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论文编号：	6303
作者编号：	2120122630
上传时间：	2014/6/7 14:24:41
中文题目：	基于RAROC的我国商业银行贷款定价研究
英文题目：	The study of loan pricing in China Commercial Bank with RAROC method
指导老师：	黄福广
中文关键字：	商业银行；RAROC模型；贷款定价；客户回报率
英文关键字：	Commercial Banks; RAROC Model; Loan Pricing; Customer Returns
中文摘要：	贷款业务是商业银行开展业务中最为主要的业务之一, 如何选择合适的用款企业, 并对贷款进行合理的定价, 是在目前商业银行日常经营管理决策中所面临的一项重要课题。自我国加入WTO以来,商业银行之间竞争日益加剧, 我国商业银行必须通过提高自身的风险管理能力才能在竞争激烈的环境中取得有利地位, 而贷款定价水平的高低则充分体现着商业银行风险管理水平。近年来, 我国利率市场化改革取得了实质性的进展, 利率市场化对我国商业银行传统的盈利模式提出了挑战。 本文正式在这个大背景下对商业银行贷款定价进行的研究, 从商业银行贷款定价的基础理论入手, 通过对国外贷款定价方法的简要介绍和分析。在此基础上, 结合目前我国商业银行贷款定价的现状和存在的一些问题, 提出在利率市场化改革进程中和在巴塞尔Ⅲ框架下,我国商业银行贷款定价思路应适应我国国情, 即首先通过RAROC贷款定价方法计算出利率浮动的范围, 在此基础上根据客户贡献度的不同确定每个客户的贷款定价。在对各项影响因素分析的基础上, 通过案例演示该定价思路在贷款业务定价时的应用,并提出相应的应用方法和建议。本文共分为六个部分。第一部分是引言, 主要介绍了本文的选题背景和选题意义。第二部分是贷款定价理论与方法回顾, 在对西方贷款定价的基本理论原理介绍基础上引出RAROC贷款定价理论及其模型并对主要影响因素进行了分析, 通过分析提出改进。第三部分RAROC贷款定价方法在我国商业银行应用的必要性和可行性进行分析。第四部分重点分析了基于RAROC贷款定价方法的改进。第五部分选取商业银行的贷款资料进行贷款定价模拟。第六部分为本文结论和应用建议。 本文在借鉴已有的贷款定价模型做出的关于客户回报的动态调整基础上, 利用贷款案例对改进前和改进后的模型进行了检验, 改进后的 RAROC 定价考虑了客户贷款期间的信用变化, 并充分考虑银行和企业间的业务往来关系, 并依据客户贡献对贷款利率做出调整。这对我国银行提高其在国内和国际市场上的定价能力和竞争力都具有呼应时代的重大意义。
英文摘要：	Loans are one of the core businesses of commercial banks. How to choose the right credit target, and reasonable pricing loan projects are important issues in today's commercial banks’ ordinary course of business decisions. Since China's accession to WTO, there comes the increasing competition in the commercial banks, China's commercial banks must improve their risk management capabilities in order to win in the competition, and loan pricing is a comprehensive reflection of the level of risk management of commercial banks. In latest years, China's interest rate market entered a substantive stage, reform of interest rates market posed a challenge to the traditional profit model of China's commercial banks. This paper is about the commercial bank loan pricing based on the above background. We started with the theory of commercial bank loan pricing, briefly introduced foreign loan methods. Combined with the current China’s commercial banks status of loan pricing, we gave the commercial bank loan pricing ideas based on the interest rate reform and BaseⅢ. In our ideas, China's commercial bank loan pricing ideas should be adapted to the requirements of China's national conditions. Namely, first calculate the floating interest rate range by ROROC method, and then according to each customer's contribution of different customers, using case to demonstrates the application of the pricing method, and gave the corresponding application methods and recommendations. This paper is divided into six parts. The first part is an introduction, describes the background and significance of the topic of this article. The second part is a review of loan pricing theory and methods, then leads to the RAROC loan pricing theory and its models, also the decomposition analysis of its influencing factors. The third part is the applicability of RAROC based on China’s commercial banks, as well as its necessity and feasibility to China. The forth part focused on the improvement of RAROC method. The fifth part we selected the data of one commercial bank, using the customer relationships based RAROC loan pricing model to price a loan. The sixth part of this paper is about the conclusions and apply recommendations of this paper. This paper is about a dynamically adjustment of RAROC on the basis of customer returns. We chose a case to test the RAROC method before and after improvement. In our conclusion, the improved RAROC method fully considered the business relationships between banks and enterprises, and made adjustments according to the contributions of different customers. This has great significance to improve China’s commercial banks’ competitiveness on loan pricing in the domestic and international markets.
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