基于RAROC的贷款保险定价研究

›› 2017, Vol. 29 ›› Issue (1): 42-52.

基于RAROC的贷款保险定价研究

胡斌^1,2, 胡艳萍³

1. 电子科技大学经济与管理学院, 成都 611731;
2. 四川师范大学经济与管理学院, 成都 610068;
3. 西南民族大学外国语学院, 成都 610041

收稿日期:2014-12-29 出版日期:2017-01-28 发布日期:2017-03-16
作者简介:胡斌,电子科技大学经济与管理学院博士后,四川师范大学经济与管理学院副研究员,硕士生导师,博士;胡艳萍,西南民族大学外国语学院讲师。
基金资助:
国家自然科学基金重点项目（71531003）；国家社科基金项目（15XZZ011）；国家社科基金青年项目（12CGL020）。

A RAROC-Based Approach to Loan Insurance Pricing

Hu Bin^1,2, Hu Yanping³

1. School of Management and Economics, University of Electronic Science and Technology of China, Chengdu 611731;
2. School of Economics and Management, Sichuan Normal University, Chengdu 610068;
3. School of Foreign Languages, Southwest University for Nationalities, Chengdu 610041

Received:2014-12-29 Online:2017-01-28 Published:2017-03-16

摘要/Abstract

摘要：

为风险业务配置经济资本并设定RAROC目标，是商业银行和保险公司风险管理的发展方向。以RAROC为桥梁，构建起的贷款保险定价模型，能够为贷款保险业务测算出更加符合现代风险管理要求的价格区间与价格基准，弥补了相关定价模型和方法的某些不足，提升了贷款保险定价模型的可操作性，对拓展信贷风险转移定价问题的研究思路具有积极意义。研究建议RAROC应成为制定贷款保险价格或其他信贷风险转移价格时需要考虑的重要指标之一。

关键词: 信贷风险, 贷款保险定价, RAROC, 非预期损失, 经济资本

Abstract:

Allocating economic capital and setting RAROC targets to business, is the direction of risk management of the commercial banks and insurers. Based on the RAROC, this thesis creates a pricing model which can measure the price range and basic price for loan insurance reasonably. This model can make up for the inadequacy of relevant models and will be more feasible in practice, so it can be used to develop the transfer pricing theory of credit risk. The study also proposes that RAROC should become one of the important indicators in formulating the loan insurance price or the transfer price of credit risk.

Key words: credit risk, loan insurance pricing, RAROC, unexpected loss, economic capital

胡斌, 胡艳萍. 基于RAROC的贷款保险定价研究[J]. , 2017, 29(1): 42-52.

Hu Bin, Hu Yanping. A RAROC-Based Approach to Loan Insurance Pricing[J]. , 2017, 29(1): 42-52.

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