我国零售银行贷款定价研究
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摘要
贷款作为商业银行最主要和最传统的业务之一,其定价方式与策略不仅会影响银行的盈利性及其在市场上的竞争力,更会影响银行的资产质量与客户结构。因此,如何构建一个恰当的贷款定价模型,合理地制定贷款价格,一直是商业银行面临的重要课题。同样,是否拥有先进的定价技术,也是零售银行核心竞争的重要体现。
我国零售银行业务发展较晚,内外部环境也给了零售银行业巨大的机遇和挑战:一方面,随着我国经济的快速发展,国内中产阶级规模迅速扩大,为零售银行业创造了广阔的发展空间;另一方面,随着我国银行业全面开放的进一步深入,我国零售银行业面临着外资银行强有力的竞争。作者认为,在这种激烈竞争、快速发展的环境中,中资零售银行必须要转变传统经营理念,在贷款定价时应当从“银行-客户”的整体关系入手,分析客户给银行带来的整体收益,同时要全面考虑风险因素,特别是中资银行长期以来忽视的非预期风险损失的影响。基于此,本文提出了基于客户价值的零售银行贷款定价模型,并用客户终身价值以及经济资本对模型进行修正。
全文的逻辑结构、主要研究内容和研究成果概括如下:
第二章回顾了国内外有关银行贷款定价的主要模型及研究现状,发现国内外大部分文献集中在研究银行和企业(或公司)间的定价行为,研究零售银行贷款定价的文献较少,而且部分模型设计存在着前提假设较强、可适用性差的问题。
第三章分析了我国零售银行贷款业务面临的挑战与机遇:一方面,我国银行业的市场结构正处于从寡头垄断转向垄断竞争,银行间的竞争加剧;另一方面,我国中产阶级规模的不断扩大以及高端客户在贷款定价中的主动权增加给银行带来了新的机遇与挑战。在此背景下,中资银行只能主动培育和提高自身贷款定价的科学性和竞争力,才能占据有利地位。
第四章总结了零售银行贷款定价的一般原理与分析工具,认为零售银行贷款定价模型应当建立在信贷配给理论和无套利定价理论的思想之上,并着重引入了Markov链及VaR方法。本章最后一节提出了本文的基础模型:基于贡献度分析的客户价值贷款定价模型,即零售银行应当从“银行-客户”的整体关系入手,分析借款人给银行带来的各种损益,最后根据银行的目标利润及客户风险水平给贷款定价。
第五章运用客户终身价值对客户价值贷款定价模型进行修正,强调应当从整个客户生命周期而不只从单笔贷款的收益来分析。客户终身价值分析是本章的重点,在明确有关客户终身价值的定义后,本章详细分析了客户终身价值的影响因素,构建了客户终身价值的概念模型,提出应根据客户终身价值的不同类型对贷款定价进行浮动调整。
第六章研究了目前国际上常用的经济资本管理体系的内容和作用,提出了RAROC贷款定价模型,并详细分析了模型中的各参数的设定,以及模型中的经济资本的估计方法。最后提出应利用RAROC模型将经济资本引入到客户价值贷款定价模型中,对客户价值贷款定价模型进行二次修正,使得本文的零售银行贷款定价模型能够全面考虑客户的整体贡献、终身价值以及经济资本的影响。
第七章基于某商业银行机构部分样本数据,对本文提出的用客户终身价值、经济资本修正后的客户价值贷款定价模型进行模拟实证分析,分析结果与客观实际相吻合。
第八章对如何提高我国零售银行贷款定价科学性和竞争力提出了建设性建议,指出一方面需要推动银行流程再造,构建零售银行科学性定价的平台;另一方面要积极构建有效的零售银行贷款定价机制,将价格策略与非价格策略相结合,重视银行产品服务的差异化竞争。
Credit loan is one of the most traditional and the key businesses of commercial banks, and loan pricing has significant influence towards not only the bank's profitability and its market competitiveness, but also the quality of bank's assets and the structure of customers. Therefore, how to develop an appropriate pricing model to price the loans is an important problem that commercial banks have been facing for many years. Similarly, owning advanced loan pricing technology or not is an important manifestation of the core competition abilities of retail banks.
Started late, Chinese retail banking services are facing enormous opportunities and challenges from internal and external environments: on one hand, China's high economic growth promotes a rapid expansion of the size of the domestic middle class, which offer a broad market space for retail banking services; on the other hand, with the further liberalization of China's banking industry, Chinese retail banks will face strong competition of foreign banks. In my view, in order to win in such an environment filled with opportunities and challenges, Chinese retail banks should change the traditional management philosophy, take full consideration of the overall relationship between bank and its customers, the whole earnings from customers, and the risk factors, especially the risk of unexpected losses which Chinese commercial banks have long ignored. Hence, in this paper, we develop a loan pricing model based on customer value, which amended with customer lifetime value and economic capital.
