有违约风险贷款担保价值研究

Research on Valuation of Loan Guarantees with Default Risk

在发达国家政府是贷款担保的主要担保人,对贷款担保定价研究的重要假设是担保人没有违约风险。在中国,绝大多数的贷款担保人有违约风险。本文研究了担保人有违约风险情况下提供担保和相互担保的财务特征和定价,对比分析了提供担保和相互担保行为对贷款担保人和银行价值的影响。研究表明,有违约风险担保的价值随着担保人公司价值和借款额的增大而增大,随着借款公司价值的增大而减少;银行的损失随着借款额的增大而增大,随着担保人公司价值和借款人公司价值的增大而减少。银行提供贷款时允许企业相互担保等于潜在为相互担保企业提供了免费的部分担保,随着借款人风险的增大,相互担保条件下的银行或有损失急剧增大,相互担保对于银行的价值有显著的负面影响。

The government is the main loan guarantor in developed countries, and the important hypothesis by which the issue of guarantee pricing is studied is guarantors without default risk. In China, most of loan guarantors are of default risk. The paper presents the financial characteristics and pricing method of guarantees among companies, and investigates how two kinds of guarantees with defaulting risk affect the corporate value of guarantors and banks. The results are ： value of guarantee with default risk increases as the corporate value of the guarantor and loan sum increase, and decreases as the guaranteed corporate value increases; the lost of bank increases as loan sum increases, and decreases as the corporate value of the guarantor and the guaranteed increases; when banks offer loans to companies with inter-guarantees, the banks offer part-guarantees freely. As the risk of borrowers increases, the lost of banks offering inter-guarantee loans increases rapidly, so inter-guarantees havea negative effect on the corporate value of banks.