Dissertation
Dissertation > Economic > Fiscal, monetary > Finance, banking > Finance, banking theory > Credit

The Research on Loan Pricing Model Based on Optimal Efficiency

Author SuiCong
Tutor ChiGuoTai
School Dalian University of Technology
Course Management Science and Engineering
Keywords Loan Pricing Optimal Efficiency Data Envelopment Analysis Stochastic Frontier Analysis Future Efficiency
CLC F830.5
Type PhD thesis
Year 2010
Downloads 650
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The loan pricing is one of the core making-decisions of the commercial banks. Whether the loan pricing is rational or not will directly influence the survival and development of commercial banks. Researching the loan pricing is a certain request of internal marketization reform of interest rates. If the loan pricing is too high, it’ll bring about the good-quality clients’lose and the withering market; if the loan pricing is too low, its earning can’t make up loan cost and client default loss, which results in the deficit of banks. The rational loan pricing will make loans safe, benefit able and flexible, which will efficiently overlay the risk and be competitive.This dissertation includes six chapters. The first one analyzes the topic basis, the relative research development, methods, content and so on. The second one expounds the loan pricing model based on DEA optimal efficiency. The third one deals with the loan pricing model based on SFA optimal efficiency. The fourth one discusses the loan pricing model based on future DEA efficiency. The fifth one establishes the loan pricing model based on future SFA efficiency.The last one is conclusion and prospect.The main content of dissertation is as follows:(1) Establishing the loan pricing model based on DEA optimal efficiencyThe loan rates are inversely solved with the DEA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The DEA efficiency is fixed by applying DEA methods in the existing research inversely with the data of input/output indexes. When the DEA optimal efficiency z=1, the new loan rate of output indexes is solved inversely on the basis of known input indexes, which confirms the optimal loan pricing rate. Furthermore, the loan pricing can be accepted by clients based on its overlaying financial cost and risk and bring the maximum benefit for banks. Through DEA dichotomy and DEA same solution programming, the new loan rate of output indexes is fixed when the optimal efficiency z=1, which solves the problem that the loan rate is fixed under the circumstance of optimal efficiency, when the DEA efficiency index z=1. (2) Establishing the loan pricing model of SFA optimal efficiencyThe loan rates are solved with the SFA optimal efficiency of loan pricing, which confirms that the loan pricing can counteract, make up the loan risk loss, be accepted by clients and the banks can get the maximum benefit. It provides the new loan pricing thoughts. The formula of loan pricing based on stochastic production function is established by using parameter estimates of stochastic production function of loan pricing. The loan rate of output indexes is fixed based on the maximum SFA efficiency of old loan and known input indexes, which ensures the optimal loan pricing efficiency, which ensures that the loan pricing can overlay financial cost and risk and bring the maximum benefit for banks, that is, the loan pricing is optimal. The new loan rate of output indexes is fixed with the formula of loan pricing based on stochastic production function under the circumstance of the maximum SFA efficiency of old loan, which solves the problem that the loan rate is fixed when the SFA efficiency is optimal.(3) Establishing the loan pricing model based on future DEA efficiencyThe maximum DEA efficiency-to-be is obtained under the use of the interaction of the future Malmquist index and past DEA efficiency when the future Malmquist index is predicted with the past Malmquist index. The DEA efficiency is fixed with the input/output indexes by inversely applying the DEA methods in the existing research. One of the output index loan rates is inversely solved based on the unknown DEA efficiency and some input/output indexes, which ensure the maximum efficiency of banks and makes up the loss of loan risk and makes the clients accept it under the present condition. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum DEA efficiency of loan period.(4) Establishing the loan pricing model based on future SFA efficiencyThis dissertation deduces the maximum SFA efficiency-to-be through the past technical inefficiency effects in stochastic production function. The acceptability of clients on the intending loan rate is reflected with the maximum SFA efficiency-to-be. The formula of loan pricing is establishing by using the parameter estimates of stochastic production function of loan pricing. So this contributes to solve the problem that the interest rate of loan period corresponds to the maximum SFA efficiency of loan period.

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