摘要
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.
出处
《系统工程理论方法应用》
1999年第3期1-8,共8页
Systems Engineering Theory·Methodology·Applications
基金
国家自然科学基金!"九五"重大项目"金融数字
金融工程和金融管理(项目编号:79790130)"
上海市"曙光计划"资助