The Study of Commercial Bank Loan Risk Pricing Based on RAROC Model

Author

Bingwu, Liu ; Li, Zhou

Author_Institution

Sch. of Inf., Beijing Wuzi Univ., Beijing, China

Volume

2

fYear

2009

fDate

26-27 Dec. 2009

Firstpage

541

Lastpage

543

Abstract

RAROC method is a kind of integrate pricing method based on risk capital and probability default. It summarizes the model of loan pricing and new development and the RAROC method application. It analyses the status quo of our country´ s commercial bank loan pricing. It decomposes probability default, loss given default, non-expected loss and risk capital etc, than compute RAROC value directly. Analyzing probability distribution of loan project, identifying the style of risk, including credit risk, market risk and manipulate risk. There are lots of methods for all kinds of risk. Give an example of five loans of some city´s commercial bank. In addition, it puts the RAROC method into fact and brings forward more ways.

Keywords

banking; pricing; statistical distributions; RAROC model; commercial bank loan risk pricing; credit risk; loan project; manipulate risk; market risk; probability default; probability distribution; risk capital; Asset management; Costs; Forward contracts; Investments; Kernel; Portfolios; Pricing; Reactive power; Risk analysis; Risk management;

fLanguage

English

Publisher

ieee

Conference_Titel

Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on

Conference_Location

Xi´an

Print_ISBN

978-0-7695-3876-1

Type

conf

DOI

10.1109/ICIII.2009.288

Filename

5370444