A RAROC-Based Approach to Loan Insurance Pricing

Abstract

Abstract:

Allocating economic capital and setting RAROC targets to business, is the direction of risk management of the commercial banks and insurers. Based on the RAROC, this thesis creates a pricing model which can measure the price range and basic price for loan insurance reasonably. This model can make up for the inadequacy of relevant models and will be more feasible in practice, so it can be used to develop the transfer pricing theory of credit risk. The study also proposes that RAROC should become one of the important indicators in formulating the loan insurance price or the transfer price of credit risk.

Key words: credit risk, loan insurance pricing, RAROC, unexpected loss, economic capital

Hu Bin, Hu Yanping. A RAROC-Based Approach to Loan Insurance Pricing[J]. , 2017, 29(1): 42-52.

References

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