文档介绍：山西财经大学
硕士学位论文
基于RAROC的我国商业银行贷款定价方法研究
姓名:张俊祎
申请学位级别:硕士
专业:金融学
指导教师:杨有振
2011-02-25
基于 RAROC 的我国商业银行贷款定价方法研究
摘要
随着中国利率市场化改革的逐步深入,中国允许外资银行经营人民币业务以及遵循巴
塞尔新资本协议的要求,中国商业银行开始面临一个竞争激烈、内外部风险和资本监管严格
的市场环境。利率市场化后如何对贷款进行风险与收益相匹配的合理的定价,以及如何结合
巴塞尔新资本协议的规定对贷款进行定价成为商业银行面临的重大挑战,研究商业银行贷款
定价具有重要的理论和现实意义。
本文在对贷款定价理论介绍的基础上,回顾了国外传统的三种贷款定价方法,重点介绍
了现代的贷款定价方法。并在对该定价理论和模型进行量化分解的基础上,与传统定
价方法进行了全面比较,认为定价方法存在先天性的优点。进而在分析我国贷款定价
方法的现状和问题的讨论中提出我国商业银行应该选择定价方法。在模型中引
入风险调整函数,衡量的是经风险调整后的资本回报率,它兼顾了预期损失与非预期损失对
贷款的影响,代表了风险管理的先进理念,体现了“以客户为中心”的思想,与商业银行以
往的贷款定价的方法完全不同,有利于商业银行提高贷款营销与风险管理的主动性,对我国
商业银行应对日益激烈的行业竞争具有一定的指导意义。
【关键词】商业银行利率市场化贷款定价
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基于 RAROC 的我国商业银行贷款定价方法研究

As China gradually promotes interest rate liberalization reform and permits foreign-
funded banks to undertake RMB banking operations and conforms to the New Basel Capital
Accord ,mercial banks have to be faced with a market environment that is fierce in
competition and strict in supervision over both internal & external risks and capital. It has e a
major challenge mercial banks how to reasonably loan pricing on the basis of reasonable
risk-profit ratio and in accordance with the stipulations of New Basel Capital Accord . Therefore it
is of great theoretical and pritical significance to research on loan pricing mercial banks.
This paper describes the theory of loan pricing based on the review of the traditional three
foreign loan pricing method, focuses on the modern method of loan pricing RAROC. And the
pricing theory and models to quantify position, based on the prehensive
comparison of the pricing methods that the existence of congenital RAROC pricing advantages.
Then the analysis of the status of loan pricing methods and issues raised in the discussion of China's
commercial banks should choose RAROC pricing. The introduction of RAROC risk adjustment in
the model function, is a measure of risk-adjusted return on capital after, which take into account the
expected