基于障碍期权的可提前终止贷款担保价值研究

The Value of Early Termination Loan Guarantee Based on the Barrier Option Theory

基于担保实践中贷款担保合约可提前终止的特性,本文建立了基于障碍期权的贷款担保价值模型,测算了担保价值并分析了障碍值、债务方资产初值、资产波动率、债务面值、无风险利率及担保期限对担保价值的影响及敏感性。指出障碍值超过某阀值时,担保机构的风险才会有效降低;揭示控制担保额度和债务方资产的波动率比控制债务方资产初值和担保期限更有效,为担保实践提供了参考依据。

Based on the characteristics of loan guarantee in the practice,we establish the loan guarantee model based on the barrier option. The model calculates the loan guarantee value and gives out the influence factors of the value including the barrier value,the initial value and volatility of guaranteed corporate assets,the guaranteed debt,the risk free interest rate and the maturity. We conclude that the risk of the guaranteed institution can be effectively mitigated when the barrier exceeds a critical point. From the perspective of risk management,the control of the face value of the guaranteed debt or the volatility of corporate assets is more efficient than the control of the initial asset value of the client firm or the maturity of the debt.