Study On Loan Pricing Based On Credit Risk Assessment Of CDB

Market-oriented interest rate reform is an important content of China's financial reform, but long-term interest rate controls, the domestic banks are accustomed to passive acceptance of the People's Bank's interest rates, the lack of risk-adjusted returns to determine asset prices, according to the experience and awareness, subjective and arbitrary large, floating interest rates magnitude usually does not reflect the borrower's credit standards and loan projects the degree of risk. Development Bank loan pricing also exist similar problems. For the State Development Bank, the funds were used or the direction of relatively simple, loans are almost the sole purposes. Net interest income is a major component of revenue, accounting for 99% of its revenues. At the same time, due to mainly engaged in long-term credit business, credit risk has become the core of the risk of development banks. To this end, the proposed establishment of credit risk premium assessment-based development bank loan pricing model. Development Bank, aims to build on the existing credit rating and debt ratings based on the assessment of credit risk premium for the loan pricing negotiations and credit reference for decision-making in order to make credit risk assessment and loan pricing between the two promote each other, complement each other.In this paper, the basic theory of loan pricing, influencing factors, pricing principles and the main pricing model is analyzed and compared that loan pricing is a more complex and systematic project, specifically including the cost of capital, operation costs, the level of risk, loan period, marketing strategies, interest rate policy, revenue targets, and other factors considered. In the drawing of the western commercial bank loan pricing, after the three models that cost-plus method and customer profitability analysis of the cost accounting requirements of the higher, due to current cost accounting of China's weak banking business, accurate and cost-sharing is difficult to do the loan to. Price leadership model framework for the pricing method is not only relatively clear, but technical difficulty is moderate, is a more appropriate option. It is the general price level of the market as a basis for determining the price of loans in selected benchmark interest rate, the pricing process is mainly focused on the customer credit status and the term structure analysis, and risk premium determination. In this model the price of loans to develop not only more directly reflects the level of risk of the loan, but also close to the market competitive.Then, this paper, the definition and characteristics of credit risk, credit risk measurement methods and models are described and analyzed that is currently in the domestic financial market is still relatively backward, credit rating system, found a lack of unified and standardized industry standards, market information, a more serious distortion circumstances, the foreign credit risk measurement method in our country do not apply. Development Bank, through the use of Basel II internal ratings-based approach to gradually explore and established a methodology that can reflect the characteristics of development banks, but also has more general applicability of the credit risk evaluation system for the effective identification, control risk has provided a guarantee at the same time for a more scientific and rational way for loans provided a prerequisite and basis for pricing. The scientific risk-based loan pricing mechanism is the principle of matching with the proceeds of each loan are to develop a differentiated interest rates. This paper studies the way interest rates are: Development Bank, the current IRB established under the framework of the client's future credit risk prediction and assessment to determine the risk premium range. Then, the central bank announced interest rate as the benchmark lending rate over the same period, the application price leader pricing method to determine a reasonable range of loan pricing information.A key factor in the credit risk premium is the borrower's probability of default (PD) and the debt-specific loss given default (LGD) determination. Development Bank, beginning in 2000, and gradually establish including credit rating and debt ratings, including the two-dimensional evaluation system, through credit ratings to determine the borrower's credit rating and the corresponding probability of default (PD), through the debt rating of single projects to determine Loss of default (LGD), so as to credit risk assessment provides a solid foundation for comprehensive information. Development banks, credit risk due to long-term exposure to large features, the risk of regional distribution and industry distribution of the high degree of concentration of credit risk of the main special features. Therefore, credit rating and debt rating process, the development banks, with their own business characteristics, through the rating system and the system of differentiation will be designed to scorecard does not reflect the borrower's credit rating, but would have an important impact considerations into the rating adjustment, fully embody the industry, and government intervention in the region and other factors on the borrower credit status of the main effects.Finally in order to test the feasibility and effectiveness of the model, this paper selected two representative cases of customer loans. The interest rate determined by the model range is based on the borrower's history, current and future credit on the basis of a comprehensive analysis and forecast, taking into account the debt structure and restore the credit rate, a combination of projects under the Internal Ratings-Based Approach the degree of risk reflects the risk of loan pricing and revenue matching principle, through the determination of the pricing range for decision-makers provide a flexible risk information is conducive to negotiating bank loans and credit decision-making to make more rational choices. Model to some extent make up for development banks, the existing pricing model, risk assessment applications gap, surrounding the New Basel Capital Accord risk management requirements, the results of the internal ratings-based approach applied to the loan pricing decision-making years, and thus conducive to the development banks to better control the risk, balance returns to meet the competition.