中小企业担保贷款的违约风险中性定价与担保费率厘定

基于风险中性原理,研究银行的贷款定价模型和担保机构的费率厘定方法,最终给出贷款利率与担保费率简单实用的表达式。基于风性中性的违约风险定价模型与担保费率厘定具有科学的理论依据,能够避免结构化模型的复杂性与高成本,排除简化模型中回收率设定不合理所带来的定价偏差。本文的研究为担保贷款利率的确定与担保费率的厘定提供了实务上的参考,有助于银行和担保机构动态调整利率和费率,节约管理成本。

Based on risk neutral pricing principle, we study the risk pricing model and guaranty fee valuation approach of SME guarantee loan. For loan interest rate and guarantee fee rate, we respectivdy give a simple and practical expression. Default risk neutral pricing model and guaranty fee valuation approach have a scientific theory basis, which could avoid the complexity and high cost of structured model and the pricing deviation of simplified model caused by unreasonable recovery set as welh The theory and method in this paper can provide the reference on the practices to determine loan interest rate and guarantee fee rate, and help banks and guarantee agencies to dynamically adjust interest rate and fee rate, thus saving management costs.