基于最优效率的贷款定价模型研究
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摘要
贷款定价是商业银行的核心决策之一。贷款定价合理与否直接影响商业银行的生存和发展。研究贷款定价也是国内利率市场化改革的必然要求。贷款定价过高可能导致优质客户流失,市场萎缩；贷款定价过低,其收入无法弥补贷款成本和客户违约损失,银行将发生亏损。合理的贷款定价可以使贷款满足安全性、收益性、流动性的要求,有效地覆盖风险并具有竞争力。
本论文共分六章。第一章分析了论文的选题依据、相关研究进展、研究方法、研究的技术路线和研究内容。第二章建立了基于DEA最优效率的贷款定价模型研究。第三章建立了基于SFA最优效率的贷款定价模型研究。第四章建立了基于未来DEA效率的贷款定价模型研究。第五章建立了基于未来SFA效率的贷款定价模型研究。第六章为结论与展望。论文的主要工作如下：
(1)建立了基于DEA最优效率的贷款定价模型
通过贷款定价的DEA最优效率逆向求解贷款利率,确保贷款定价能够抵补贷款风险损失、被客户接受,保证银行的最大收益,为贷款定价研究提供了新思路。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DEA最优效率z=1和已知投入指标的基础上反求产出指标新贷款利率,保证贷款定价效率最优。保证了贷款定价覆盖贷款财务成本和风险,且能够给银行带来最大收益,即贷款定价效率最优。通过DEA二分法和DEA同解规划,在最优效率z=1时确定产出指标新贷款利率,解决了在DEA效率指数z=1时、最优效率情况下贷款利率水平的确定问题。
(2)建立了基于SFA最优效率的贷款定价模型
通过贷款定价的SFA最优效率求解贷款利率,确保贷款定价能够抵补贷款风险损失、被客户接受,保证银行的最大收益,为贷款定价研究提供了新思路。利用贷款定价的随机生产函数中参数的估计值,建立基于随机生产函数贷款定价公式,在旧贷款的最大SFA效率和已知投入指标的基础上确定产出指标新贷款利率,保证贷款定价效率最优。保证了贷款定价覆盖贷款财务成本和风险的,且能够给银行带来最大收益,即贷款定价效率最优。通过基于随机生产函数贷款定价公式,在旧贷款的最大SFA效率时确定产出指标新贷款利率,解决了在SFA最优效率情况下贷款利率水平的确定问题。
(3)建立了基于未来DEA效率的贷款定价模型
通过Malmquist指数的预测结果和DEA效率,推导贷款定价的未来可达到最大DEA效率,解决了与可达DEA最大效率相对应的未来时段贷款利率的确定问题。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可达到最大DEA效率指数,反映客户未来对贷款利率的接受程度。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,保证了在现有条件下给银行带来最大效率、抵补贷款风险损失、且客户能够接受。
(4)建立了基于未来SFA效率的贷款定价模型
通过随机生产函数中过去的技术非效率项,推导未来可达到最大SFA效率,解决了与可达SFA最大效率相对应的未来时段贷款利率的确定问题。利用未来可达到最大SFA效率,来反映客户未来对贷款利率的接受程度。利用贷款定价的随机生产函数中参数的估计值,建立贷款定价公式,在已知SFA效率和某些投入、产出指标的基础上确定其中一个产出指标贷款利率,保证了在现有条件下给银行带来最大效率、抵补贷款风险损失、且客户能够接受。
The loan pricing is one of the core making-decisions of the commercial banks. Whether the loan pricing is rational or not will directly influence the survival and development of commercial banks. Researching the loan pricing is a certain request of internal marketization reform of interest rates. If the loan pricing is too high, it'll bring about the good-quality clients'lose and the withering market; if the loan pricing is too low, its earning can't make up loan cost and client default loss, which results in the deficit of banks. The rational loan pricing will make loans safe, benefit able and flexible, which will efficiently overlay the risk and be competitive.
This dissertation includes six chapters. The first one analyzes the topic basis, the relative research development, methods, content and so on. The second one expounds the loan pricing model based on DEA optimal efficiency. The third one deals with the loan pricing model based on SFA optimal efficiency. The fourth one discusses the loan pricing model based on future DEA efficiency. The fifth one establishes the loan pricing model based on future SFA efficiency.The last one is conclusion and prospect.
