摘要
商业银行贷款的风险定价机制是利率市场化的核心,实现贷款利率的自主定价将是一个必然的发展趋势。目前中国各商业银行已广泛开展了客户信用等级评定工作,在此基础上如何进行贷款利率的风险定价并确定市场竞争的策略是亟待解决的问题。基于巴塞尔新资本协议内部评级法所使用的4个假设条件建立贷款的损失分布模型,并根据不同信用等级的债务人具有相同风险调整后的资本收益率得出银行贷款的风险定价具有“翘板效应”,即经营成本低的银行在对信用等级高的债务人放贷时有价格优势,可以收取相对(经营成本高的银行)较低的利率,而对于信用等级低的债务人放贷则要收取相对较高的利率,这对中国商业银行进行贷款市场细分并确定合理的市场竞争策略具有重要的指导意义。
This paper sets up a model of loan loss distribution on the base of Internal Ratings-based Approach of the New Basel Capital Accord. According to the same risk-adjusted return on capital of the debtor of different credit grades, the risk pricing of the loan has ＂the seesaw effect＂. Namely, the bank of low managing cost compared to the bank of high managing cost has the price superiority to loan the high credit rank debtor and may relatively gather a lower interest rate, but when making loans to low credit rank debtor, it must gather a relatively higher interest rate. The result is important to segment the loan market and confirm the rational market competitive strategy of the commercial bank of our country.
出处
《管理科学》
CSSCI
2006年第2期72-77,共6页
Journal of Management Science
关键词
巴塞尔新资本协议
内部评级法
贷款利率
风险定价
信用等级
the New Basel Capital Accord
internal ratings-based approach
loan interest rate
risk pricing
credit grade