The logical structure, main ideas and conclusion of this paper are summarized as follows:
Chapter 2~(nd) makes a review of domestic and international related literature of pricing models and researches, to find out that most of literatures are focus on the relationship between banks and firms (or companies), few analyzed the pricing problem of retail banking services, if had, most of the models were based on strong assumptions and therefore had poor applicability.
Chapter 3~(rd) analyses current challenges and opportunities Chinese retail banking services faces. For one thing, that Chinese banking industry is changing from oligopoly to monopolistic competition making competition much fiercer; for another, the phenomena of the rapid expansion of the size of the domestic middle class and high-end customers having a say in pricing of loans bring both challenges and opportunities. Hence, Chinese retail banks need to take the initiative to cultivate and improve loan pricing mechanism for their overall competitiveness.
Chapter 4~(th) summarizes the general principles: the pricing model is based on Credit Quotas Theory and Arbitrage Pricing Theory, and then focuses on the introduction of the Markov model of credit rating and the VaR (Value at Risk) methodology which is used to measure economic capital. Finally, we propose the basic pricing model based on contribution analysis and customer relationship, considering that banks should take full consideration of customer relationship in the long term.
Chapter 5~(th) uses customer lifetime value to modify the pricing model. This chapter focuses on the analysis of customer lifetime value. After offering a clear definition of customer lifetime value, we analyze the influence factors in detail, then build a conceptual model of customer lifetime value, and suggest that the result of pricing model should be adjusted by the different types of customer lifetime value.
Chapter 6~(th) studies the content and the role of economic capital management system in banking industry, which is an international commonly used system. Then we present an RAROC pricing model and make detailed introduction of each parameter as well as the methods for economic capital estimation. Finally, we add economic capital into the basic pricing model through RAROC, hence the remodified pricing model take full account of customer's overall contribution to the retail bank, the customer lifetime value, and the impact of economic capital.
Chapter 7~(th) demonstrates an example to verify the pricing model of the paper using virtual data. It is shown that the conclusion of the example is consistent with the practice.
Chapter 8~(th) puts forward a constructive proposal on how to improve the scientificity and competitive power of loan pricing focusing on bank reorganization and loan pricing mechanism improvement. We should combine the price strategies with the non-price strategies and pay more attention to the differentiation competition of banking products and service.
我国零售银行业务发展较晚,内外部环境也给了零售银行业巨大的机遇和挑战:一方面,随着我国经济的快速发展,国内中产阶级规模迅速扩大,为零售银行业创造了广阔的发展空间;另一方面,随着我国银行业全面开放的进一步深入,我国零售银行业面临着外资银行强有力的竞争。作者认为,在这种激烈竞争、快速发展的环境中,中资零售银行必须要转变传统经营理念,在贷款定价时应当从“银行-客户”的整体关系入手,分析客户给银行带来的整体收益,同时要全面考虑风险因素,特别是中资银行长期以来忽视的非预期风险损失的影响。基于此,本文提出了基于客户价值的零售银行贷款定价模型,并用客户终身价值以及经济资本对模型进行修正。
全文的逻辑结构、主要研究内容和研究成果概括如下:
第二章回顾了国内外有关银行贷款定价的主要模型及研究现状,发现国内外大部分文献集中在研究银行和企业(或公司)间的定价行为,研究零售银行贷款定价的文献较少,而且部分模型设计存在着前提假设较强、可适用性差的问题。
第三章分析了我国零售银行贷款业务面临的挑战与机遇:一方面,我国银行业的市场结构正处于从寡头垄断转向垄断竞争,银行间的竞争加剧;另一方面,我国中产阶级规模的不断扩大以及高端客户在贷款定价中的主动权增加给银行带来了新的机遇与挑战。在此背景下,中资银行只能主动培育和提高自身贷款定价的科学性和竞争力,才能占据有利地位。
第四章总结了零售银行贷款定价的一般原理与分析工具,认为零售银行贷款定价模型应当建立在信贷配给理论和无套利定价理论的思想之上,并着重引入了Markov链及VaR方法。本章最后一节提出了本文的基础模型:基于贡献度分析的客户价值贷款定价模型,即零售银行应当从“银行-客户”的整体关系入手,分析借款人给银行带来的各种损益,最后根据银行的目标利润及客户风险水平给贷款定价。
第五章运用客户终身价值对客户价值贷款定价模型进行修正,强调应当从整个客户生命周期而不只从单笔贷款的收益来分析。客户终身价值分析是本章的重点,在明确有关客户终身价值的定义后,本章详细分析了客户终身价值的影响因素,构建了客户终身价值的概念模型,提出应根据客户终身价值的不同类型对贷款定价进行浮动调整。
第六章研究了目前国际上常用的经济资本管理体系的内容和作用,提出了RAROC贷款定价模型,并详细分析了模型中的各参数的设定,以及模型中的经济资本的估计方法。最后提出应利用RAROC模型将经济资本引入到客户价值贷款定价模型中,对客户价值贷款定价模型进行二次修正,使得本文的零售银行贷款定价模型能够全面考虑客户的整体贡献、终身价值以及经济资本的影响。
第七章基于某商业银行机构部分样本数据,对本文提出的用客户终身价值、经济资本修正后的客户价值贷款定价模型进行模拟实证分析,分析结果与客观实际相吻合。
第八章对如何提高我国零售银行贷款定价科学性和竞争力提出了建设性建议,指出一方面需要推动银行流程再造,构建零售银行科学性定价的平台;另一方面要积极构建有效的零售银行贷款定价机制,将价格策略与非价格策略相结合,重视银行产品服务的差异化竞争。
