The Research On Loan Pricing Of Our Commercial Bank Under The Market-Oriented Of Interest Rate

The implementation of the new Basel Capital Agreement and the reform of market-oriented interest rate put forward strict requirement to our commercial bank. Domestic commercial bank had to face the problem of loan pricing.At first, the paper analyzed the meaning of research loan pricing. And then combined the actuality of our bank's loan pricing and foreign bank's methods of loan pricing and risk measurement, the paper brought forward a model which took loan risk, profit of bank, the relationship between bank and company into consideration, which was named as Risk Pricing Model. This paper put its research emphases on the risk compensation, including three factors--the calculation of expected default frequency and expected loss and the choice of benchmark interest rate.This paper compared three rates from stability, basic and relativity, and chose SHIBOR as our benchmark interest rate. Besides, this paper modified the KMV model, and did empirical analysis on expected default frequency and gave the formula of expected loss.In the final of this paper, it put forward a case and calculated expected default frequency and expected loss, and finally calculated the rate of loan. The risk pricing model could reflect the level of risk, and it was a simple and convenient model.