隐含违约风险的银行贷款定价研究评述-浙江大学学报.PDFVIP

第 38 卷第 2 期 ( ) 浙 江 大 学 学 报 人文社会科学版 Vol . 38 , No . 2 2008 年 3 月 Journal of Zhej iang University( Humanities and Social Sciences) Mar . 2008 隐含违约风险的银行贷款定价研究评述 金雪军 　毛 　捷 (浙江大学 经济学院 , 浙江 杭州 3 10027) [摘 　要] 银行贷款定价是一项复杂的金融工程 ,通过研究其中的违约风险与贷款定价的内在关 联 、贷款定价中违约风险的理论刻画、违约风险与贷款定价的实证分析等问题发现 :违约风险通过降低 信贷市场效率和信贷合同价值影响银行贷款定价决策 ;贷款定价的理论研究更宜采用内生违约风险 ,而 不是对违约风险作外生刻画 ; 由于缺乏数据 ,违约风险和贷款定价的经验研究欠缺 。 [ 关键词] 不确定性 ; 内生违约风险 ; 外生违约风险 ; 银行贷款定价 A Revie w on the L iterature of Banks Loan Pricing with Impl icit Default Risks J in Xuej un 　Mao J ie ( ) Col leg e of Econom ics , Z hej i ang Uni ve rs i ty , H ang z hou 3 10027 , Ch i na Abstract : Banks loan p ricin g p roce ss i s u sually regar ded a s a co mp lex financial en gineering in t hat many f actor s inclu ding imp licit def ault ri sk s p lay role s in t he p roce ss. Focu sing on t he relation ship bet ween def ault ri sk s an d loan p ricing , t hi s p ap er di scu sse s so me p roblem s exi sting in t he relevant lit erat ure . Fir st ly , we inve stigat e w hat t he f unctio n default ri sk s imp lement in banks loan p ricing deci sion by analyzing t heir int er nal cor relation and find t hat on t he o ne han d , def ault ri sk s t hat do not exi st a s an evident f actor decrea se efficiency of re so urce allocation in credit mar ket s , w herea s on t he ot her hand t hey al so dep reciat e t he value of a loan cont ract . Therefore , any rea s