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目前我国商业银行在利率的制定过程中,普遍缺乏一个科学合理的标准,利率浮动幅度的确定不能充分反映借款人及借款项目的风险,如何科学地针对贷款的信用风险来确定价格一直是理论界探讨的课题,以布莱克-舒尔斯期权定价模型理论为基础,借鉴KMV模型的计算公式,利用我国上市公司的有关数据对商业银行的贷款定价与绩效进行评估,并根据实证结论提出相关对策建议。
At present, commercial banks in our country generally lack a scientific and reasonable standard in the process of setting interest rates. The determination of the floating range of interest rates can not fully reflect the risks of borrowers and borrowers. How to scientifically determine the price of loans for credit risk has always been the theoretical field Based on the theory of Black-Scholes option pricing model, this paper uses the formula of KMV model to evaluate the loan pricing and performance of commercial banks by using the data of listed companies in China, and puts forward the countermeasures and suggestions according to the empirical conclusions .