基于RAROC的我國商業(yè)銀行貸款定價方法研究.pdf

1、山西財經(jīng)大學碩士學位論文基于RAROC的我國商業(yè)銀行貸款定價方法研究姓名：張俊祎申請學位級別：碩士專業(yè)：金融學指導教師：楊有振2011-02-25基于 RAROC 的我國商業(yè)銀行貸款定價方法研究 1 A b s t r a c tAs China gradually promotes interest rate liberalization reform and permits foreign-funded banks to un

2、dertake RMB banking operations and conforms to the New Basel Capital Accord ,Chinese commercial banks have to be faced with a market environment that is fierce in competition and strict in su

3、pervision over both internal & external risks and capital. It has become a major challenge for commercial banks how to reasonably loan pricing on the basis of reasonable risk- profit ratio

4、 and in accordance with the stipulations of New Basel Capital Accord . Therefore it is of great theoretical and pritical significance to research on loan pricing of commercial banks. This pape

5、r describes the theory of loan pricing based on the review of the traditional three foreign loan pricing method, focuses on the modern method of loan pricing RAROC. And the pricing theory and

6、 models to quantify decomposition, based on the traditional comprehensive comparison of the pricing methods that the existence of congenital RAROC pricing advantages. Then the analysis of the st

7、atus of loan pricing methods and issues raised in the discussion of China's commercial banks should choose RAROC pricing. The introduction of RAROC risk adjustment in the model function, is

8、 a measure of risk- adjusted return on capital after, which take into account the expected loss and unexpected loss on the impact of loans on behalf of the advanced concept of risk managemen

9、t, the concept of “customer- centric “thinking, and the pricing of commercial bank loans in the past was entirely different, help commercial banks to increase loans to marketing and risk manage

10、ment initiative, China's commercial banks respond to the increasingly fierce competition in the industry with some guidance. 【Key Words】 commercial banks interest rate liberalization loan pricing