The Research On The Pricing Method Of Corporate Loan Based On Credit Risk Measurement And Its Application

As the global economy is becoming integrative, the interest marketilization has been regarded as the basic requirement of the implement of market economy, and it is an important stage of the financial system reform. It is the same as the other reforms that the interest marketilization reform is a task consisting of opportunities and challenges. On one hand, the interest marketilization reform endows the commercial banks with more and more independence in pricing, and it advances the operating ability of commercial banks, and it is good to the segmentation of target market and the optimization of resource collocation; on the other hand, the interest marketilization reform has put forward a new question of how to price the loan reasonably to commercial banks. Considering the actuality of loan pricing in our country, this paper is aimed at this question which is desiderated to be solved by commercial banks. In this paper, by using the foreign ideas of loan pricing, it forms a loan pricing system which makes the risk management especially the credit risk management as the core. This research will be considered as one of the useful exploring research on the restruction of commercial banks'loan pricing system and the improvement of risk management level and international compepition capability.Firstly, this paper reviews briefly the theory of credit risk measurement and loan management, introduces the principles and fundamentals of loan pricing, compares and evaluates three major loan pricing models used frequently in foreign banks. The restruction of commercial banks'loan pricing system in our country will use these models for reference. As the loan pricing system in our country at present is mostly based on credit rating, and the credit rating can't reflect the borrower's credit risk dynamicly and reasonably. So this paper attempts to introduce the credit risk measurement models to the loan pricing model, and in this model the borrower's credit risk can be reflected in time in the loan price.Secondly, this paper centralizes the research on the material method of how to price the loans based on credit risk. This pricing procedure includes four major parts: (1) using the credit risk measurement model to confirm the EDF, EL and credit risk premium; (2) integrating the various factors of the traditional pricing methods took in account to confirm the benchmark rate of the loan; (3) adjusting the benchmark rate of the loan and confirming the initial interest rate according to the borrower's credit risk, loan term and the interrelationship between banks and borrowers; (4) adjusting the...