Portfolio default risk is the key for loan portfolio pricing.Multi-bank loan pool is a special type of asset portfolio.According to its characteristics of Risk-Return tradeoff,factors influencing the portfolio default behavior can be separated into three parts:(1)systematic risk factor;(2)multi-bank risk factor;(3)loan' s heterogeneous risk factor.This paper constructs a multi-factor model to grasp the portfolio default risk and the dependence of the loan pool.Under the conditional independence ...