现代商业银行贷款定价模型及在我国的应用前景

Commercial Bank Loan Pricing Model Based on the Modern Financial Theories and the Practice in China

商业银行贷款定价是商业银行信贷业务中至关重要的环节,关系到银行的资产质量和盈利水平。本文主要对基于现代金融理论的商业银行贷款定价方法进行评述,介绍贷款定价的最新进展,其中主要评述资本资产定价模型、期权定价模型、VaR和RAROC理论等在贷款定价技术中的应用。

Commercial bank loan pricing is one of the most important processes for China＇s commercial bank loan, and its op- eration quality directly affects the asset quality and profits ability of commercial bank. This paper aims to make an introduction and comment on the modem loan pricing models and its practice in China. These modem loan-pricing models are based on the modem financial theories： CAPM model, Option pricing model, VaR and RAROC model