基于信用等级评价的银行贷款动态定价方法研究-金融学专业论文.docx

硕士学位论 文摘要，，加入后随着中国金融服务市场开放日程的逐渐临近金融同业的竞争，。，，明显加剧降息和利率下浮存贷利差的缩小使得以此为主要收益来源的银行盈。利空间进一步缩小同时中国利率市场化改革也在不 断深化银行在存贷款定。，价上将获得前所未有的自主权这些都促使商业银行应不断进行贷款定价方面的。金融创新本文旨在抓住银行这一堕待研究解决的问题通过借鉴国外基于 企业，业绩变化进行贷款定价的理念研究形成一套有别于以往静态定价方法并适合中，国实际情况的贷款动态定价机制为银行从以贷款风险度管理为核心的贷款风险。管理系统向以贷款定价为核心的贷款风险经营机制转换提供一定的理论支持，。本文首先简要论述 了商业银行贷款定价的基本原理和原则分析了影响贷款定，，价的主要因素并对国外商业银行传统的贷款定价三大模式进行了介绍和评述，在此基础上通过将以往定价法归结为固定利率的定价策略分析它们在贷款定，，价时的签约问题以及解决这些问题时的局限性并将其与本文所研究的动态定价，，法进行比较挖掘了动态定价法能降低银行风险曝露直接减少贷款的重新订约，、成本间接减少道德风险逆向选择成本的经济作用和特征这也是研究该方法。的经济意义所在，，，接着本文对贷款动态定价的具体方法进行研究包括引入信用等级作为借款，人信用风险衡量变量构建银行内部信用评级体系通过综合传统定价法的各种，一因素确定贷款的基准利率应用模型在贷款存续期内对贷款的未来价值进，行评估来确定贷款的信用 “ 损失” 和 “ 收益”并通过贷款风险度与风险溢价之间，的联系对该模型进行了适合中国国情的修正以上这些都构成动态定价法的有机。组成部分，最后 本文在方法研究的基础上选取真实案例检验动态方法在贷款定价实践中，的应用情况并进行了详细分析得出了动态方法是贷款定价的行之有效方法的结。论关键词贷款定价银行 内部信用评级体系“ 盯市” 模型贷款风险度办’，’，，，，，’·一一，，一，，’，’’，，一’“，，“，，，一一，，硕士学位论文，，，’一一基于信用等级评价的银行贷款动态定价方法研究插图索引图图中国利率体系的内部结构图···················································……’ ‘‘ ’’ ‘‘典型的基于负债 现金流比率的业绩定价贷款合约本文研究框架··········……“”””““” ””” ”︶八、贷款定价基本原理图银行贷款预期收益曲线图企业信用评级指标体系图 信用级别移动图……应用分析思路设计图内只匕践八︶一 ︶苍硕士学位论文附表索引表金融机构存贷款在信贷收支中占比·· ············· ······ ······ ···············……表不同优惠利率水平下的优惠加数和优惠乘数表························……、表信用等级与评级得分客户类别对应关系表···························……表限制性条件一览表····························································表违约风 险补偿费估算表…………······················································表贷款期限风险补偿费估算表····················· ···························……表根据客户存贷比确定的利率减让幅度表·································……表根据客户结算量确定的利率浮动幅度表····················……，··· ···……表贷款风 险分类与信用等级的相关关系表·································……表贷款对象信用等级变换系数表·············································……表贷款方式基础系数表···························································……一表贷款期限换算系数表·························································表贷款风险度与风险溢价对应关系表·······································……表年公司简要合并资产负债损益报表······ ······ ······ ···············……表年客户信用等级测 评表············································· ···……表年月日的上市国债交易表··· ···········