Research on Several Issues in Loan Pricing of Commercial Banks
吴许均，男，1977年生于上海南汇；2006年于上海财经大学获经济学博士学位，曾先后在《经济学动态》、《国际金融研究》等国内经济类核心期刊上发表论文数十篇。
摘要
自从1992 年以来，我国国有商业银行为了防范日益严重的信用风险，开始实施资产负债比例管理和贷款风险管理，这对于控制银行的信用风险卓有成效，取得了显著的成绩。但我们知道，对于商业银行而言，安全性、赢利性和流动性是同等重要的，仅仅保证安全性而无法兼顾赢利性和流动性并不是成功的经营之道。因而，建立以贷款风险管理为核心的贷款风险管理系统解决了贷款安全性问题，但没有解决贷款的赢利性和流动性问题。商业银行筹集存款资金以及其他各种资金的目标是在保证贷款本金安全的前提下实现利润最大化。所以，在银行的贷款运作过程中，不能仅仅满足于消极地通过保证贷款的安全性，而是要在保证贷款本金安全的基础上，最大可能地提高盈利能力。为了实现这一目标，就要建立以贷款定价为核心的贷款经营管理体制。如何对不同的客户制定贷款利率是一门艺术，它取决于本国货币当局的相关政策（例如基准利率的规定等）、国际银行业的监管条例（例如，巴塞尔新资本协议）、市场的资金供求状况、其他竞争银行的定价策略、银行同客户的相对地位、企业的财务状况和行业的发展前景，等等。
随着我国利率市场化改革的逐步深化，并伴随着我国最终开放国内金融市场最后期限的日益临近，我国商业银行将面临日益激烈的国内竞争和国际竞争。到目前为此，我国国有商业银行、股份制商业银行和城市商业银行已经具备了一定的定价自主权，在中国人民银行制定的基准利率的基础上，贷款利率的上浮已经完全没有限制，而下浮最大为10%。从本质上讲，人民银行制定的这一定价原则是为了保护国内商业银行，避免其为了争夺市场和客户而陷入价格战，为迎接国外商业银行的挑战打好基础。那么，在现有的政策和市场状况下，我国商业银行如何有效地确定贷款的价格呢？本文正是带着这一问题展开了研究。
影响贷款定价的因素有很多，笔者通过整理国外在这方面的相关研究，归纳出如下因素会对贷款定价产生重要的影响：1、货币市场利率。货币市场利率的变动代表了银行等金融机构的边际成本的变动，因而这一利率的改变可能导致银行改变贷款利率。2、贷款合约因素。贷款合约因素包括贷款金额、期限、抵押担保情况等。以前的研究认为这些因素和贷款利率并没有相关性，但近来的研究开始指出其对贷款定价的重要作用。3、企业的财务状况。企业的财务指标能够反映企业的经营状况和信用风险等级，研究企业的财务指标对于贷款定价是大有裨益的。当然，除了这3大主要因素外，还有其他一些因素会影响贷款定价，例如，一国对产权的保护程度、上市公司信息披露的质量，以及银行同企业和其他竞争银行的空间距离等。
在本文的内容安排上，本文将主要围绕上述3大影响贷款定价的因素展开研究。本文的章节安排如下：
第一章、导论。导论部分对本文的研究对象、研究方法、国内外相关研究的缺陷和本文的创新，以及本文的章节安排作了简要的介绍。
第二章，贷款利率的粘性及我国的数据分析。贷款利率的粘性特征是从贷款利率和货币市场利率之间的相关关系中衍生而来。本章详细分析了国外贷款利率的粘性特征及其现实状况，并对解释贷款利率粘性的各种理论进行了归纳、总结和评述。最后，以我国上市公司1年期贷款利率和同期货币市场同业回购利率（R007）为数据，通过实证分析了我国的贷款利率是否存在粘性。最后的实证结果告诉我们，我国商业银行发放的贷款不存在粘性的特征。
第三章，信用风险与贷款定价。本章对国外研究信用风险定价模型进行了归纳、总结和评述，并对信用风险模型飞速发展的内在和外在动因给出了解释。随后，结合信用风险定价模型中特别强调的信用评级漂移对我国的实际情况进行了分析，并强调了在贷款定价中使用信用风险定价模型需要注意的几个问题。
第四章，巴塞尔新资本协议内部评级法对贷款定价的影响。本章从巴塞尔新资本协议内部评级法着手，详尽分析和论述了内部评级法中的违约概率和违约损失率这两个指标的内涵和外延。通过一个一般均衡模型，本章给出了一个以违约概率和违约损失率，以及其他一些相关指标为自变量的贷款定价方程。该定价方程对于我国商业银行在巴塞尔新资本协议的监管下如何进行贷款定价具有一定的指导意义。
第五章，中国商业银行贷款定价现状研究。本章以我国沪市上市公司的年报为数据来源，通过实证分析分别研究了2002－2004年度内贷款利率同贷款合约要素和企业财务指标之间的相关关系。通过实证发现，无论是贷款合约要素，还是企业财务指标，都对贷款定价有显著影响。这为研究和分析现阶段我国商业银行的贷款定价模式提供了非常有帮助的参考。
第六章，基于财务危机预警模型的贷款定价研究。本章首先论证了财务研究领域经常被用来预测企业财务危机的Z值模型和logit模型得出的Z值或p值同贷款定价之间存在单调关系，在此基础上建立了以Z值和p值为自变量，以贷款利率为应变量的贷款定价模型，并根据我国现阶段的实际情况，估算出了不同风险偏好的银行的贷款定价方程。随后，通过输入第五章所采用的上市公司贷款和财务信息的具体数据，比较了模型得出的贷款定价和实际贷款定价之间的差别。
ABSTRACT
Since 1992, in order to defend the increasing credit risk, Chinese state-owned-banks have implemented asset and liability ratio management and loan risk management, which is effective in the control of bank’s credit risk. However, as to commercial banks, safety, profitability and liquidity are of same importance. It is not successful management that only safety is fulfilled, while profitability and liquidity are abandoned. Therefore, the establishment of loan risk management system surrounding loan risk management only settled loan safety issue, but not profitability and liquidity. As we know, the purpose of bank’s raising deposits and other funds is to maximize profit under the circumstance of principal safety. From this aspect, commercial banks are not supposed to satisfy with principal safety, but to enhance ability of making profit on the foundation of loan principal safety. To complete this target, commercial banks should build a loan management system, whose core is loan pricing. It is an art to pricing different customers’ loan, which depends on mother country’s monetary authority’s relative policies, such as primary interest rate, international banking’s regulations, such as Basel New Capital Accord, the supply and demand of market funds, other bank’s pricing strategy, company’s financial status and industry perspective, bargaining ability of bank and company, etc.
