Research On Loan Pricing And Portfolio Decision-making Of Commercial Banks Based On Risk Analysis

Whether a loan is properly priced or not will affect not only commercial banks' profit margin and assets quality, but also commercial banks' market power and high quality customers. Other reasons are such that the interest rate supervision is loosened and most profit of our domestic commercial banks still comes from the loans nowadays. All these make the issue of loan-pricing be one of the hotspots in academe and banking industry. This paper studies the issue restricted by some given conditions. The main ideas and conclusions are summarized as follows:According to the different attentions of academe and practitioners, Chapter 2 divides the loan-pricing fields into two research systems and develops the research views after summarizing others' studies.The fierce competition for high quality customers in the loan market has been forcing commercial banks to negotiate with the firms to obtain the loan's equilibrium price. Under this background, the paper proposes a fuzzy-decision loan pricing method based on risk-premium for domestic commercial banks through introducing the interval number method. Chapter 3 gives a case which shows the application value of the method.Most of the current studies in loan pricing field aim at credit risk and pay little attention to the impacts of the correlation risk of credit and market risks. Researches based on credit risk, market risk, and their correlation risk is now still a new field. Chapter 4 studies this issue and proposes the corresponding model. The research results provide our empirical economic intuitions with theoretical supports. Meanwhile, it shows the limits of the current loan-pricing studies and reveals this study's significance.Chapter 5 studies deferred loans pricing. Deferred loans are important to banks' risk management because they themselves mean that borrowers can not perform their promises. Before presenting the idea of the benchmark interest rate of deferred loans, this chapter firstly analyzes the irrationality of current interest rate of deferred loans. Then, the paper does some static analyses on the benchmark interest rate and the current interest rate of deferred loans. Based on the analysis of deferred loans' risk characteristic, this paper develops a kind of deferred loans' pricing model based on the risk that deferred loans faced in view of the interrelated factors of deferred loan's risk. Compared with the traditional pricing model of deferred loans, our model represents deferred loans' risk characteristic and loans' potential value. The pricing model simultaneously forces pressure on the borrowers to pay off their debts on time.All the purposes of commercial banks' risk management are to manage to maximize the profit of its loan portfolio under the risk controlling and minimize the risk of its loan portfolio given the profit. Chapter 6 is an application research of loan pricing. In this chapter, the decision-making method based on risk-pricing is proposed.The fuzzy-decision method of loan pricing and portfolio decision-making through introducing the interval number method is a new research one that is different from others in the field. Though the study based on credit risk, market risk, and their correlation risk is now still in an elementary step, the mode of how to combine credit risk and market risk in this paper provides some ideas for the corresponding researches in this field in the future.Until now, few similar studies on loan-pricing of deferred loans are presented. The theme on loan-pricing of deferred loans is of initiatives to some degree. Though the pricing model of deferred loans based on risk-pricing, which is proposed in this paper, is imperfect, the value of this study is not the model itself, but finding the problem in commercial banks' practice. And at the same time the paper provides the problem with a kind of possible solution. What is more important is that the concept of benchmark interest rate of deferred loans proposed in this paper can contribute some helps for relative researches in loan-pricing field.In the research of loan portfolio decision-making method, this paper makes the parameter, which is called VaR-restriction, to stand for a commercial bank's risk-bearing ability and does some researches on multi-objectives decision-making method. All of above reinforce the current knowledge of domestic commercial banks' loan portfolio decision-making management.