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Research on Risk Pricing of Credit Guarantee Based on Debt Discharge Structure

Author: XueShengZhao
Tutor: GuanXiaoYong
School: Zhejiang University of Finance
Course: Finance
Keywords: Small and medium-sized enterprises(SME) credit guarantee debt discharge structure options pricing model the rate of credit guarantee fee
CLC: F275;F224
Type: Master's thesis
Year: 2012
Downloads: 53
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Abstract


Facts has shown that credit guarantee is an effective mean to solve small and medium-sized enterprises financing difficulties which connects SME and financial institutions.However,in the course of doing business,China’s SME credit guarantee institutions experienced some problems,such as risks and benefits are unequal,rights and obligations do not match and so on.The price method according to experiences can not measure the risk of secured loans effectively thus affect the sustainable development of credit guarantee institutions.So the study on credit guarantee risk-sharing and pricing is of great significance to the healthy development of China’s SME credit guarantee industry.This is why I choose this theme as my master’s research topic.After analyzing the research status of the study of credit guarantee risk pricing at home and abroad,the paper makes research on credit guarantee risk by theoretic and empirical methods.Firstly,It derives to the Blake-Scholes option pricing model from emphasizing on finance,and obtains the model pricing character,on which it offers the futures pricing formula.On that basis,the paper illuminates the isomorphic relation between the option and SME credit guarantee institutions from the perspective of the option,and it presents a credit guarantee risk pricing model and method based on option pricing method which provides fundamental base for the further research.Secondly,the paper,taking the option pricing model as a basic frame and togethering with debt discharge sequence in reality,presents a credit guarantee risk pricing model based on debt discharge structure.Meanwhile,it also testified the rationality and scientificity of the model through demonstration research.In particular,the paper consists of six chapter:Chapter 1 is the introduction,arrange to explain research background and meaning,situation and structure mainly;Chapter 2 firstly analyzes research situation of credit guarantee risk pricing,then comes out with the definition of SME credit guarantee risk,and discusses in depth the characteristics,source and classification of SME credit guarantee risk;Chapter 3 firstly analyzing the options theory of the basic principles and value features deeply,and then based on mid-risk viewpoint,it derives to the Blake-Scholes options pricing model;In the framework of the B-S model,chapter 4 constructs a credit guarantee risk pricing model based on debt discharge structure by modifying the hypothesis of the single debt;Chapter 5 testified the rationality and scientificity of the risk pricing model through demonstration research;Chapter 6 discusses these results,and points out the prospect and application,the advantage and weakness of this study.The main contributions of the paper makes up of two parts:(1) Based on credit guarantee risk pricing model,the paper modifies the hypothesis of the single debt and constructs a more practical credit guarantee risk pricing model.(2) By making studies on the case of“ZHEJIANG JINGGONG SCIENCE & TECHNOLOGY CO.,LTD.”,the rationality of the proposed model is verified,and it also offers a new thinking method to measure the risk of credit guarantee project and calculate credit guarantee rate in theory.

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CLC: > Economic > Economic planning and management > Economic calculation, economic and mathematical methods > Economic and mathematical methods
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