第三方担保下的贷款利率的确定过程。借助Matlab工具分别对借款人、担保方的债务保障现金流的分布函数以及两者间的联合违约分布函数进行了拟合，并对相关参数进行了估计和检验，在此基础上确定主体违约概率和联合违约概率，借助违约损失率的计算方法得到预期损失。在单目标贷款定价的基础上，根据分层平衡思想求解得到借款人的贷款利率区间。更多还原

【Abstract】 Credit is one of the key businesses of commercial banks in China; it is alsoone of the major sources of their earnings. The reasonable price of loans will notonly promote the income of commercial banks and it also improves the quality ofits assets, the customer structure and its competitiveness. At present, under thefierce external compete and without scientific measurement of the borrower’scredit risk, when commercial banks make out the loan price, it can not cover thecredit risk the banks to face. Thus, when borrowers are default, the commercialbanks can not obtain the corresponding risk compensation. At the same time,when a large number of events of default occur, the commercial banks will facegreat survival risk. So measure the borrower’s credit risk scientifically and let itbe a part of considerations of a loan pricing will be important theoretical andpractical significance for commercial banks to improve their loan pricing abilities,establish reasonable loan pricing methods and adapt to the market interestfinancial environment.Any one can’t make price without considerate other factor, besidescommercial banks. Based on the study of the related theory and method of thecredit risk measurement and loan pricing, we analyze the relevant factors whichaffect the loan activities in the macro and industry level, the counterparty leveland bank management level, and give the corresponding quantization standards;then we analyze the impact on loan interests that made by loan term and loanrelease time in the loan agreements and quantify them; finally we defines therelationship between banks and enterprises, and make out the effect on loaninterest made by all kinds of relationship between banks and enterprises, and givethe way to quantify them.When commercial banks make out the price of a loan, the credit risk of theloan is the most indeterminate factor and its measurement including calculate the probability of borrower default and the LGD of the loan. When determine theborrower’s default probability, this paper, based on the analysis of the borrower’sdefault reasons, first do some study on borrower’s debt ensuring cash flow andfrom quality and quantity two aspects we set the stop point for a loan. Thenaccording to the distribution pattern and distribution characters of the borrower’sdebt ensuring cash flow we give the way and steps to determine its distributionfunction. At last, we give the rules to judge whether the borrower is default andalso set the threshold value of the rules.When calculate the LGD of the loan, we first give the method for calculatingthe payment rate and default loss rate of debt without other guarantees. Then wediscuss the measurement of default loss under three conditions: first, the debtwith others guaranteed; second, and the debt with pledge; third the debt withhypothecation. By Multi-Copula theory, we develop the joint distributionfunction for borrower and guarantor. We use ARCH, GARCH and t-GARCHmodel to explain the fluctuations in the value of the collateral and reference toVaR theory we establish collateral value risk model. According to mortgage(pledge) value risk ratio of debt to determine the value of mortgage (pledge) canset the security.Having reflected the credit risk the loan pricing should cover the followingtargets: the price should be competitive, maximize the income on the risk undercontrol, cover the cost and achieve the desired profit. In order tocomprehensively reflect the combination of the loan credit risk and commercialbanks’ management goal, the paper analysis we made, we established signaltarget loan pricing models according to the different credit risk that target whichmentioned above should references. Then based on the multi-targets optimizationtheory we give the loan pricing model which reflect the commercial banksmanagement targets and use tiered balance pricing scheme to work out loanpricing for the model; Finally, we use Markov chain to introduce the changes incredit risk and based on these we realized the transformation of the current loaninterest to long-term loan interest.Based on these studies, in sixth chapter we have a listed company as anexample to show how to calculate the loan price with guarantee. In this example,with the help of Matlab we make out the distribution functions and their parameters for the debt ensuring cash flows of borrower itself and warrantor,then determine the borrower’s default probability and their joint defaultprobability. We can also get default loss rate through the method we mentioned inthis dissertation. Based on the Loan Pricing in a single target and tiered balancepricing we can get the ranges of loan price for borrower.更多还原