China's State-owned Commercial Bank Loan Pricing Studies

Banks have to face the independent and reasonable pricing after Basel II and interest rate liberalization. In this thesis, the loan pricing of domestic state-owned commercial banks is studied based on the principles and requirements of Basel II. The content includes:First of all, this thesis introduces present loan-pricing situation of domestic commercial banks. Learning from three loan-pricing models abroad and present related study, a Prime Rate marup revised pricing model combining market and customer orientation is developed, and the suggestions to the pricing of each part of the Prime Rate marup revised pricing model are given accordingly.Secondly, Previous domestic studies always use financial ratios in the quantitative research of credit analysis. However, traditional financial analysis has some limitations. What's more, the credit enterprises are not in a closed system, they would be inevitably influenced and confined by macroeconomic and market environments. According to the current domestic situation, and based on previous domestic studies with only financial ratios, this paper extends the Logit regression model by integrating financial and non-financial factors, considering lag of macroeconomic factor and eliminating interindustry effect for the prediction of financially distressed firms. The proposed eight-factor index system is used to calculate the Probability of Default.Thirdly, based on the same data, the Logit model and Neural Network are extended to calculate the default risk premium by using the proposed eight-factor index system and five main influential factors of Loss Given Default. Finally, a practical application is presented.