可回售贷款转让权力的定价研究

Research on Transferring Right of Putable Loan

本文以浮动利率贷款和固定利率贷款为例研究了国内第一个贷款转让权力的定价问题；给出了考虑到回售条款的贷款转让权力的一般性定价方法；利用上海证券交易所交易的４ 周国债回购利率对Ｖａｓｉｃｅｋ 方程进行显著性实证检验，并计算得到了方程中的有关参数ｋ，ｒ和σｒ 的估计值；以剩余期限为４年期的贷款为例，对各种转让方案下的转让价格进行了定价分析。

This paper studies the pricing of the first loan transferring right in China with the example of the transferring between floating rate loan and fixed rate loan. This paper gives the general pricing methodology of loan transferring right with putable provisions. This paper empirically examines the Vasicek model using the four week repurchase rate traded in Shanghai Securities Exchange and obtains the parameter estimation values of k, and σ r. This paper numericaly calculates the transferring price of loan under some kinds of transferring plans with the left lifetime of four years.