信用风险、融资担保和动态保费估值

基于市场化信息和风险中性的概念,度量了有担保贷款的边际违约概率和累积违约概率,确定了贷款担保风险的精算现值,根据市场信用价差的变化给出了动态保费每期的调整幅度,并利用数值模拟进行了担保费率的比较静态分析,最后根据实际的担保数据给出了动态保费的实证检验.结果显示,实际的违约支付非常接近于动态保费的估值,证明动态保费估值模型是一个简单、可行和实用的定价模型.

Credit Risk, Loan Guarantee and Dynamic Premium Assessing

Based on the market information and the concept of risk--neutral, this paper measures the marginal probability and the cumulative probability of default of the secured loan, then assesses the the actuarial present value of the loan guarantee risk and gives the adjustment of dynamic premiums in each term in accordance with changes in market credit spreads. And then this paper gives the comparative static analysis of the guarantee fee in the method of numerical simulation, at last, this paper gives the empirical test of dynamic premium, and the results show that the actual breach of contract to pay is very close to the dynamic premium valuation, which shows that the proposed dynamic premium valuation model in this article is a simple, feasible and practical pricing model.