基于简化模型的循环贷款定价理论框架

An academic framework of pricing a revolver loan based on reduced form models

在分析循环贷款和简化模型主要特征的基础上,提出了应用简化模型解决循环贷款定价问题的建模思想.通过在鞅测度下计算贷款收入和成本支出的现金流,建立了盈亏平衡条件下定价模型的框架,推导出了循环贷款的定价公式,解释了模型在不同假设下的经济含义.得出了盈亏平衡条件下的循环贷款利率仅取决于贷款客户的信用等级和贷款期限,而与授信额度和实际使用额度情况无关的结论,且应用模型可以在贷款期限内的任何时点计算出盈亏平衡利率.这个结论具有理论意义和实用价值.最后,举例说明该模型的应用.

Based on analyzing the main characters of the revolver loan and reduced form models, the modeling idea about pricing the revolver loan is presented by applying reduced form model. Through calculating the income and cost flows under the martingale measures, the framework of a ＂break-even＂ pricing model is established, the mathematic formula of pricing a revolver loan is deduced, and the economic explanations of the model under various assumptions are given. The conclusion conditioned on ＂break-even＂ point is that the interest rate of a revolver loan is not related to the maximum authorized amount and the drawdown amount at that time, but only rests with credit rank and loan term of a borrower, and by applying the model the ＂break-even＂ interest rate at any time within the term can be calculated. This conclusion has theoretical significance and practical value. Finally, a simple example is validated through the model.