Title :
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
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;
Conference_Titel :
Information Management, Innovation Management and Industrial Engineering, 2009 International Conference on
Conference_Location :
Xi´an
Print_ISBN :
978-0-7695-3876-1
DOI :
10.1109/ICIII.2009.288
