摘要
现有的贷款定价理论通常聚焦于对贷款预期损失的测度,往往忽视了对经济资本成本的计量。经济资本成本是银行在贷款定价时事前计提的,为抵御未来不可预知因素对贷款造成的非预期损失。本文参照渐近单因子模型,研究了受系统风险因素影响的违约损失对信用风险经济资本的影响,建立了基于信用风险经济资本测度的贷款定价方法,数值算例表明考虑了违约损失的系统性风险后得到的贷款定价具有更高的风险敏感性。
The existing loan pricing theories focus on the measurement of the expected loss of the loan, but overlook the measurement of economic capital cost. The cost of economic capital is the buffer which is picked up in advance when loan is priced in anticipation for the unexpected loss caused by future unexpected economic factors. The paper studies the effect of varying loss given default influenced by the systemic economic factors to the credit risk economic capital, and sets up a new approach of measuring the credit risk economic capital and loan pricing based on the asymptotic single factor model. Compared with the existing models, it improves the accuracy and risk sensitivity of loan pricing.
出处
《管理评论》
CSSCI
北大核心
2010年第7期33-38,45,共7页
Management Review
基金
国家自然科学基金项目(70903012)
教育部人文社会科学研究基金项目(09YJC790045)
关键词
信用风险
经济资本
贷款定价
credit risk
economic capital
loan pricing
