硕士论文--基于风险调整后资本收益率模型的贷款定价研究(1)

时间：2025-04-20

硕士论文

南京财经大学

硕士学位论文

基于风险调整后资本收益率模型的贷款定价研究

姓名：孙徐亚

申请学位级别：硕士

专业：金融学

指导教师：闫海峰

2011-01-09

硕士论文

摘要

随着中国加入WTO，逐渐向国际间开放金融市场，再加上利率市场化改革

的不断推进，中国的银行业逐渐开始面临一个竞争日益激烈、内外部风险不断加

强以及资本监管更加严格的融资市场环境。而贷款是银行最主要的盈利资产，贷

款的定价也一直是学术界的热点问题，故贷款定价方法及技术的研究具有理论与

现实意义。

在定价方法中近年来有了新的发展——RAROC（风险调整后的资本收益率）

定价法。RAROC定价法可以对风险不同的贷款客户实行不同的贷款定价，实现

价格与风险的匹配，满足银行优化贷款客户，承担合理风险的要求，从而克服传

统定价方法的很多不足。

本文的主要研究内容是基于RAROC方法的贷款定价问题，从信用风险和客

户综合回报率两个方面，对基本模型进行了修正，解决了银行在贷款定价中忽略

信用等级转移变化和银企整体关系的问题，为贷款定价提供了一种新的思路。本

文以模拟案例分析的形式，通过实际贷款利率、基本模型的贷款利率和修正后模

型的贷款利率的综合比较，发现修正后模型计算的贷款利率更具有优势。因为这

个利率既能覆盖银行承受的各种风险，又较容易被客户接受，能在保证银行利润

的条件下增强银行的竞争力和市场占有额。

关键词：RAROC定价；预期损失；经济资本；客户综合回报率

硕士论文

ABSTRACT When China accessions to WTO, the financial market opens up to the international gradually, and the market-oriented reform of interest rate is continuing. China's banking industry is starting to face a market environment of increasingly competitive, internal and external risks are continuing to strengthen and the capital market regulation is more stringent. The loan is the most important earning assets of bank, and loan pricing is also a hot issue in academia, so the research of loan pricing methods and techniques has a theoretical and practical significance. Pricing methods have a new development in recent years–RAROC pricing. RAROC pricing can achieve to customers with different risks have different prices, make price and risk achieve the match. It also can meet the requirement of bank optimizes loan customers and takes reasonable risks. The method overcomes many disadvantages of traditional pricing theories. The problem of loan pricing based on RAROC is the main content of this paper. The basic model is modified by credit risk and comprehensive customer return, and then solve the ignore problems of the transfer of credit rating changes and the overall relationship between banks and enterprises. It supplies a new of the loan pricing. The

object of study is the simulate cases. Through the comprehensive comparison of the actual interest rate, the rate of the basic model and the rate of modified model, we find

that the modified model performs best on loan rates. The interest rate can cover the

bank risks, but also more easily accepted by customers. In the condition of the

banking profit, the loan rate can enhance the bank’s competitiveness and their market

shares.

KEYWORDS：RAROC Pricing；Expected Loss；Economic Capital；Comprehensive

Customer Return

硕士论文

学位论文独创性声明

本论文是我个人在导师指导下进行的研究工作及取得的研究成果。论文中除

了特别加以标注和致谢的地方外，不包含其他人或其它机构已经发表或撰写过的

研究成果。其他同志对本研究的启发和所做的贡献均已在论文中作了明确的声明

并表示了谢意。