基于信用评级的商业银行贷款风险定价模型

A Credit Risk Pricing Model Based on the Credit Rating System

建立了一个基于信用评级体系的风险定价模型.通过模型证明一笔贷款的价格不仅与借款人的预期违约率和贷款回收率有关,而且与借款人在贷款期间信用等级的变化有关.贷款的价格(利率)与借款人信用恶化的程度和发生的概率正相关.利用实际数据求出了各信用等级借款人的利率、风险价值和经济资本等参数.

This paper establishesd a risk pricing model based on credit rating system. The analysis of the model demonstrated that the price of a loan was not only determined by the borrower＇s defaults and the expected recovery of the loan, but also by the change of the borrower＇s credit rating during the period of the loan. There was a positive correlation between loan prices （interest rates） and the extent of the borrower＇s credit deterioration and it＇s occurrence probability. Finally, this paper have worked out the interest rate, economic capital and value at risk using the actual data from Standard and Poor＇s CreditWeek.