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中国管理科学

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基于还款能力和还款意愿的贷款定价模型研究

彭红枫, 叶永刚   

  1. 武汉大学经济与管理学院, 湖北武汉 430072
  • 收稿日期:2009-09-13 修回日期:2011-09-15 出版日期:2011-12-30 发布日期:2011-12-30
  • 作者简介:彭红枫(1976- ),男(汉族),江西奉新人,武汉大学经济与管理学院副教授,金融学博士,研究方向:金融工程、金融计量分析。
  • 基金资助:
    国家自然科学基金资助项目(70801045);武汉大学自主科研(人文社会科学)项目(20110425);中央高校基本科研业务费专项资金资助项目

Loan-pricing Model Based on Repayment Ability and Repayment Willingness

PENG Hong-feng, YE Yong-gang   

  1. Economics and Management School of Wuhan University, Wuhan 430072, China
  • Received:2009-09-13 Revised:2011-09-15 Online:2011-12-30 Published:2011-12-30

PDF (PC)

2774

被引次数

30

摘要： 企业的违约取决于还款能力和还款意愿综合作用的结果。传统的信用风险评估方法将还款能力与还款意愿当成两个独立的对象来处理,分别对二者进行评估后再做出风险决策,这种做法忽视了二者之间的内在联系,从而影响了信用风险决策的科学性与合理性。文章通过比较企业还款的成本与企业违约的机会成本大小来量化还款意愿,建立了一个n期的模型量化了借款人的动态的还款意愿。在此基础上,研究了企业还款意愿、还款能力对信用风险定价的交互影响,进一步建立了综合考虑还款能力和还款意愿两类因素条件下的贷款定价模型。

关键词: 还款能力, 还款意愿, 信用风险, 贷款定价

Abstract: The possibility of default for a corporation depends on the combined effects of its ability and willingness to repay.The conventional methodologies for credit risk measurement view repayment ability and repayment willingness as two separate objects,which evaluates them separately and then makes the risk decision.This method has ignored the intrinsic relationship between them,so as to hamper the scientificity and rationality of the credit risk decision.The repayment willingness is quantified by comparing the cost of repayment and the opportunity cost of default for a corporation and an N-period model is established to quantify the borrowers'dynamic repayment willingness.On this basis,this paper analyzes the interactive influences on the pricing of credit risk between repayment willingness and repayment ability for a corporation,and establishes a loan pricing model considering the repayment ability and repayment willingness comprehensively.

Key words: repayment ability, repayment willingness, loan pricing

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