信用担保两阶段定价方法探析和模型构建.docVIP

信用担保两阶段定价方法探析与模型构建 　　摘要：随着金融市场的日渐完善，信用担保的使用日趋频繁。目前对担保的定价是在单阶段清偿的前提下，采用经验定价和单阶段期权定价两种方法。注意到在担保中存在很多展期的情况。据此，本文通过期权定价与VaR两种方法构造了两阶段担保定价模型。 　　关键词：信用担保；定价模型；金融市场 　　文章编号：１００３－４６２５（２００8）11－００87－０4中图分类号：Ｆ830.39文献标识码：Ａ 　　Abstract: With the maturity of financial market, the use of credit guarantee is getting more frequent. Currently, credit guarantee is priced experientially or by single-stage option pricing method assuming that one-stage payment. On basis of complete analysis, this paper presents the two -stage pricing model of credit guarantee by adopting option pricing method and VaR theory.