The main content of dissertation is as follows:
(1) Establishing the loan pricing model based on DEA optimal efficiency
The loan rates are inversely solved with the DEA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The DEA efficiency is fixed by applying DEA methods in the existing research inversely with the data of input/output indexes. When the DEA optimal efficiency z=1, the new loan rate of output indexes is solved inversely on the basis of known input indexes, which confirms the optimal loan pricing rate. Furthermore, the loan pricing can be accepted by clients based on its overlaying financial cost and risk and bring the maximum benefit for banks. Through DEA dichotomy and DEA same solution programming, the new loan rate of output indexes is fixed when the optimal efficiency z=1, which solves the problem that the loan rate is fixed under the circumstance of optimal efficiency, when the DEA efficiency index z=1.
(2) Establishing the loan pricing model of SFA optimal efficiency
The loan rates are solved with the SFA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The formula of loan pricing based on stochastic production function is established by using parameter estimates of stochastic production function of loan pricing. The loan rate of output indexes is fixed based on the maximum SFA efficiency of old loan and known input indexes, which ensures the optimal loan pricing efficiency, which ensures that the loan pricing can overlay financial cost and risk and bring the maximum benefit for banks, that is, the loan pricing is optimal. The new loan rate of output indexes is fixed with the formula of loan pricing based on stochastic production function under the circumstance of the maximum SFA efficiency of old loan, which solves the problem that the loan rate is fixed when the SFA efficiency is optimal.
(3) Establishing the loan pricing model based on future DEA efficiency
The maximum DEA efficiency-to-be is obtained under the use of the interaction of the future Malmquist index and past DEA efficiency when the future Malmquist index is predicted with the past Malmquist index. The DEA efficiency is fixed with the input/output indexes by inversely applying the DEA methods in the existing research. One of the output index loan rates is inversely solved based on the unknown DEA efficiency and some input/output indexes, which ensure the maximum efficiency of banks and makes up the loss of loan risk and makes the clients accept it under the present condition. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum DEA efficiency of loan period.
(4) Establishing the loan pricing model based on future SFA efficiency
This dissertation deduces the maximum SFA efficiency-to-be through the past technical inefficiency effects in stochastic production function. The acceptability of clients on the intending loan rate is reflected with the maximum SFA efficiency-to-be. The formula of loan pricing is establishing by using the parameter estimates of stochastic production function of loan pricing. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum SFA efficiency of loan period.
本论文共分六章。第一章分析了论文的选题依据、相关研究进展、研究方法、研究的技术路线和研究内容。第二章建立了基于DEA最优效率的贷款定价模型研究。第三章建立了基于SFA最优效率的贷款定价模型研究。第四章建立了基于未来DEA效率的贷款定价模型研究。第五章建立了基于未来SFA效率的贷款定价模型研究。第六章为结论与展望。论文的主要工作如下：
(1)建立了基于DEA最优效率的贷款定价模型
通过贷款定价的DEA最优效率逆向求解贷款利率,确保贷款定价能够抵补贷款风险损失、被客户接受,保证银行的最大收益,为贷款定价研究提供了新思路。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DEA最优效率z=1和已知投入指标的基础上反求产出指标新贷款利率,保证贷款定价效率最优。保证了贷款定价覆盖贷款财务成本和风险,且能够给银行带来最大收益,即贷款定价效率最优。通过DEA二分法和DEA同解规划,在最优效率z=1时确定产出指标新贷款利率,解决了在DEA效率指数z=1时、最优效率情况下贷款利率水平的确定问题。
(2)建立了基于SFA最优效率的贷款定价模型
通过贷款定价的SFA最优效率求解贷款利率,确保贷款定价能够抵补贷款风险损失、被客户接受,保证银行的最大收益,为贷款定价研究提供了新思路。利用贷款定价的随机生产函数中参数的估计值,建立基于随机生产函数贷款定价公式,在旧贷款的最大SFA效率和已知投入指标的基础上确定产出指标新贷款利率,保证贷款定价效率最优。保证了贷款定价覆盖贷款财务成本和风险的,且能够给银行带来最大收益,即贷款定价效率最优。通过基于随机生产函数贷款定价公式,在旧贷款的最大SFA效率时确定产出指标新贷款利率,解决了在SFA最优效率情况下贷款利率水平的确定问题。
(3)建立了基于未来DEA效率的贷款定价模型
通过Malmquist指数的预测结果和DEA效率,推导贷款定价的未来可达到最大DEA效率,解决了与可达DEA最大效率相对应的未来时段贷款利率的确定问题。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可达到最大DEA效率指数,反映客户未来对贷款利率的接受程度。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,保证了在现有条件下给银行带来最大效率、抵补贷款风险损失、且客户能够接受。
(4)建立了基于未来SFA效率的贷款定价模型
通过随机生产函数中过去的技术非效率项,推导未来可达到最大SFA效率,解决了与可达SFA最大效率相对应的未来时段贷款利率的确定问题。利用未来可达到最大SFA效率,来反映客户未来对贷款利率的接受程度。利用贷款定价的随机生产函数中参数的估计值,建立贷款定价公式,在已知SFA效率和某些投入、产出指标的基础上确定其中一个产出指标贷款利率,保证了在现有条件下给银行带来最大效率、抵补贷款风险损失、且客户能够接受。
