| RAROC贷款风险定价模型及其授信边界 |
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| 引用本文： | 梁凌,吴丹.RAROC贷款风险定价模型及其授信边界[J].系统工程,2008,26(7). |
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| 作者姓名： | 梁凌 吴丹 |
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| 作者单位： | 1. 湖南大学,金融学院,湖南,长沙,410079;长沙市商业银行,湖南,长沙,410005
2. 长沙市商业银行,湖南,长沙,410005 |
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| 摘 要： | 银行置身风险管理行业中，其价值的创造要透过对风险的有效管理来实现。基于RAROC的贷款定价综合考虑了银行的各项贷款成本与相应的风险回报。但由于自由定价会产生逆向选择和道德风险，现实中的贷款定价存在一个风险的边界。本文运用某银行提供的有关数据，基于RAROC实证研究我国信贷配给的贷款市场中贷款风险定价的边界行为表现。
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| 关 键 词： | RAROC 资本 FTP 贷款定价 |
A RAROC Model in Loan Risk Pricing and the Credit-granting Boundary |
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| LIANG Ling,WU Dan.A RAROC Model in Loan Risk Pricing and the Credit-granting Boundary[J].Systems Engineering,2008,26(7). |
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| Authors: | LIANG Ling WU Dan |
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| Institution: | 1.Hunan University;Changsha 410079;China;2.Changsha Commercial Bank;Changsha 410005;China |
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| Abstract: | Bank's value is created by efficient risk management since it is a risk management industry.Loan pricing based on RAROC involves various costs and risk returns.However,non-restriction pricing with RAROC would result in adverse selection and moral risk,so there is a risk boundary in actual loan pricing.This paper provides an empirical study based on RAROC about the boundary behaviors of loan risk pricing in China's Market of credit rationing. |
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| Keywords: | RAROC FTP |
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