Followed by the deepening of Chinese interest rate liberalization, and the last date of opening domestic is around the corner, Chinese commercial banks are going to facing increasing domestic competition and international competition. Nowadays, to some extend, Chinese state-owned commercial banks, limited commercial banks, and city commercial banks have had loan pricing right, to some extend, on the foundation of primary interest rates settled by People’s Bank of China. The up-floating limit of loan pricing is abrogated, while the down-floating is 10% as maximum. In essence, the aim of setting this pricing principle by central bank is to protect domestic commercial banks, avoid price war of banks for market share, and prepare for the entry of foreign banks. With the ongoing policies and market condition, how can Chinese commercial banks price loan effectively? This paper is aimed at answering this question.
There exist many factors influencing loan pricing, through researching on the studies in foreign countries, the author found that the following factors will cast effect on loan pricing: firstly, money market rate. The change of money market rate shows that of the financial institute’s marginal cost, including banks, hence, the moving of money market rate may drive banks to change loan rate. Secondly, loan contract factors. The loan contract factors include loan amount, maturity, security, and guarantee, etc. The former studies held the idea that there are no relationships between loan rate and these factors, while recent researches began to point out their effects on loan pricing. Last, but not least, the company’s financial condition. The company’s financial index can reflect its performance and credit risk level, hence, it is beneficial to study company’s financial index. Of course, in addition to these factors, there are several other determinants of loan pricing, such as the degree of property right protection of one country, the quality of information disclosed by listed company, and the spatial distance between bank and company, and other competitive banks.
As to the context arrangement, this paper will carry out research around the three determinants of loan pricing. The arrangement of this paper is as followed:
Chapter One, Introduction. In this part, the research object, method, the shortcomings of relative studies in and out of China, this paper’s innovations are introduced.
Chapter Two, Loan rate stickiness and Analysis based on Chinese data. The stickiness nature of loan rate is derived from the relationship between loan rate and money market rate. This chapter expatiates the stickiness characteristics and its status quo of loan rate in foreign countries, followed by the summary and comment on several theories that explain the reason why loan rates display stickiness. In the last part of this chapter, the author casts empirical test to show whether there exists loan rate stickiness in Chinese, based on 1-year loan rate of listed companies and repo rate (R007) of money market rate. The result is that, there does not exist loan rate stickiness in Chinese loan market.
