基于违约概率和违约损失率的贷款定价研究

Loan Pricing Based on Probability of Default and Loss Given Default

巴塞尔新资本协议的内部评级法对商业银行的资本要求提出了新的计算方法,这不仅影响了银行的资本金管理,同时还间接影响了贷款定价。本文首先简要评述了有关违约概率和违约损失率的相关文献,随后通过一个一般均衡模型对低风险贷款和高风险贷款的定价进行了分析,得出如下主要结论:(1)贷款定价同违约概率、违约损失率、资本报酬率,以及低风险贷款占总贷款的比率等因素相关;(2)某种贷款的定价不仅受自身违约概率的影响,还受其他类型贷款的违约概率的影响;(3)专营高风险贷款的银行的定价要低于同时经营低风险和高风险贷款的银行的定价。

The Internal ratings based approach of New Basel Capital Accord set new calculation methods on capital requirement, which affects not only commercial banks＇ capital management, but also loan pricing indirectly. This paper reviews the literatures about Probability of Default and Loss Given Default, then analyzes the pricing of low and high risk loans through a general equilibrium model, which concludes： （1） there exists relationship between loan pricing and probability of default, loss given default, return on capital, and the ratio of low risk loan to total loans; （2） the pricing of one loan type is influenced not only by its own probability of default, but also by that of the other loan types; （3） the pricing of bank snecializing in high risk loan is lower than that of bank mixing operations.