Loan Pricing and Performance Evaluation - Using Option Pricing Model

• Main Authors: Chan , Fei Ju, 詹菲如
• Other Authors: Yun-Yung Lin
• Format: Others
• Language: zh-TW
• Published: 2004
• Online Access: http://ndltd.ncl.edu.tw/handle/83108453873190251441

碩士 === 淡江大學 === 財務金融學系 === 92 === The New Basel Accord will take effect in member countries by end 2006 after it was released in 2001. The contents of New Accord are more complicated than 1988 Capital Accord , it modifies specifically the credit risk permitting the banks to charge regulatory capital by using the modified standardized approaches and internal ratings-based ones. The greatest risk which the banks faced principally is credit risk , if the banks can establish a credit risk management system itself , this will not only conform to the internal ratings-based approaches but also provides a warning signal ex ante for banks to detect the credit risk as soon as possible and further minimize the loss . The first step of the credit risk system is to identify the default probability. Credit risk models can mainly be classified three forms：structural models、reduced-form models and statistical models. The ways they deal with the credit risk events are different. This thesis calculates the default probability by means of adopting the KMV model which is extended and modified from the Merton’s model and combines the concept of risk-adjusted return of capital (RAROC) to evaluate the performance ex post of some empirical bank loan cases. The result reveals that few bank loan performances can reach the hurdle rate but most of them can not . However , the standard deviation of equity is estimated by 3 different approaches. Each approach draws different conclusions . Therefore , which standard deviation of equity estimates the best depends on the condition .The final conclusion addresses some suggestions .