Credit loan is one of the most traditional and the key businesses of commercial banks, and loan pricing has significant influence towards not only the bank's profitability and its market competitiveness, but also the quality of bank's assets and the structure of customers. Therefore, how to develop an appropriate pricing model to price the loans is an important problem that commercial banks have been facing for many years. Similarly, owning advanced loan pricing technology or not is an important manifestation of the core competition abilities of retail banks.
Started late, Chinese retail banking services are facing enormous opportunities and challenges from internal and external environments: on one hand, China's high economic growth promotes a rapid expansion of the size of the domestic middle class, which offer a broad market space for retail banking services; on the other hand, with the further liberalization of China's banking industry, Chinese retail banks will face strong competition of foreign banks. In my view, in order to win in such an environment filled with opportunities and challenges, Chinese retail banks should change the traditional management philosophy, take full consideration of the overall relationship between bank and its customers, the whole earnings from customers, and the risk factors, especially the risk of unexpected losses which Chinese commercial banks have long ignored. Hence, in this paper, we develop a loan pricing model based on customer value, which amended with customer lifetime value and economic capital.
The logical structure, main ideas and conclusion of this paper are summarized as follows:
Chapter 2~(nd) makes a review of domestic and international related literature of pricing models and researches, to find out that most of literatures are focus on the relationship between banks and firms (or companies), few analyzed the pricing problem of retail banking services, if had, most of the models were based on strong assumptions and therefore had poor applicability.
Chapter 3~(rd) analyses current challenges and opportunities Chinese retail banking services faces. For one thing, that Chinese banking industry is changing from oligopoly to monopolistic competition making competition much fiercer; for another, the phenomena of the rapid expansion of the size of the domestic middle class and high-end customers having a say in pricing of loans bring both challenges and opportunities. Hence, Chinese retail banks need to take the initiative to cultivate and improve loan pricing mechanism for their overall competitiveness.
Chapter 4~(th) summarizes the general principles: the pricing model is based on Credit Quotas Theory and Arbitrage Pricing Theory, and then focuses on the introduction of the Markov model of credit rating and the VaR (Value at Risk) methodology which is used to measure economic capital. Finally, we propose the basic pricing model based on contribution analysis and customer relationship, considering that banks should take full consideration of customer relationship in the long term.
Chapter 5~(th) uses customer lifetime value to modify the pricing model. This chapter focuses on the analysis of customer lifetime value. After offering a clear definition of customer lifetime value, we analyze the influence factors in detail, then build a conceptual model of customer lifetime value, and suggest that the result of pricing model should be adjusted by the different types of customer lifetime value.
Chapter 6~(th) studies the content and the role of economic capital management system in banking industry, which is an international commonly used system. Then we present an RAROC pricing model and make detailed introduction of each parameter as well as the methods for economic capital estimation. Finally, we add economic capital into the basic pricing model through RAROC, hence the remodified pricing model take full account of customer's overall contribution to the retail bank, the customer lifetime value, and the impact of economic capital.
Chapter 7~(th) demonstrates an example to verify the pricing model of the paper using virtual data. It is shown that the conclusion of the example is consistent with the practice.
Chapter 8~(th) puts forward a constructive proposal on how to improve the scientificity and competitive power of loan pricing focusing on bank reorganization and loan pricing mechanism improvement. We should combine the price strategies with the non-price strategies and pay more attention to the differentiation competition of banking products and service.
引文
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