主管：中国科学院
主办：中国优选法统筹法与经济数学研究会
　　　中国科学院科技战略咨询研究院
中国管理科学

中国管理科学 ›› 2007, Vol. 15 ›› Issue (6): 1-6.

• 论文 •    下一篇

基于联合风险的商业银行贷款定价研究

郭战琴1, 周宗放1, 李建平2   

  1. 1. 电子科技大学管理学院, 成都610054;
    2. 中国科学院科技政策与管理科学研究所, 北京100080
  • 收稿日期:2006-08-10 修回日期:2007-11-05 出版日期:2007-12-31 发布日期:2007-12-31
  • 作者简介:郭战琴(1972- ),女(汉族),河南郑州人,电子科学大学管理学院,博士生,研究方向:金融工程、信贷风险评估与管理.
  • 基金资助:

    国家自然科学基金项目(70671017)

Loan Pricing Model of Commercial Bank Based on Credit and Market Correlation Risk

GUO Zhan-qin1, ZHOU Zong-fang1, LI Jian-ping2   

  1. 1. Management School, University of Electronic Science & Technology of China, Chengdu 610054, China;
    2. Institute of Policy & Management, Chinese Academy of Sciences, Beijing 100080, China
  • Received:2006-08-10 Revised:2007-11-05 Online:2007-12-31 Published:2007-12-31

PDF (PC)

1525

被引次数

22

摘要： 当前的贷款定价研究主要针对信用风险,对信用风险和市场风险的联合风险的研究较少。因此从信用风险与市场风险的联合风险角度进行贷款定价的研究,目前还是较新的课题。本文对此进行了探索性研究,构建了基于联合风险的贷款定价模型,并得到了有意义的研究结果:不同的项目贷款,若其市场风险与信用风险的关联程度不一,即使其它指标一致,银行也应对它们执行不同的贷款利率,这个结果对实践有很好的指导意义。

关键词: 信用和市场风险的联合风险, 贷款定价, 风险溢价

Abstract: Most of the current studies in loan pricing field aim at credit risk and pay little attention to the influence of credit and market correlation risk. Research based on credit risk,credit and market correlation risk is now still a new industry. This paper studies this issue and proposes corresponding model.Some significant results are obtained in the paper:Two different item loans will get different interest rate from bank only because they are in different industry. It is argued that different industry will lead to different credit and market correlation risk.

Key words: credit and market correlation risk, loan pricing, risk premium

中图分类号: