| The U.S. subprime mortgage crisis erupted in2008, caused a global financial crisis and economic recession, irreparable trauma, while in the financial system and real economy, the original theory and practice of financial regulation in many of the problems exposed. Tremendous challenges are caused on the financial regulatory model, methods, and tools. Financial regulatory reform after the crisis is the major innovation of the original concept of financial regulation and rules. The reform program of the U.S., UK, EU and other major developed economies, affecting the re-establishment of the global financial regulatory system, and unanimously adopted the Basel Capital Accord III, also marks the global banking regulatory standards to emerge, which will be the world’s financial industry and economic development have a profound impact.New regulatory standards for a single bank capital quality, the quantity of capital and capital forms of regulation have a significant impact on the strengthening of regulatory standards which will substantially increase the cost of complex business, the robustness of regulatory trends will encourage commercial banks to change the business model, and then impact on macroeconomic performance, the entire banking system and credit supply capacity and the global banking business model. Under the pressure of more stringent regulatory environment, banks must develop reasonable capital replenishment mechanism, and maintain continuous operation to meet the new standards requirements.In December2001, China formally joined the WTO, followed by foreign banks in the continuous influx of Chinese financial markets and the gradual implementation of the Basel Capital Accord to promote. Development in order to survive in the fierce competition, China’s commercial banks to improve risk management capability is also imminent. China’s interest rate marketization reform from1980,1996China’s Central Bank to cancel the inter-bank loan interest rate ceiling of the "2002China’s monetary policy implementation of the report" announced the interest rates market-oriented reform of the general ideas:first, foreign currency, then, national currency; first loan, then, deposits; first long-term, large, after short-term, micro. The interest rate reform objectives are:to gradually establish a market determines financial institutions to deposit and loan interest rates interest rate formation mechanism, the central bank regulation and guidance in market interest rates, the market mechanism to play a leading role in the allocation of financial resources. At present, China’s market-oriented interest rate reform has made some progress, continuously deepen, but from a full market there is a considerable gap, especially in the loan interest rate market, there is a long way to go.The introduction of Basel Ⅲ, and the gradual implementation of the interest rate market, in fact, put forward higher requirements for China’s commercial banks loan pricing power. In order to steadily promote the smooth implementation of Basel Ⅲ in China, to promote China’s commercial banks to enhance risk management capabilities to enhance the effectiveness of capital regulation, the China Banking Regulatory Commission promulgated the Banking Regulatory Commission issued [2010]44:"China Banking Regulatory Commission on the Chinese banking sector to implement the new regulatory standard guidance "notice. In March2011, the China Banking Regulatory Commission Chairman Liu said:"during the12th Five-Year" banking should accelerate the second edition of the New Basel Capital Accord and the third edition of the simultaneous implementation and guide the banking sector to accelerate the transformation of development mode, improving the quality of development, so that China’s banking sector in the end of the "12" is more safe and sound, and more competitive. According to the Notice of China Banking Regulatory Commission remediation banking financial institutions to standardize their operations (Yin Jian Fa [2012]3) the requirement, the banking financial institutions should strictly adhere to the credit management provisions and business processes managed in accordance with national interest rates provisions of the loan pricing. Loan pricing should fully reflect the cost of capital, risk and administrative costs, not general lending rates to go up to the ceiling. The same time, loan pricing is also a large and complex systems engineering, but also the overall performance of the commercial bank risk management, influenced by many factors. Therefore, the possibility of establishing a reasonable, competitive loan pricing model is the main problem for China’s commercial banks to achieve sustainable development. China’s commercial banks should first fully understand the spirit of the Basel III core, a scientific reference for advanced risk management content in the agreement, establish and improve the risk rating system with Chinese characteristics, and loan pricing mechanism, thereby enhancing the overall competitiveness of China’s commercial banks. Basel Ⅲ, the implementation of the pricing of commercial loans and it is how to reflect in-depth study and used in the loan pricing process, combined with the actual situation of China’s commercial banks to adapt to the loan pricing model of RAROC pricing model, but also a bit of views.First, introduce the research background and significance of Summary of Basel Ⅲ, the developments in the field of loan pricing and loan pricing under the Basel Ⅱ framework, progress, and this paper’s research framework, the use of research methods and the research and innovation.Basel Ⅲ as a benchmark of the global financial risk management in the field of documents, its framework and content fully understand it is crucial to China’s commercial banks loan pricing also has important guiding significance. So, the second chapter will introduce the basic framework and main contents of the Basel Ⅲ, a comparative analysis of the Basel Ⅲ of the Basel Ⅱ part of the difference between a brief analysis of the Basel Ⅲ China’s banking industry and suggestions, and then Basel Ⅲ, the impact on the pricing of commercial loans. Basel Ⅲ to strengthen capital requirements, to re-define the types of various types of capital, the more detailed the scope of the capital, greatly improve the risk sensitivity of capital. Under Basel Ⅲ, banks need capital allocation and the corresponding risk rate of return to consider the configuration of the capital, in return for right to bear higher risk loans than to assume a lower risk loans, the requirements should be higher. This article: Basel Ⅲ framework, the loan pricing model needs to give full consideration to the debt default risk probability calculation to quantify the risk of credit loans contain differentiated pricing.Then, the third chapter the theoretical basis of the pricing of commercial bank loans, introduced several more popular foreign loan pricing model and pricing model dynamic Basel Ⅲ, combined with appropriate amendments to the above pricing models. Chapter4will be combined with the status quo of China’s commercial bank loan pricing, and there’s little problems, and proposed the idea of loan pricing under the Basel Ⅲ framework for China’s national conditions-of RAROC pricing model, and with foreign and domestic loan pricing methods In comparison, the feasibility and superiority of the RAROC pricing model in China.Then the fourth chapter is the focus of this article, the first of RAROC pricing theories and models to quantify the decomposition, on the basis of introducing the capital cost, customer integrated contribution and risk compensation factor. Then, combining with the examples given method, modified RAROC model, the results are analyzed and compared, finally in the fifth chapter proposes the conclusion and suggestion.The innovation of this paper lies in:first, combined with the Basel Ⅲ and the realistic national conditions of our country, put forward to fit our country RAROC pricing model updating ideas; second, capital cost, comprehensive customer contribution degree and risk compensation factor join the RAROC pricing model amended; third, the modified RAROC model is applied to a single loan pricing and results analysis. |
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