chpt9商业银行产品和服务的定价.ppt

第九章 商业银行产品和服务的定价,对外经济贸易大学 金融学院 何自云 ,第九章 商业银行产品和服务的定价,金融资产的定价 银行产品定价的基本方法 Customer profitability analysis 贷款的定价 Pricing new commercial loans 存款的定价 不良贷款的定价 服务的定价,金融资产的定价,基础金融资产的价格：未来现金流的现值 未来现金流的时间 未来现金流的金额 贴现率 衍生金融资产的价格：无套利 期货（远期）价格 现货价格S0=300, 期限 T = 1年, 无风险利率 r = 0.05 期货（远期）价格 F0 = S0(1 + r )T 期货（远期）价格 F0 = 300 (1+0.05) = 315,银行产品定价的基本方法,法律导向定价法 绝对、上限、下限、上下限、基准+浮动幅度 成本导向定价法 固定成本、变动成本、利润、销售数量 竞争导向定价法 完全竞争、垄断竞争、寡头垄断、完全垄断 需求导向定价法 需求弹性、价格歧视、心理（整数、尾数、声望） 关系导向定价法 客户盈利性分析、交叉补贴,Customer profitability analysis,It is a decision tool used to evaluate the profitability of a customer relationship. The analysis procedure compels banks to be aware of the full range of services purchased by each customer and to generate meaningful cost estimates for providing each service. The applicability of customer profitability analysis has been questioned in recent years with the move toward unbundling services.,Account analysis framework,Customer profitability analysis is used to evaluate whether net revenue from an account meets a banks profit objectives. account revenues account expenses + target profit Revenues: investment, fee, interest income Expenses: Credit Services (Cost of funds, Loan administration, Default risk expense); Noncredit services Target profit: minimum required return per account,贷款定价,“由于0.9-1.7的幅度已使贷款利率处于基本放开的情况，商业银行必须要学会风险定价。” “目前，贷款定价是我们商业银行的弱项，因为过去利率管制多，商业银行没有机会去做。” 从2004年1月1日起,贷款(除个人住房贷款)的计息结息方式，由借贷双方协商确定。 与存款的对称性 自主确定计结息方式，灵活设计贷款品种 及时发现客户偿还能力问题 及时调整贷款利率，降低利率风险，提高货币政策传导效率,贷款定价,无风险贷款的利率 资金成本、直接费用和间接费用、税负、期限调整、目标利润 风险补偿 信用风险补偿：违约概率、违约损失率 利率风险补偿、其他风险补偿 利率管制与不良贷款的形成 放开利率，实际上主要是放开信用风险补偿,一年期信用级别转移矩阵（%）,美国FDIC不良资产处置回收率(%),Pricing new commercial loans,The approach is also equating revenues with expenses plus target profit, but now the loan officer must forecast borrower behavior. The analysis assumes that the contractual loan rate is set at a markup over the banks weighted marginal cost of funds and thus varies coincidentally. Risk-adjusted returns on loans Fixed rates versus floating rates Base rate alternatives,Risk-adjusted returns on loans,When deciding what rate to charge, loan officers attempt to forecast default losses over the life of the loan. Credit risk, in turn, can be divided into expected losses and unexpected losses. Expected losses might be reasonably based on mean historical loss rates. Unexpected losses should be measured by computing the deviation of realized losses from the historical mean.,Fixed rates versus floating rates,Floating-rate loans: increase the rate sensitivity of bank assets increase the GAP reduce potential net interest losses from rising interest rates Floating-rate loans transfer interest rate risk from the bank to the borrower. Initially below fixed rates Interest rate cap,Base rate alternatives,The CD base rate is normally the quoted nominal rate adjusted for required reserves and the cost of FDIC insurance. LIBOR represents the quoted rate, because neither reserves nor insurance is required. Banks are moving toward using their weighted marginal cost of debt as the preferred base rate for smaller corporations. They do not possess the same financial flexibility and thus do not receive the same treatment.,存款定价,法律： 绝对利率水平、利率高限、基准利率+浮动幅度、完全自由 需求：存款人愿意存款的最低利率 替代品收益率、银行竞争、货币政策、通货膨胀、相关服务、存款期限 供给：银行愿意接受存款的最高利率 盈利能力、管理费用、利润要求,不良贷款的定价,天下没有卖不出去的东西，只有定价不对的东西。 理论价格 一笔贷款实质上是一系列未来现金流的承诺，其价值等于这些未来现金流的现值。 评估（粗略估计） 担保资产评估、企业资信评估、贷款质量评估 市场发现：拍卖、招投标 延期定价：信托、债转股 二手车市场、信息不对称与不良贷款,商业银行服务价格管理暂行办法,第6条：根据服务的性质、特点和市场竞争状况，商业银行服务价格分别实行政府指导价和市场调节价。 第7条：实行政府指导价的商业银行服务范围为：（一）人民币基本结算类业务，包括：银行汇票、银行承兑汇票、本票、支票、汇兑、委托收款、托收承付；（二）中国银行业监督管理委员会、国家发展和改革委员会根据对个人、企事业的影响程度以及市场竞争状况确定的商业银行服务项目。 除前款规定外，商业银行提供的其他服务，实行市场调节价。,服务价格的制定,第8条：实行政府指导价的服务价格按照保本微利的原则