商业银行公司贷款中的隐含V形期权与潜在的中国信贷风险

Inherent V-shape Option Model in the Loans of Banks and Latent Credit Risks in China

本文提出一种"V形"期权模型,并以此来刻画中国商业银行公司贷款业务中隐含的借款人套利风险。借助于该模型,本文分析了宏观环境变化威胁商业银行公司贷款质量的一种路径,探讨了商业银行现有风险量化手段的不足。结合当前的世界经济状况和中国信贷环境中的问题,本文认为中国存在由此引发金融风险的可能,并提出了规避或减轻此类风险的建议。

The V-shape option model is proposed in this paper, which was used for describing the latent debtor＇ s arbitrage risk in banks＇ corporation loan business in China. Utilizing this model, the route that macro economic environment changing could threaten the quality of banks＇ corporation loan is analyzed, and the lack of existing methods which banks are using for measuring risk is stated. Taking into account the current world economic situation and problems of loan environment in China, the author argues that the occurrence of financing risk in China is likely, and the methods of avoiding or mitigating this kind of risk are proposed accordingly.