基于RAROC的贷款风险定价实证研究  

An Empirical Research of Loan Risk Pricing Based on RAROC

作　　者：薛锋[1] 孙进[2] 

机构地区：[1]西安交通大学管理学院,陕西西安710049 [2]中国银行深圳沙头角支行,广东深圳518081

出　　处：《经济经纬》2009年第6期131-134,共4页Economic Survey

基　　金：国家社科基金资助项目(编号:08BJY156)

摘　　要：本文根据"风险-损失-补偿"传导原理,构建了基于RAROC方法的贷款风险定价框架和模型。对研究样本的经营成本、风险成本、经济资本等相关参数进行了计算,得出样本企业贷款价格,并与银行实际定价进行比较分析。研究发现银行现行定价容易低估贷款风险,对非预期损失风险的补偿程度不够,RAROC定价方法可衡量贷款风险并给出适当的价格补偿,这有助于我国银行业风险控制能力和资金使用效率的提高。According to the 'risk-loss-compensation' conduction principle,the authors build the loan risk pricing framework and model based on RAROC approach.Through calculating the operating costs,risk costs,economic capital and other related parameters of the research samples,the authors get the loan prices of sample enterprises,and compare and analyze them with the actual pricing of banks.The study finds that the current pricing of banks tends to underestimate the loan risks and the compensation for risks in non-ex...

关 键 词：RAROC 违约概率 经济资本 贷款定价 

分 类 号：F830.5[经济管理—金融学]