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Indexed by:会议论文
Date of Publication:2017-01-01
Included Journals:CPCI-SSH
Page Number:377-382
Key Words:loan pricing; new loans; loan portfolio; risk of default; combinatorial optimization
Abstract:The existing loan pricing models use the methods of cost plus, customer relations and so on to determine what the interest rate for the loans is, without considering the deficiency in determining the interest rate of the new loans based on default risk control of the issued loans and the new loans. Through establishing the portfolio value at risk VaR constraint for the issued loans, we establish a single new loan pricing model based on the default risk control of all the loan portfolio. The model's goal is the minimum of the total loan portfolio loss given default under the risk of loan portfolio VaR constraint. The innovations and features of this model include three aspects. Firstly, it puts forward a new way on a loan pricing that we should consider the default risk control both of the issued and the new loans, which changes the existing research problem only for a new loan pricing and opens up a new train of thought of loan pricing. Secondly, through the loss given default data of the issued loans and a new loan, we establish a portfolio of covariance matrix, which is combined with the principal and interest of loan portfolio of accounts receivable, to solve the variances of the loan portfolio loss of default, to measure the risk of default of the loan portfolio, and to improve the existing research shortage of not calculating the loan portfolio risk of default on the premise of not knowing the loan interest rates. Thirdly, through the loan portfolio risk value of VaR constraint, the risks correlation between the issued loans and the new loans is considered, the loan portfolio risk of default is controlled, which makes the loan pricing directly reflect the commercial banks' ability to bear the risks, solves the problem in controlling all the loan portfolio overall risk of default when the new loan is added.
