摘要
依据《破产法》(2007)对清偿顺序的规定,将担保分为拥有优先清偿权的债务担保和普通债务担保,并推导出展期下的两类担保定价公式;采用数值积分求得近似解,并运用二叉树及蒙特卡洛模拟等方法对解的准确性进行检验;对资产负债比、波动率等重要因子相继进行静态、比较静态以及动态分析,并结合实际数据给出了相应的结论。
According to the provisions of the liquidation order in ＂Law of the People＇s Republic of Chi-na on Enterprise Bankruptcy （2007）＂, The guarantees are divided into the ones owned priorities of re-payment and the general debt guarantee, and two types of guarantee pricing formula from the two-stage debt are derived in this paper. Then the approximate solution by numerical integration method are ob- tained, and the methods of CRR and Monte Carlo simulation are applied to test the accuracy of solution, and the premium factors are analyzed on static analysis, comparative static analysis and dynamic analysis. Finally, the applicability of the model is verified with actual sur- vey data and a comprehensive review of the model is made in this model.
出处
《金融理论与实践》
CSSCI
北大核心
2012年第9期43-47,共5页
Financial Theory and Practice
关键词
担保定价
清偿顺序
债务展期
guarantee pricing
the order of settlement
debt delay
