Study On Chinese Commercial Bank Loan Pricing Of RAROC Model Based On Default Probability And Economic Capital

The implementation of the Basel ?,the steadily promoting of interest rate liberalization,and the increasing pricing power of commercial bank loan,all have raised the high demand for loan risk management of commercial banks.At the same time,the rapid economic development as led to the rapid growth of the credit scale and the increased credit risk.The loan is the most important asset business of commercial banks,and the credit risk accounts for 60% to the total risk exposure.The loan default is the main credit risk of commercial banks as the loan price cannot compensate the loan default loss effectively.Therefore,to commercial banks,how to set the loan price reasonably,improving the pricing technology to loan risk,matching the loan risk and income,and preventing the credit risk effectively are the problems that must be studied and solved.Under the condition of interest rate marketization,studying loan risk pricing deeply and building China loan risk pricing model are of great theoretical and practical significance to improve the risk management level and loan pricing ability of commercial banks in China,to improve the core competitiveness,to achieve the business objectives and sustainable development,and to meet the high risk management requirements of the new capital agreement.This paper consists of seven chapters.Firstly,based on information asymmetry theory and risk management theory,it defines the related concepts and elements of commercial bank loan pricing and credit risk,and compares the three classical loan methods.It also analyzes the influencing factors of China's commercial bank loan pricing from the macro and micro,and analyzes the relationships of credit risk,default probability and loan pricing.Secondly,it analyzes the present situation and existing problems of domestic loan pricing.And discusses the feasibility of RAROC loan pricing method in China based on the actual situation of internal and external environment of our commercial banks.Also it analyzes the relationship between RAROC and the loan approval decision,and constructs a commercial bank RAROC loan pricing model based on the probability of default and economic capital.Thirdly,it carries out the empirical analysis to RAROC loan pricing model of commercial banks.By selecting seven aspects of 21 financial indicators in total 324 sets of data from our 80 manufacturing-listed companies 2011-2014(40 ST companies and 40 normal companies)as samples to do the Logistic regression analysis,we get a prediction model of default probability which includes significant influencing factors like current liabilities ratio,earnings per share,asset accumulation rate and fixed asset ratio,and this model can measure the expected loss.And then select10 overdue loans and 10 normal loans issued by listed companies,to calculate the economic capital on the basis of default probability measure mentand to price RAROC loan in combination with operating costs and capital costs of commercial banks.It is found that RAROC loan pricing is higher than its actual loan interest rate.In particular,the gap between RAROC loan pricing of default sample and its actual pricing is significantly bigger than that of non-default sample,which reflects that the current pricing method of commercial banks cannot match the loan risk and income,the compensation ability of the risk loss is weak,and the credit risk of the loan is underestimated.Finally,it puts forward the corresponding policy recommend ations according to the problems and the results of the empirical research.