信用担保两阶段定价方法探析与模型构建

Analysis and Modeling Two-stage Pricing Method of Credit Guarantee

随着金融市场的日渐完善,信用担保的使用日趋频繁。目前对担保的定价是在单阶段清偿的前提下,采用经验定价和单阶段期权定价两种方法。注意到在担保中存在很多展期的情况。据此,本文通过期权定价与VaR两种方法构造了两阶段担保定价模型。

With the maturity of financial market, the use of credit guarantee is getting more frequent. Currently, credit guarantee is priced experientially or by single-stage option pricing method assuming that one-stage payment. On basis of complete analysis, this paper presents the two-stage pricing model of credit guarantee by adopting option pricing method and VaR theory.