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后悔厌恶对商业银行存贷款定价的影响

ISSN号：1000-0984
期刊名称：数学的实践与认识
时间：2014.3.8
页码：121-127
分类：O225[理学—运筹学与控制论;理学—数学]
作者机构：[1]东北财经大学金融学院,辽宁大连116025, [2]东北财经大学实验经济学实验室,辽宁大连116025, [3]大连理工大学管理与经济学部,辽宁大连116024
相关基金：资助项目：国家自然科学基金（71171031）;教育部人文社会科学研究青年基金（11YJC790157）;辽宁省教育厅科研项目（W2011108）;辽宁省社会科学规划基金（L11BJY010）
相关项目：基于违约风险金字塔原理的小企业贷款定价模型

关键词：贷款定价, 后悔厌恶, 风险厌恶, 期望效用函数, loan pricing, regret aversion, risk aversion, expected utility function

中文摘要：

存贷利差收入是银行主要的收入来源，存贷款定价问题是银行经营管理、风险控制的核心之一．在“代理商”模型的基础上，弓【入后悔系数和后悔效用函数：建立了基于双重厌恶银行的期望效用函数，并利用极值理论，确定了最优存贷款利差．双重厌恶期望效用函数反映了银行风险厌恶和后悔厌恶的双重特点，解决了现有研究忽略后悔情绪导致模型出现偏差的问题．从理论上分析了双重厌恶型银行最优的存贷款利差的决策问题，给出了其与市场风险、信用风险以及后悔情绪之间的关系．通过与纯风险厌恶型银行最优决策的对比发现，对于双重厌恶型银行来说，信用风险对存贷利差影响的弹性要小于纯风险厌恶型银行，而后悔厌恶程度越大其弹性就越小．由于后悔心理的存在减小了信用风险对存贷款利差影响的弹性．

英文摘要：

The deposit and loan spread income are main source of banking income. Deposit and loan pricing problem is one of the issues of banking operating management and risk controlling. Based on ＂dealership＂ model, this paper not only introduces regret coefficient and regret utility function, but also builds the banking expected utility function based on dual aversion and determines the optimal deposit and loan spread by using the extreme value theory. The expected utility function based on dual-aversion reflects the dual characteristics of banks＇ risk aversion and regret aversion so that it avoids the deviation due to ignoring the regret emotion in the current researches. The decision-making of the banking optimal deposit and loan spread based on dual aversion are analyzed in theory. Their relationship to marker risk, credit risk and regret emotion are expressed. Compared with banking optimal decision- making based on sole risk aversion, the influence elasticity of credit risk on deposit and loan spread is less than that of sole risk aversion banks for dual aversion banks. But the bigger regret aversion, the smaller elasticity. That is, the presence of regret reduces the influence elasticity of the credit risk on deposit and loan spread.

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