考虑借款人债务利率结构的贷款保险定价研究  

Loan Insurance Pricing upon the Borrower’s Interest Rate Structure

作　　者：胡斌[1,2] 史本山[1] 周圣[1] 文忠平[3] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]四川师范大学,四川成都610068 [3]中国建设银行四川省分行,四川成都610016

出　　处：《金融理论与实践》2013年第10期5-9,共5页Financial Theory and Practice

基　　金：国家社科基金青年项目(项目编号:12CGL020);教育部人文社科基金资助项目(项目编号:12YJA790110);中央高校基本科研业务费专题项目(项目编号:A0920502051113-67)

摘　　要：借款人债务不同的利率结构,会影响借款人未来对于银行贷款的偿债能力,给银行带来信贷风险,在利率市场化的环境中,这种影响将变得明显。基于期权定价思路建立起的贷款保险定价模型,能够较为准确地计量到上述风险。经算例分析发现:变动借款人任一债务的利率水平,都会引起贷款保险定价水平的同向变化;在借款人债务中,比贷款利率高的债务的占比具有推高贷款保险定价的作用,比贷款利率低的债务的占比具有降低贷款保险定价的作用。The borrower＇s different interest rate structure will change its ability to repay the loans, con sequently influence the credit risk to the bank. In the background of interest rate liberalization, the above phenomenon will be more obvious. Upon the thoughts of option pricing, the model of loan insur ance pricing could measure the risk mentioned previously accurately. By means of an example, this the-sis reveals that any change in the rate of borrower＇ s debts will certainly results in the change of the loan insurance price in the same direction; the percentage of the borrower＇ s HIR debt （i.e. the debt that is higher than the interest rate of the loan） will raise the loan insurance price while the percentage of the borrower＇ s LIR debt （i.e. the debt that is lower than the interest rate of the loan） will reduce the loan insurance price.

关 键 词：贷款保险定价 借款人债务 利率结构 利率市场化 信贷风险 

分 类 号：F840.4[经济管理—保险]