RAROC在商业银行信贷风险管理及贷款定价中的应用研究
毕业论文关键词：RAROC；信贷风险；经济资本；预期损失；贷款定价
Research on the application of RAROC in credit risk management and loan pricing of commercial banks
Abstract: Deposit and loan spreads is the main source of profit for commercial banks, whether there is a risk of loans, loan pricing is competitive with the market, not only related to the profitability of commercial banks, but also related to the success of China's economic transformation. Based on the credit business of commercial banks, this paper studies the application of risk adjusted return on capital RAROC. The main contents include three aspects: firstly, put forward the method of RAROC measurement of commercial banks based on annual reports, 14 domestic commercial banks listed on the RAROC calculation results show that: at the present stage of China's banking industry is facing greater risks and the risks are still increasing; secondly, the loan pricing model based on RAROC optimization into the industry risk coefficient the customer return coefficient, differentiated loan strategy to help achieve the maximum benefit under conditions of risk control in commercial banks; finally, analyzed and discussed the full implementation of RAROC difficulties, discusses the application path to enhance the level of China's commercial banks RAROC.
Key words：RAROC；credit risk；economic capital；expected loss；loan-pricing
目 录
摘要.1
关键词..1
Abstract1
Key words..1
引言.1
一、文献综述..2
二、基于商业银行年报的风险调整资本收益率RAROC..4
（一）RAROC简介..4
（二）商业银行RAROC各参数的计量方法4
1．经济资本.4
2．预期损失.4
（三）国内上市商业银行RAROC指标测算4
1．数据来源.4
2．变量取值.5
3．测算结果.5
（四）结果讨论.6
1.正确性6
2.数据分析.6
三、基于RAROC的商业银行贷款定价策略
（一）贷款风险控制..6
（二）贷款定价方法..7
1．定价模型.7
2．利率修正.7
（三）模拟计算过程8
1．案例的设计..8
2. 利率的计算..8
3. 定价的修正..8
四、结论与思考.9
（一）牢固树立以RAROC为核心的资本约束理念..9
（二）科学建立以RAROC为核心的绩效考核机制..9
（三）统一部署以RAROC为核心的数据采集平台..9
（四）集中研发以RAROC为核心的实务管理系统..9
致谢.9
参考文献..10
表１ 国内上市商业银行基础财务数据（金额：百万元）..4
表2 国内上市商业银行RAROC测算值..5
表3 2016年分行业的不良贷款率7
表4 2015年分行业的不良贷款率7
RAROC在商业银行信贷风险管理及贷款定价中的应用研究
随着金融全球化、利率市场化的不断推进，我国商业银行的数量越来越多，竞争越来越激烈。与此同时，经济下行压力加大，金融脱媒的加速，银行利差进一步收窄。为抢占市场，一些商业银行无视资本充足率下降、资产质量恶化、不良贷款率升高等现象，盲目扩大信贷投放，贷前调查审核不严，贷后检查不到位，客户评级授信制度不健全，收益或利润虽然增加，但资本风险不断加大，容易爆发金融危机。据统计，2014年至今，我国16家上市商业银行不良贷款率不断攀升，增幅接近30%，风险的不断积累导致违约事件时有发生。现阶段，信用风险已进入集中暴露期。
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