基于随机生产函数的贷款定价模型及应用  

Loan pricing model based on stochastic production function and application

作　　者：隋聪[1] 迟国泰[1] 

机构地区：[1]大连理工大学管理学院,大连116024

出　　处：《管理科学学报》2010年第9期16-25,共10页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(70471055);教育部人文社会科学研究项目基金资助项目(09YJC790024);大连理工大学基本科研业务费专项资金资助项目;大连银行小企业贷款定价资助项目;中国邮政储蓄银行总行资助项目

摘　　要：利用贷款定价的随机生产函数中参数的估计值,建立贷款定价公式,在技术效率最优时求解新贷款利率,建立了基于随机生产函数的贷款定价模型.该模型的特色与创新是:1)通过在基于随机生产函数的贷款定价公式中新贷款技术效率等于最优技术效率,确定新贷款利率,保证了新贷款利率技术效率最优.解决了在随机生产函数法、最优技术效率情况下确定贷款利率的问题,改变了现有研究忽略贷款定价能否被客户接受的现状,提供了贷款定价的新思路.2)通过建立基于随机生产函数的贷款定价公式,在新贷款的技术效率最优时反求新贷款利率,提供了随机生产函数在最优效率前提下确定产出的方法.改变了随机生产函数仅仅在已知投入和产出情况下单纯评价技术效率的情况,拓展了随机生产函数的用途.3)结合随机前沿方法,建立基于随机生产函数的贷款定价模型.经中国期刊全文数据库和E lsevier等数据库的文献检索发现该模型是首次针对贷款定价的技术效率问题建立了贷款定价模型,解决了保证技术效率最优的贷款定价问题.This paper establishes the formula of loan pricing with estimated value of parameters in the stochastic production function.At the same time,it confirms the loan rate when the technical efficiency is optimal and fixes the loan pricing model based on stochastic production function.The features and innovations of this model are： Firstly,this model ascertains the loan rate of new loan on the premise that the technical efficiency is optimal based on the stochastic production function and ensures the optimal technical efficiency of loan pricing and deals with the contradictory problem that the loan pricing not only overlays the cost and risk but also is accepted by clients,which provides a new idea to loan pricing.Secondly,through the loan pricing formula based on stochastic production function,the loan rate of optimal technical efficiency can be fixed and the method that the output is fixed in the stochastic production function can be provided when the technical efficiency is optimal.So this model expands the use of the stochastic production function to fix the outputs when the technical efficiency is assessed by this function.Thirdly,combined with stochastic frontier,the loan pricing model is established based on the stochastic production function.We retrieve all the documentation in China Journal Full-text Database and Elsevier,etc.,and find that it is the first loan pricing model to ensure the optimal technical efficiency of loan pricing.

关 键 词：贷款定价 随机生产函数 技术效率 随机前沿分析 

分 类 号：F830.33[经济管理—金融学] C931.1[经济管理—管理学]