增加风险规避程度对银行放款利率的影响
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F830.5

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Change of the Interest Rate of Loan When CommercialBanks Become More Risk Averse
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    摘要:

    在充分考虑了商业银行贷款中非正常贷款的本息损失的基础上,根据商业银行的资产负债平衡表等式,重新构造了商业银行在信用风险随机变化和利率风险随机变化下利润效用的泛函,求导了商业银行利润效用最大时的放款利率函数,应用贝叶斯估计分析了商业银行增加风险规避程度时其放款利率的变化,将风险规避程度从比较弱而难以产生直觉上有吸引力的Arrow-Pratt风险规避程度提高到更强Ross风险规避程度,指出在充分考虑商业银行的风险损失和风险成本时,风险规避程度较高的商业银行将采用更高的放款利率.

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    Through the equation of balance sheet between assessment and debt, this paper reformulates the function with two stochastic process of credit risk and interest rate risk under the full consideration of the profile of the losses of bad debts of the commercial banks, deduces the function of loan rate under the maximum utility of profit margin of commercial banks. The Beyer's estimation is used to analyse the changes of the loan rate when the extent of the risk averse of commercial banks. The risk averse extent is raised from the Arrow-Pratt risk averse to Ross risk averse. It is pointed out that the more risk averse of a commercial bank, the even higher the interest rate the bank charges to its borrower.

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许定,孙俊贻,李晓春.增加风险规避程度对银行放款利率的影响[J].重庆大学学报,2004,27(4):134-137.

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  • 最后修改日期:2004-01-11
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