信用风险缓释工具对商业银行贷款定价之影响  

Effects of Credit Risk Mitigation Tools on Loan Pricing of Commercial Banks

作　　者：许友传[1] 裘佳杰[1] 

机构地区：[1]复旦大学经济学院,上海200433

出　　处：《财经论丛》2011年第4期55-61,共7页Collected Essays on Finance and Economics

基　　金：国家自然科学基金资助项目(70903012);教育部人文社会科学研究基金资助项目(09YJC790045);深圳发展银行供应链金融基金资助项目

摘　　要：本文基于我国上市公司的银行贷款数据,就信用风险缓释工具对商业银行贷款定价的影响进行了多视角的研究,发现只有抵押贷款和非抵押贷款的风险溢价间存在显著差异,且信用贷款和保证贷款的风险溢价显著小于抵押贷款。我国商业银行似乎对更高质量的风险缓释工具执行了较高的贷款利率,表明信用风险缓释工具在其贷款风险定价中未能得到应有的体现与反映。我国商业银行对抵押等工具的风险缓释作用的"漠视",是与其特定的风险定价与激励机制有关;同时,基于供应链小企业融资中的过程控制等结构化设计等,讨论了如何降低抵押贷款风险溢价的方式和方法。The paper studies the effects of credit risk mitigation tools on loan pricing of commercial banks from manifold dimensions based on China＇s Listed Company＇s Bank Loan Database. It finds that there is only significant differences between the risk premium of mortgage loans and non - mortgage loans among three kinds of credit risk mitigation tools, and the risk premium of credit loans and collateral loans are both smaller than that of mortgage loans. Higher loan prices for the credit mitigation tools with higher quality indicates the risk mitigation functions of them cannot be reflected and embodied in the loan pricing of China＇s commercial banks. The phenomena to treat the credit mitigation functions of collateral and mortgage without proper attentiveness have close connections with the specific loan risk pricing and incentive mechanism of China＇s commercial bank. Finally, it discusses the manners and means of how to reduce the risk premium of mortgage loan based on the structure eharaeteristie and design of supply chains financing.

关 键 词：信用风险缓释 贷款定价 预期损失 经济资本 

分 类 号：F832.4[经济管理—金融学]