| In recent years,due to the rapid development of China’s economy,the total annual loans of various commercial banks also continued to increase,and the loans of enterprises(Institutions)increased by 19.95 trillion yuan in 2021.In order to reduce the bad debt rate of commercial banks,ensure the benign development of commercial banks and protect the interests of commercial banks,bank risk management is particularly important.Since 1996,international scholars have been actively committed to the study of bank risk management.In2008,the subprime mortgage crisis began to break out in the United States.The research on bank risk management has attracted extensive attention of foreign scholars,and the research results emerge one after another.Risk adjusted returns on capital(RAROC)model has become the most popular method in bank risk management research because it can not only reveal the profitability of commercial banks,but also reflect various risk levels undertaken by commercial banks.Chinese scholars also followed closely and gradually improved the domestic financial market.For a long time,China’s commercial banks have paid more attention to the management of assets and liabilities and ignored the management and control of risks,and lagged behind in dealing with business development and risk management.At this time,it is urgent to explore the popularization and application of RAROC method in commercial bank analysis in detail.This paper compares the advantages and disadvantages of credit rating method,KMV model method and logistic regression method,which are generally accepted by international commercial banks,and finds that the logistic regression method has high accuracy and strong applicability.Therefore,we use the method of logistic regression to calculate the default rate and build RAROC model on this basis.Firstly,select 300 listed companies as the research object,collect the sample data of 12 financial ratios,calculate the default rate,calculate the RAROC value according to the sample data of 32 loans,and compare the RAROC value with the default rate.It is found that there is a negative correlation between them.By adjusting the model,the new interest rate is calculated,and compared with the default rate,it is found that they are highly coincident and have a positive correlation.Through the analysis of the calculation results,it is found that the model does not fit the actual application scenario.Therefore,finally,we propose to modify the RAROC model,supplement the independent variables of the RAROC model,introduce the operational risk into the model,define the customer relationship degree for the first time,and introduce its assignment into the model.At the same time,the cost calculation in the model is extended,including customer maintenance cost,internal transfer cost of the bank and personnel cost of bank operation.Finally,the supplemented model is obtained.Through the empirical analysis of the default rate of 300 listed companies,we find that RAROC model can well measure and predict the risk of a bank loan or loan portfolio,but some standards have not been unified in the application process.In addition,due to a series of problems in the application of RAROC method to Chinese commercial banks,we put forward modification opinions on RAROC method to improve the feasibility of using this method in China,analyze the shortcomings of RAROC method localization,put forward effective modifications to this method,and improve the feasibility of using this method in China and the stability of testing method.According to the empirical analysis results,we put forward the following suggestions: 1.China’s commercial banks select RAROC model as the method of loan interest rate pricing,and improve and modify RAROC model according to the actual situation.2.It is suggested that relevant national institutions,associations and special teams should establish their own risk database and calculation information system according to the actual situation of domestic finance. |
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