摘要
一般意义上的DEA方法是通过投入、产出指标的数据来确定DEA效率;逆向求解思路是在已知DEA效率和某些投入、产出指标的基础上反求其中的一个产出指标贷款利率.以Malmquist指数为工具,通过过去的银行DEA效率,推导未来贷款时段的可达到的最大DEA效率,在未来的DEA效率确定的情况下,确定贷款利率.本模型创新与特色一是通过过去的Malmquist指数预测未来的Malmquist指数,利用未来Malmquist指数与过去的DEA效率的相互作用得到未来的DEA效率指数,用未来的DEA效率、而不是过去的DEA效率来确定贷款利率.反映了贷款定价未来变化情况,解决了贷款时段的利率与贷款时段的可达效率相对应的问题.二是逆向运用现有研究的DEA方法通过投入、产出指标的数据确定DEA效率的思路,在已知DEA效率和某些投入、产出指标的基础上反求其中的一个产出指标贷款利率.拓展了DEA的应用范围.三是按照未来逆向求解DEA效率的贷款定价方法,能够在现有条件下得到给银行带来最大效率、抵补贷款风险损失、且客户能够接受的利率.
The general DEA is through the inputs,outputs the data to determine the efficiency indicator of DEA.However,the idea of converse solution is that according to known efficiency and some input/output indicators of DEA reverse one output indicator which lending rates.Through the past DEA efficiency of bank,we deduce the DEA efficiency of the next loan period Using Malmquist index.The loan rate is fixed under known the future DEA efficiency.The special and contribution lies in：firstly,the future Malmquist index is predicted by using the past Malmquist index.The future DEA efficiency is got through the future Malmquist index and the past DEA efficiency.Use the future DEA efficiency to fix the loan rate.It solves the problem that the loan rates and efficiency of loan periods is corresponding.Secondly,this paper reverse uses DEA that DEA efficiency is fixed according to the date of input/output.One output indicator which lending rates is fixed according to known efficiency and some input/output indicators of DEA.It expands the application scope of DEA.Thirdly,according to the loan pricing model based on the future DEA efficiency got the loan rates can bring the greatest efficiency to banks under the existing conditions, cover the risk of loss and be accepted by customers.
出处
《系统工程理论与实践》
EI
CSSCI
CSCD
北大核心
2011年第1期18-27,共10页
Systems Engineering-Theory & Practice
基金
国家自然科学基金(70471055)
中央高校基本科研业务费专项资金(DUT10ZD107
DUT10RW107)
大连银行小企业贷款定价项目
中国邮政储蓄银行总行资助项目
大连市社会科学院资助项目
教育部人文社会科学研究项目基金(09YJC790024)
