Research On Loan Pricing Of China Commercial Bank Based On Dynamic KMV Model

With China's liberalization of lending interest rate control,China's commercial banks entered by referring to the people's Bank China benchmark interest rate pricing to the pricing stage,which means that commercial banks,commercial banks can have the opportunity to be more flexible operating mechanism,but from another point of view,this is also a challenge.In the fierce market competition,it is necessary for the commercial banks to establish their own credit management system to improve the ability of independent pricing.Therefore,most of commercial banks in China build different pricing models to determine the level of interest rates according to the different borrower's credit status,the risk of loans,the establishment of the borrower database.There are many factors affecting the quality of loan,but the credit risk is the most direct factor.This paper takes the credit risk as the breakthrough point to study the loan pricing problem.In the credit risk measurement,KMV model is the most widely used measurement model.Based on the original KMV model,the required parameters were improved in this paper by dynamic default distance of positive and negative test by Matlab software,and the optimal long-term liabilities coefficient is found.This paper found the mean difference is maximum when the coefficient of long-term liabilities is0.3 by comparing the mean distance between ST companies and non ST companies.So 0.3 is the best selection of long-term liabilities coefficient,then we can calculate the expected default rate.Through testing the model measurement results,we find that the credit risk measured by the dynamic KMV model can reflect the actual credit situation of the enterprises in our country.Finally,through case analysis,we found the corresponding loan pricing of ST companies is higher than that of non ST companies.This can prove that lending rates based on RAROC pricing model can differentiate different enterprises based on credit loan.This can be an important guiding in the actual operation of commercial bank loan pricing.In this paper,the pricing method of RAROC is modified,and the adjustment of the model is based on the operational risk and the return rate of economic capital.The paper compares and analyzes the loan pricing before and after the two amendment of the model,and verifies the validity of the model revision.