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Credit risk assessment based finance lease pricing

Author: ZhongHua
Tutor: ZhouZongFang
School: University of Electronic Science and Technology
Course: Quantitative Economics
Keywords: Credit risk assessment Fuzzy Clustering Credit Rating Transition Matrix Finance lease pricing JLT model
CLC: F224
Type: Master's thesis
Year: 2009
Downloads: 342
Quote: 3
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Abstract


Finance lease (Financial Leasing) is the product of the market economy develops to a certain extent, it as a form of financial matter, financing is characterized by a strong dual functions of financing and financial adaptability financing. Current practice, \Finance lease as an equally risky financing, is also facing the lessor how to determine the rent, in essence, is the problem of how to determine the risk compensation, only the credit risk assessment and the design of the finance lease rental combined, in order to be truly effective management credit risk, and improve their own competitiveness. About pricing practice basically did not reflect a measure of credit risk, and is also one of the theoretical research. Therefore, in the process of China's interest rate marketization finance lease pricing research carried out based on the credit risk assessment, has important practical significance. The logical structure of the full text of the main research content and research results are summarized below: Credit risk assessment is the premise of the finance lease pricing research. To this end, Chapter II of this article first finance lease credit risk overview, then Lessee liability for breach of contract and the lessor recover way on the basis of finance lease credit risk of default rates and LGD two elements in the analysis. Based on the conclusion of the second chapter, the paper argues that should be used to assess overall corporate credit risk in project finance lease and a class of credit risk assessment model based on fuzzy clustering, a numerical example is given in the third chapter Analysis. Chapter 4, the paper constructs a finance lease pricing model based on the credit risk rating transition matrix. Its concrete form to JLT model-based and the JLT model the state of the transfer process of the corporate rating transition probability matrix corresponding to the Markov chain, depicts the dynamic default procedures, the probability of default of its credit quality change process closely the link. Kijima method to convert the true measure of corporate default probability risk neutral measure of the probability of default, final combined cash flow in the form of finance lease pricing model. Chapter V of the specific examples of finance lease pricing model tests and analysis. Numerical example of a series of conclusions and objective actual match.

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