交通银行项目融资定价研究.pdf

摘 要 随着我国利率市场化改革进程的进一步加快，贷款如何定价越来越成为摆在我国 商业银行面前的紧迫的现实任务。 以往，在研究贷款定价时较为笼统，很少有学者针对某一贷款业务品种进行研究。 鉴于我国处于大规模建设期，作为贷款中风险大、期限长、利润高的项目融资在我国 商业银行贷款中占有很大的比重，因此，本文尝试首次就商业银行项目融资定价进行 研究。 项目融资是指以项目的预期收益和资产作为融资基础，由项目的参与各方分担风 险，其核心特点是债权人在项目资产和预期收益之外无追索权或仅有有限追索权的融 资方式。 本文紧抓项目融资上述核心特点，将商业银行项目融资定价看成是无风险收益率 与看跌期权价格的叠加，并将客户评级（PD）、债项评级(LGD)量化的引入项目融资定 价中，提出了交通银行项目融资定价模型。 同时，文章结合交通银行业务实际情况，对321笔项目融资进行了重新定价，并 运用数理统计的方法将模型定价利率与目前利率进行了比较分析。 最后，文章以案例分析的形式，将本文提出的定价模型在案例中完整运用。 关键词：交通银行 项目融资 定价 I Abstract How to make the loan price more precise? This problem becomes more changeable with the acceleration of China’s interest liberalization. Usually we treat all types of facilities alike and seldom pay special attention on a specified one. While China is being under large-scaled construction, the project finance, which has high risk, long-term duration and fruitful-profit return, is taking higher proportion of Commercial Bankings Facility Structure in PRC. Enhance, this article will make further research about the project pricing. Project finance is one of fixed assets loan. The repayment source of it comes from the cash flow which was generated from the completed projects profit. Its a Non-recourse or limited-recourse loan. This article will consider the project loan pricing as the combination of non-risk earning ration and put-option price. Meanwhile, the PD and LGD will be involved. At the end of this article, Bank of Communications pricing proposal will be presented accordingly. And it will be further verified by real cases. Key words: Bank of Communications, Project finance, Pricing