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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。
The allocation of economic capital to risk operations and the setting of RAROC targets are the development directions for the risk management of commercial banks and insurance companies. Taking RAROC as a bridge, the built-up loan insurance pricing model can calculate the price range and price benchmark for the loan insurance business that more meets the requirements of modern risk management, make up some deficiencies of the relevant pricing models and methods, and improve the loan insurance pricing The operability of the model is of positive significance to the research ideas of expanding the pricing of credit risk transfer. The study suggests that RAROC should be one of the key indicators to consider when pricing the loan insurance price or other credit risk transfer rates.