我国个人住房贷款利率合理水平探讨

本文从个人住房贷款利率水平影响因素角度入手，运用中美两国住房贷款利率水平比较的方法对我国当前的个人住房贷款的合理利率水平进行分析。得出了我国目前的个人住房贷款利率水平偏高的基本结论，认为我国商业银行拥有高于国外同行的超额利润，房贷存在“暴利”，我国浮动利率住房贷款利率水平合理的范围应当在4-5％左右。     

固定利率贷款套期的会计问题探析

作为新的信贷产品,固定利率贷款将银行暴露于利率变化的风险之中,必然要求银行运用相应的套期工具进行套期,进而产生了套期活动的会计问题。然而按照《国际会计准则》第39号及财政部近期发布的“套期保值”和“金融工具确认和计量”两个准则征求意见稿的规定,固定利率贷款套期活动的会计处理结果却难以体现套期的目的。     

Loan Portfolio Swaps and Optimal Lending

Theories on loan portfolio swap hedging are based on a portfolio-choice approach. This paper presents an alternative: a firm-theoretic model for bank behavior with loan portfolio swaps. Our paper derives the optimal loan rate and rate-taking loan amount of the banks portfolio, and relates them to the market loan rate, counterparty loan rate, swap default risk, capital-to-deposits ratio, and deposit insurance. We find that in the bilateral default risk approach, the comparative static results are generated by four factors: the banks risk magnitude about the equity market value, loan composition in the swap contract, the substitution effect in the loan portfolio, and the income effect from the swap transaction. The results imply that changes in the payoff asymmetry in the event of swap default and the banks regulatory parameters have a direct effect on the banks loan portfolio for lending and swap transactions.We would like to thank two anonymous referees for helpful comments and advice.     

浮动利率房贷提前还款的损失度量

住房抵押贷款是银行一项重要业务和资产.随着利率的波动和其他因素的影响,借款人有可能提前还款从而影响银行的收益.准确地度量提前还款给银行带来的损失有助于商业银行更好地管理这类经营风险.在具有均值回复特性的随机市场利率和服从纯跳跃过程的浮动住房贷款利率条件下,以最常见的每月等本金还款方式为基础,根据对利率的预测,使用求期望的办法估算出银行房贷总收益的预期值,然后将该预期值折现到提前还款发生时刻,从而构造出借款人在合同期间提前偿还房贷给银行造成的利息损失度量模型.     

A Two-Factor Model for Low Interest Rate Regimes

This paper derives a two-factor model for the term structure of interest rates that segments the yield curve in a natural way. The first factor involves modelling a non-negative short rate process that primarily determines the early part of the yield curve and is obtained as a truncated Gaussian short rate. The second factor mainly influences the later part of the yield curve via the market index. The market index proxies the growth optimal portfolio (GOP) and is modelled as a squared Bessel process of dimension four. Although this setup can be applied to any interest rate environment, this study focuses on the difficult but important case where the short rate stays close to zero for a prolonged period of time. For the proposed model, an equivalent risk neutral martingale measure is neither possible nor required. Hence we use the benchmark approach where the GOP is chosen as numeraire. Fair derivative prices are then calculated via conditional expectations under the real world probability measure. Using this methodology we derive pricing functions for zero coupon bonds and options on zero coupon bonds. The proposed model naturally generates yield curve shapes commonly observed in the market. More importantly, the model replicates the key features of the interest rate cap market for economies with low interest rate regimes. In particular, the implied volatility term structure displays a consistent downward slope from extremely high levels of volatility together with a distinct negative skew. 1991 Mathematics Subject Classification: primary 90A12; secondary 60G30; 62P20 JEL Classification: G10, G13     

企业风险异质性、贷款利率与信贷违约风险——基于银行信贷微观数据

通过某股份制商业银行2010-2015年贷款数据,讨论不同风险贷款企业、贷款利率与信贷违约之间的关系.结果表明:贷款利率与贷款违约之间呈现U型关系;高风险等级企业与贷款违约之间正相关且显著;无论是高风险等级企业还是低风险等级企业与银行贷款利率之间均呈现负相关且显著,说明贷款利率的抑制现象依然存在.从参数估计值来看,低风险等级企业贷款利率要低于高风险等级企业;高风险企业与贷款利率交叉项与违约之间呈现负相关且显著,说明高风险企业通过贷款利率渠道确实可以降低信贷违约概率.     

Sources of Bank Interest Rate Risk

We investigate bank stocks'sensitivity to changes in interest rates and the factors affecting this sensitivity. We focus on whether the exposure of commercial banks to interest rate risk is conditioned on certain balance sheet and income statement ratios. We find a significantly negative relation between bank stock returns and changes in interest rates over the period 1991–1996. We also find that bank characteristics measured from basic financial statement information explain bank stocks'sensitivity to interest rate changes. These results suggest that bank managers, analysts, and regulators can use this information to assess the relative risk exposure of banks.     

我国商业银行贷款定价方法探讨

随着利率市场化进程的加快,我国商业银行的贷款定价体系面临着越来越严峻的考验。为了适应利率市场化的需要,应该改进国内现有的贷款定价方法,建立一个“以贷款平均收益率为基准利率,兼顾贷款风险溢价以及银行与客户整体关系”的贷款定价模型。     

利率掉期交易在我国现阶段的作用探讨

何为利率掉期？在目前我国的商业银行中，利率掉期的开展将会起到怎么样的积极作用？又将会面临怎么样的问题呢？本文将试图从这些方面做一定的阐述和探讨。     

冲销干预对区域信贷利率的影响:一种新视角

在我国现行的外汇管理体制下,外汇储备增长导致了基础货币供应量的增长。为维持汇率稳定和防止流动性过剩,央行采取冲销干预手段对冲外汇占款。本文通过固定效应模型实证分析得出:冲销干预通过影响信贷资金的区域供给状况,进而影响区域信贷利率。据此,本文提出进一步完善汇率制度、改善金融生态环境等相关政策建议。