基于GCRM模型的信用经济资本测度和贷款定价研究

统计研究 ›› 2010, Vol. 27 ›› Issue (7): 60-64.

基于GCRM模型的信用经济资本测度和贷款定价研究

杨继光刘海龙许友传

收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2010-07-15 发布日期:2010-07-15

Study on Credit Risk Economic Capital Measurement and Loan Pricing Based on GCRM Model

Yang Jiguang Liu Hailong Xu Youchuan

Received:1900-01-01 Revised:1900-01-01 Online:2010-07-15 Published:2010-07-15

摘要/Abstract

摘要： GCRM模型与ASRF模型相比，能给出与经济资本测度目标相一致的资本数量，而现有文献对GCRM模型的到期收益率没有给出明确的刻画，本文则通过假设资产的到期收益率与其信用经济资本相关，得出了基于GCRM模型的信用经济资本测度和贷款定价方法，它能够刻画借款者的违约概率、违约损失率，以及商业银行的风险偏好（目标支付概率）和资本融资成本对经济资本和贷款定价的影响，为商业银行相关领域的决策提供了参考。

关键词: 经济资本测度, 贷款定价, 高斯收益模型

Abstract: Compared to ASRF model, GCRM model is able to give the amount of capital in line with the objective of economic capital measurement. However, the existing literatures have not given a clear portrait of yield to maturity of the GCRM model. With the assumption of the yield to maturity of the asset is related to economic capital, this paper sets up a model of economic capital measurement and loan pricing based on GCRM model. It can describe the impact of default probability of borrower, the loss rate given default, risk preferences of commercial banks (target pay probability), the financing costs of capital on economic capital measurement and loaning pricing, and will be helpful to the related decision-making of commercial banks.

Key words: Economic, capital, measure, Loan, pricing, Gaussian, Credit, Return, Model

杨继光刘海龙许友传. 基于GCRM模型的信用经济资本测度和贷款定价研究[J]. 统计研究, 2010, 27(7): 60-64.

Yang Jiguang Liu Hailong Xu Youchuan. Study on Credit Risk Economic Capital Measurement and Loan Pricing Based on GCRM Model[J]. , 2010, 27(7): 60-64.