Chapter Three, Credit risk and loan pricing. This chapter draws summary and review of the credit risk pricing models in foreign countries, with explanations to the internal and external reasons of the rapid development of credit risk model. Then, analysis is developed to compare the real one and mimic one with credit rating migration emphasized by credit risk pricing migration, followed by the issues that are supposed to be paid attention to.
Chapter Four, the influences of Basel New Capital Accord’s internal rating based approach (IRB) on loan pricing. This chapter begins with IRB to analyze and discuss the connotation and extension of IRB’s probability of default (PD) and loss given default (LGD). With a general equilibrium model, this chapter develops a loan pricing equation, in which the independent variables include PD, LGD, and other relative variables. This pricing equation does have guiding function for Chinese commercial banks to price loans in the regulation of Basel New Capital Accord.
Chapter Five, Research on the status quo of Chinese commercial banks’ loan pricing. This chapter takes the data from annual reports of companies listed in Shanghai Security Exchange to test empirically the relationship between loan rate and loan contract factors and company’s financial index from year 2002 to 2004. Through empirical test, the author finds that, either loan contract factors, or company’s financial index have prominent effects on loan pricing, which offer useful references to the researches on the loan pricing mode of Chinese commercial banks.
Chapter Six, Loan pricing research based on financial crisis forecasting model. This chapter firstly demonstrates that there exist monotonous relationship between loan rate and Z or p of logit model, which are used broadly in financial realm to forecast financial crisis, then several loan pricing models are developed with Z or p as independent variable and loan rate as variable, followed by the loan pricing model estimation of banks of different risk preference, using the real loan data and other relative variables’ information. Finally, comparison between real loan pricing and calculated ones drawed by the models developed in the former part of this chapter is built.
目录
第一章 导论
第二章 贷款利率的粘性及我国的数据分析
第一节 贷款利率的粘性
第二节 贷款利率粘性的理论基础
第三节 我国贷款利率粘性是否存在
第三章 信用风险与贷款定价
第一节 信用风险定价模型的演进
第二节 信用VaR模型
第三节 信用风险模型演进的动因
第四节 信用风险模型对贷款定价的启示
第五节 将债券定价模型运用到贷款定价需要注意的问题
第四章 巴塞尔新资本协议内部评级法对贷款定价的影响
第一节 新巴塞尔资本协议内部评级法概述
第二节 违约概率和违约损失率综述
第三节 基于违约概率和违约损失率的贷款定价分析
第五章 中国商业银行贷款定价现状研究
第一节 基于贷款合约要素的贷款定价分析
第二节 基于企业财务指标的贷款定价分析
第六章 基于财务危机预警模型的贷款定价研究
第一节 财务危机预警指标同贷款定价的关系分析
第二节 基于Z值的贷款定价方程推导与分析
第三节 基于logit模型p值的贷款定价方程推导与分析
第四节 小结及未来的研究方向
参考文献
Catalog
Chapter One Introduction
Chapter Two Loan Rate Stickiness and Analysis on
Section One Loan Rate Stickiness
Section Two Theoretical Foundation of Loan Rate Stickiness
Section Three Is There Loan Rate Stickiness in
Chaper Three Credit Risk and Loan Pricing
Section One the Evolution of Credit Risk Pricing Models
Section Two Credit VaR Models
Section Three the Seduction of the Evolution of Credit Risk Pricing Models
Section Four the Apocalypse of Credit Risk Models on Loan Pricing
Section Five Issues When Using Bond Pricing Models on Loan Pricing
Chapter Four Effects of New Basel Capital Accord’s IRB on Loan Pricing
Section One Introduction of New Basel Capital Accord’s IRB
Section Two Introduction of PD and LGD
Section Three Loan Pricing Analysis Based on PD and LGD
Chapter Five the Status Quo of China Commercial Banks’ Loan Pricing
Section One Loan Pricing Analysis Based on Loan Contract Factors
Section Two Loan Pricing Analysis Based on Company’s Financial Index
Chapter Six Loan Pricing Analysis Based on Financial Crisis Forcasting Models
Section One the Relationship between Loan Pricing and Financial Crisis Forcasting Index
Section Two Deduction and Analysis of Loan Pricing Model Based on Z-Score Model
Section Three Deduction and Analysis of Loan Pricing Model Based on p-Score Model
Section Foure Summary and Future Research
Appendix One Merton（1974）: First Generation Structure Model
Appendix Two Longstaff and Schwartz（1995b）: Second Generation Structure Model
Appendix Three Jarrow and Turnbull（1995）: Reduced-Form Model
Appendix Four Frye（2000c）: Single Factor Model
Appendix Five Deduction of the Link Between RR and PD Based on Merton Model
