The Pricing Model of Bank Credit Risk Based on the Put Option

被引：0
|
作者：
Liu Yanping [1 ]
Tu Rong [1 ]
Chi Guotai [1 ]
机构：
[1] Dalian Univ Technol, Sch Management, Dalian 116023, Peoples R China
来源：
ADVANCES IN MANAGEMENT OF TECHNOLOGY, PT 1 | 2008年
关键词：
credit risk; pricing of credit risk; put option;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The default of clients cause great loss to the bank assets, and accordingly bring on the varieties of the owners' equity. Therefore the quantification of credit risk is extremely significant to the commercial bank's development and management. This article uses the put option to compute the credit risk premium, and establishes the pricing model of bank credit risk based on the put option. The characteristics and innovations of this model lay on two aspects. Firstly, the functional relationships between the discount rate and the default risk are established by the formula of put option, it could reveal the effect of default rate on discount rate. The discount rate coming from put option formulas includes credit risk Premium, so the discount rate reflects credit risk. Secondly, using the put option to calculate market value of the loan could be able to reflect the future credit status of the corporation. The information of calculating data comes from the stock market, it includes the investors' judgments to the future trends of corporation credit status, so it is extremely predicted.
引用
收藏
页码：551 / 556
页数：6
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