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I
商业银行小企业贷款定价方法研究——以 A 银行南京分行
为例
摘要
近年来小微企业在我国经济中的地位和作用不断上升,然而由于信息不对
称等问题的存在,面临的融资压力却是越来越大在相关政策的指引下,各类金
融机构给予了小微企业业务更多的重视和关注。农村商业银行是我国农村金融
机构中的主力军,面向的企业大多为县域、村镇的小微企业,如何在货款中制
定合理、科学的价格,达到既能满足安全性、盈利性的银行货款需求,又能提
供更完善的金融服务进而推动小微企业的发展的双重目的,就成为了广大农商
行面临的重要挑战.然而目前农商行货款定价时,大多直接应用大型商业银行的
货款定价模型而忽略了彼此数据积累、经营状况等方面的差异,货款利率制定
方式单一、依据简单、考虑因素不全、主观性强。因此,制定一套符合农商行
经营特质的小微企业货款定价方法就成为了当前农商行巫需解决的问题。
本文在梳理国内外货款定价理论和各类货款定价方法的基础上,结合我国
II
I
农商行数据积累、经营管理水平和外部竞争情况,经过比较,得出 RAROC 模
型在农村金融机构对小微企业货款定价方面具有很多的契合之处,有广阔的应
用前景。伴随着利率市场化进程的推进和巴塞尔协议工 II 在我国的逐步实施,
农商行将逐步满足 RAROC 模型应用所需要的条件,所以本文以 RAROC 模型
为基拙探寻农商行对小微企业进行货款定价的方法。
研究从理论出发,首先介绍了 RAROC 模型的优点及对农商行定价的适用
性,然后基于模型原理推导出货款利率的制定公式,分析了各部分主要变量的
计算方法。随后采用第三方评级机构掌握的江苏 11 家县域的小微企业数据,结
合信用评级转移矩阵,利用因子分析、聚类分析等方法确定货款违约率。最后
以某农商行的货款数据进行模型应用,通过比较模型利率与实际利率之间的差
异,得出 RAROC 是适合农商行小微企业货款定价的模型。
关键词:商业银行小微企业;贷款定价方法;RAROC 模型
III
II
ABSTRACT
In recent years, and the role of Small and micro businesses in China's economic
status is rising, however, due to asymmetric information and other reasons, the
financing pressure is facing more and more under the guidance of the relevant
policies, various financial institutions to give Small and micro businesses business
more attention and concern. Rural commercial bank is the main force of China's rural
financial institutions, Small and micro businesses oriented enterprises are mostly
counties, towns and villages, how to establish a reasonable and scientific in the
payment of the price, can not only meet the safety and profitability of the bank loan
demand, the dual purpose and can provide better financial services and promote the
development of the Small and micro businesses, has become an important challenge
for commercial bank. However, rural commercial bank loan pricing, loan pricing
models are applied directly to large commercial banks while ignoring the differences
of data accumulation, operating conditions and other aspects of the loan interest rate
setting single way, based on simple considerations, not all, strong subjectivity.
Therefore, the development of a set of small and micro enterprises in accordance with
the characteristics of agricultural businesses in the purchase price of goods has
become the current issue of the need to solve the problem of agricultural businesses.
Based on the analysis of domestic and foreign loan pricing theory and all kinds
of loan pricing methods, combined with China's commercial bank data accumulation,
management level and external competition situation, by comparison, has a lot of
similarities that RAROC model in the rural financial institutions to small and micro
enterprises loan pricing, has broad application prospects. Along with the gradual
implementation of the liberalization of interest rate and Basel Xieyigong II in China,
agricultural firms will gradually meet the needs of the application of the RAROC
model, so this paper uses RAROC model to explore the basic method of agricultural
firms Small and micro businesses purchase pricing.
IV
III
The research from the theory, first introduced the RAROC model and the
applicability of agricultural firms pricing, and then based on the established formula
model derived from the principle of the loan rate, analyzed the calculation method of
the main variables of each part. Then use the third party rating agencies to grasp the
small and micro enterprises in Jiangsu 11 counties, combined with the credit rating
transfer matrix, using factor analysis, clustering analysis and other methods to
determine the loan default rate. Finally, the model is applied to the loan data of an
agricultural firm, and by comparing the difference between the model and the real
interest rate, it is concluded that the RAROC is suitable for small and micro
enterprises in agricultural firms.
Key words: commercial banks small and micro enterprises; loan pricing method;
RAROC model
V
IV
目 录
摘要.................................................................................................................................I
ABSTRACT.................................................................................................................III
第 1 章 绪论...................................................................................................................1
1.1 研究背景和意义...............................................................................................1
1.1.1 研究背景.................................................................................................1
1.1.2 研究意义.................................................................................................3
1.2 国内外研究综述...............................................................................................5
1.2.1 国外研究综述.........................................................................................5
1.2.2 国内研究综述.........................................................................................8
1.3 研究目标与研究内容.....................................................................................13
1.3.1 研究目标...............................................................................................13
1.3.2 研究内容...............................................................................................14
1.4 研究方法与技术路线图.................................................................................16
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