“银企担”视角下的贷款担保定价模型设计

Construction of Financing Guarantee Pricing Model Under a "Bank-SME-Guarantee" Perspective

为促进融资性担保公司的科学定价,以B-S期权定价原理为基础,通过贷款担保业务开展过程中银行、借款企业、融资性担保公司三方均衡分析,构建贷款担保风险定价模型.发现担保费率受担保放大倍数的负向影响,受融资性担保机构业务成本率、企业借款初期资产负债率、银保分担比例、借款企业价值波动率的正向影响,应用蒙特卡洛模拟进行担保费率对各影响因素的敏感性分析,可为管理部门制定合理的担保定价区间提供可选工具,有助于融资性担保机构进行定价决策和在特定价格规范下的经营管理调整.

Based on Black-Scholes option pricing theory and taking the equilibrium status required by banks, borrowers and financing guarantee companies into consideration, a pricing model was established to help financing guarantee companies decide guarantee fee efficiently. This model explained the effects that the risk sharing ratio, the magnification, and other factors might exert on financing guarantee fee. The Monte Carlo simulation was used to find out the sensitivity of guarantee fee towards related factors. The model can help the government in designing an appropriate statutory region of guarantee fee. It is an available tool for financing guarantee companies to make optimal pricing decision and better suiting themselves under existing pricing regulation.