基于区间效率的贷款定价研究

以存款利息支出率、费用支出率、预期违约损失率、目标利润率等4个定价指标作为输入,以贷款利率作为输出,采用支持向量机回归算法建立基于区间效率的贷款定价模型.创新与特色一是通过区间数形式来反映预期违约损失率、目标利润率、费用支出率等,改变了现有研究将目标利润、贷款费用、违约损失等变量看作确定性数值来定价的现状.使贷款利率更具有竞争性.二是通过比较不同核函数、核参数下的训练样本的贷款效率区间与合理的贷款效率区间的匹配程度,确定贷款定价模型最优的核函数和核参数,进而建立了贷款定价模型.间接解决了在考虑贷款价格能否被银行、客户接受情况下贷款利率确定的问题.

Research on Loan Pricing Model Based on the Interval Efficiency

Taking deposit interest rate,expenditure rate,expected default loss rate,the target profit as inputs,loan price as output,the loan pricing model based on the interval efficiency is established based on support vector regression.The special and contribution lies in:firstly,Deposit interest rate,expenditure rate,expected default loss rate,the target profit is expressed as interval numbers.It changes the problem that deposit interest rate,expenditure rate,expected default loss rate,the target profit is expressed as deterministic values in the existing research.It ensures the loan price is more competitive.Secondly,considering the loan price can be accepted by banks and clients,this paper determines the optimal kernel function and the optimal kernel parameters by comparing the efficiency interval in different kernel function and kernel parameters and the reasonable efficiency interval.Then the loan pricing model based on the interval efficiency is established.It solves the loan pricing problem considering the loan price can be accepted by banks and clients.