基于相对VaR的信用担保两期定价模型

A Two-stage Model for Credit Guarantee Pricing Based on Relative VaR Method

基于风险价值(VaR)计量模型的信用担保定价方法包括绝对VaR和相对VaR两种方法。对于贷款期限一年以上的风险衡量,相对VaR比绝对VaR更加准确和接近现实。针对现有研究中基于绝对VaR的只考虑原债务期的信用担保风险计量模型的缺陷,本文采用相对VaR方法,建立了既考虑企业对银行的原债务期风险,又考虑企业对担保机构的债务展期风险的信用担保两期定价模型,从而使基于VaR模型的信用担保定价方法更加科学合理。

The VaR model-based credit guarantee pricing method includes the absolute VaR method and the relative VaR method. Compared with the absolute VaR method, using the relative VaR method to measure the risk of loans more than one year is more accurate and closer to reality. Because the existing absolute VaR method has a defect of only considering the original debt risk, this paper uses the relative VaR method and presents a two-stage pricing model of credit guarantee which considers both the original debt risk and the extended debt risk. It makes the VaR model-based credit guarantee pricing method more scientific and reasonable.