中小企业信用担保的动态定价研究

Dynamic Pricing of SME Credit Guarantee

在信用担保动态定价的理论研究中,Credit Metrics模型是较为常用的一种,模型的关键是信用等级矩阵的调整和预测。而国内的理论研究中所用的信用等级转移矩阵则来自于国外的标普、惠誉或者穆迪的数据,从而对国内的实际运用缺乏借鉴意义。该研究首次利用国内的大公国际信用等级转移矩阵作为Credit Metrics模型的研究对象,利用半马尔科夫过程对信用等级转移矩阵进行调整和预测,从而优化了Credit Metrics模型,令动态信用担保定价模型更加具有实用性,对该模型在国内的实际运用有一定的借鉴意义。

In the theoretical study of the dynamic pricing of credit guarantees,Credit Metrics model is more commonly used.The key to the model is to adjust and predict the credit rating of the matrix.The credit rating transition matrix used in the country theory comes from abroad,S ＆ P,Fitch or Moody＇s data,thus lack of reference for the practical application of domestic.This paper first use of domestic Dagong Global Credit Rating Transition Matrix as the study object,use of semi-Markov process to adjust and predict credit rating transition matrix,thus optimizing the Credit Metrics model,so that dynamic pricing model of credit guarantee is more practical,while there are certain significance for the practical application of domestic.