用期权定价原理分析抵押贷款的信用风险

On the Credit Risk of Collateral Loans by Option Pricing Theory

本文应用期权定价理论,通过抵押品的市场价值变化信息给出了抵押品所具有抵偿贷款信用风险的抵押率及其与贷款利率之间的关系。采用迭代方法给出了选定信用差水平下的平价抵押率。通过1997-2001年上海和深圳证券交易所的A股交易数据对本文提出的平价抵押率模型进行实证;验证了不同贷款利率下,平价抵押率不仅能够补偿抵押贷款的违约损失,还含有风险回报的成分。

by using options pricing theory, this paper presents the par mortgage - rate of the given compensation for the default loss of loans and the relationship between the credit spread and mortgage - rate through the information of market value variation of collateral. A recursive method has been proposed to calculate the pair mortgage - rate. An empirical study has been implemented to the stock pledge loan for A - share of The Shanghai Stock Exchange and Shenzhen Stocks Exchange from 1997 - 2001. Under the credit spreads range from 0.01 - 5.0% , the par mortgage - rate given compensation for the selected credit loss and a part of risk premium.