摘要
由于经济增速放缓、实体经济转型及民间借贷等因素,部分行业的信用风险加剧。基于此,本文采用贷款利率为决策变量,以贷款组合的风险调整资本回报率最大化为目标函数,组合风险价值VaR为约束条件,建立了贷款组合定价模型,并利用某城市商业银行的贷款数据进行实证研究。研究表明:相比于组合收益率,基于风险调整资本回报率最大化的贷款组合定价模型能够兼顾贷款组合的收益与风险,不仅能够可靠地控制风险,还能在单位风险下实现更高的收益。
Due to the slowdown of economic growth, the transformation of the real economy and private lending, the credit risk in some industries has increased. Based on this, this paper uses the loan interest rate as the decision variable, the maximum risk-adjusted return on capital of the loan portfolio as the objective function, and the combined risk value VaR as the constraint conditions. A loan portfolio pricing model is established and the loan data of a city commercial bank is used conduct the empirical research. Research shows that compared with portfolio returns, a loan portfolio pricing model based on risk-adjusted return on capital that maximizes returns to both the returns and risks of the loan portfolio can not only reliably control risk, but also achieve higher returns under unit risk.
出处
《价格理论与实践》
北大核心
2019年第8期92-95,共4页
Price:Theory & Practice
基金
国家自然科学基金项目(71171031
71471027)
国家自然科学基金青年科学基金项(71201018)
内蒙古自然科学基金面上项目(2017MS0709)
