Corporate Loan Pricing with RAROC Application

• Main Authors: Shih-Yi Tsai, 蔡世益
• Other Authors: Yu-Chen Tu
• Format: Others
• Language: zh-TW
• Published: 2007
• Online Access: http://ndltd.ncl.edu.tw/handle/kpu4ed

碩士 === 銘傳大學 === 財務金融學系碩士在職專班 === 95 === Abstract This paper focuses on whether the financial ratios of Total Debt /EBITDA, EBITDA /Total Asset and the ratio of increase rate of receivable or inventory to increase rate of sale are the important predictors of corporate financial distress model or not? Whether the prediction power of corporate financial distress model by industry sectors is superior to the model by the whole industry or not? Whether the bank corporate loan pricing with RAROC is rational or not? Finally using the out-sample data,this paper measures the performance of precision through all models. The empirical results show: (1) the EBITDA/ Total Asset ratio is the most significant factor of the models; (2) the precision of the three financial distress models are: the whole industry 81.3%, non-electronic industry 81.4%, and electronic industry 89.1%. Obviously, the electronic model is the most precise model,and it is necessary to build financial distress model categorized by industry sectors;(3) the bank corporate loan pricing is abnormal because the RAROC rates are all negative value . Besides the mistakes of estimating expected loss and the high competitions in banking market, the limitation of fund usage is the main reason of bank corporate loan pricing distortion. Now, FSC is promoting risk-based pricing, to turn back the incorrect loan pricing policy of the bank. The bank should reconsider the risk cost of funding, and expand the fund usage beyond loans.The improper price competition could therefore be avoided.