The loan pricing is one of the core making-decisions of the commercial banks. Whether the loan pricing is rational or not will directly influence the survival and development of commercial banks. Researching the loan pricing is a certain request of internal marketization reform of interest rates. If the loan pricing is too high, it'll bring about the good-quality clients'lose and the withering market; if the loan pricing is too low, its earning can't make up loan cost and client default loss, which results in the deficit of banks. The rational loan pricing will make loans safe, benefit able and flexible, which will efficiently overlay the risk and be competitive.
This dissertation includes six chapters. The first one analyzes the topic basis, the relative research development, methods, content and so on. The second one expounds the loan pricing model based on DEA optimal efficiency. The third one deals with the loan pricing model based on SFA optimal efficiency. The fourth one discusses the loan pricing model based on future DEA efficiency. The fifth one establishes the loan pricing model based on future SFA efficiency.The last one is conclusion and prospect.
The main content of dissertation is as follows:
(1) Establishing the loan pricing model based on DEA optimal efficiency
The loan rates are inversely solved with the DEA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The DEA efficiency is fixed by applying DEA methods in the existing research inversely with the data of input/output indexes. When the DEA optimal efficiency z=1, the new loan rate of output indexes is solved inversely on the basis of known input indexes, which confirms the optimal loan pricing rate. Furthermore, the loan pricing can be accepted by clients based on its overlaying financial cost and risk and bring the maximum benefit for banks. Through DEA dichotomy and DEA same solution programming, the new loan rate of output indexes is fixed when the optimal efficiency z=1, which solves the problem that the loan rate is fixed under the circumstance of optimal efficiency, when the DEA efficiency index z=1.
(2) Establishing the loan pricing model of SFA optimal efficiency
The loan rates are solved with the SFA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The formula of loan pricing based on stochastic production function is established by using parameter estimates of stochastic production function of loan pricing. The loan rate of output indexes is fixed based on the maximum SFA efficiency of old loan and known input indexes, which ensures the optimal loan pricing efficiency, which ensures that the loan pricing can overlay financial cost and risk and bring the maximum benefit for banks, that is, the loan pricing is optimal. The new loan rate of output indexes is fixed with the formula of loan pricing based on stochastic production function under the circumstance of the maximum SFA efficiency of old loan, which solves the problem that the loan rate is fixed when the SFA efficiency is optimal.
(3) Establishing the loan pricing model based on future DEA efficiency
The maximum DEA efficiency-to-be is obtained under the use of the interaction of the future Malmquist index and past DEA efficiency when the future Malmquist index is predicted with the past Malmquist index. The DEA efficiency is fixed with the input/output indexes by inversely applying the DEA methods in the existing research. One of the output index loan rates is inversely solved based on the unknown DEA efficiency and some input/output indexes, which ensure the maximum efficiency of banks and makes up the loss of loan risk and makes the clients accept it under the present condition. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum DEA efficiency of loan period.
(4) Establishing the loan pricing model based on future SFA efficiency
This dissertation deduces the maximum SFA efficiency-to-be through the past technical inefficiency effects in stochastic production function. The acceptability of clients on the intending loan rate is reflected with the maximum SFA efficiency-to-be. The formula of loan pricing is establishing by using the parameter estimates of stochastic production function of loan pricing. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum SFA efficiency of loan period.
引文
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