利率市场化下我国商业银行贷款定价研究-金融学专业论文.docxVIP

摘 要 1996 年，我国开始了利率市场化改革，至今已实现许多重大突破。2013 年 7 月 20 日，人民银行宣布结束对商业银行贷款利率下限的管制，表明我国贷款 利率已经完全放开。在此背景下，我国商业银行必须加快贷款定价体系的建设、 制定出能够准确指导银行贷款定价的理论与量化方法，与此相关的深入研究非常 有意义。 本文将总结我国十几年来利率市场化的发展过程及必然性，以此为基础得知 利率定价的必要性。通过综述与贷款利率定价相关的理论，得到贷款定价模型构 建的理论依据，即商业银行的贷款定价必须以风险为核心；基准利率要反映市场 供求状况，应是由供需确定的均衡利率。因而说明我国商业银行现用的贷款定价 方法并不适用于利率市场化环境下。用对比分析法介绍了西方成熟的贷款定价模 型，探讨其在中国金融市场环境中的适用性，综合三种模型的优缺点构建了商业 银行在利率市场化下适用的风险贷款定价模型。采用理论分析与实证检验结合的 方法，验证 Shibor 作为基准利率和用 KMV 模型衡量上市公司违约风险的办法的 合理性。为文中选择的 6 家上市公司进行了实际贷款定价的案例分析。最后，本 文也提出了一些有助于我国商业银行应对利率市场化的策略。 关键词： 商业银行，风险，贷款定价，实证研究 Abstract China began the interest rate marketization reform since 1996 and so far we have had a lot of important breakthrough. On July 20, 2013, the Peoples Bank of China announced the cancellation of the limitation of commercial bank loan interest rate floor, which means the loan interest rate has been completely marketized. Under this background, the commercial banks in China must speed up the construction of loan pricing system and design a reasonable model to price the loan. Therefore, the further study of banks’ loan interest rate pricing is very meaningful. This paper will review the history of interest rate marketization in our country and point out the necessity of the interest rate pricing. Acquire the loan pricing model building gist through the study of loan interest rate pricing theory, which is that the commercial bank loan pricing must take risk as the most important factor. The benchmark interest rate is a equilibrium interest rate that reflect the market condition and determined by supply and demand. Introduce the current loan pricing method used by our country commercial banks and find it isn’t apply to the market-oriented environment. So we need to design a suitable way to make the loan price. Make a comparative analyzes between mature loan pricing models in the world in order to explore their applicability in China’s financial market environment and put forward the commercial bank loan pricing model on the basis