QQ客服 官方微博 反馈留言

	基于亚式期权模型的贷款定价研究——来自中国的经验事实与理论模型
	毛捷 ; 张学勇 ; MAO Jie ; JIN Xuejun
	2010-06-07 ; 2010-06-07
关键词	贷款定价决策 内生违约 市场有效性 亚式期权定价模型 decision of loan pricing endogenous default market efficiency the Asian Option Pricing Model F832.4 F224
其他题名	Analysis of Loan Pricing Based on the Asian Option Pricing Model:Empirical Facts and A New Model from China
中文摘要	在利率市场化改革的背景下,我国金融机构获得了越来越充分的贷款定价自主权,随之而来的问题是金融机构的贷款定价决策缺乏科学依据、随意性大,而贷款定价已有研究的基本假设与我国实情存在一定差异,因此突破研究范式建立适合国内金融市场的贷款定价模型显得十分必要。本文根据我国金融机构贷款定价决策的经验事实,建立了一个基于亚式期权定价方法的内生违约贷款定价模型。考虑现阶段我国金融市场的有效性,建议我国金融机构未来的贷款定价决策体系应加入债务企业在贷款有效期内的一贯表现等指标。; Along with the market-based interest rate reform,China's financial institutions have more and more independent right of loan pricing.However,a new problem following the reform is rashness in decision of loan pricing.With regard to the gap between basic assumptions of the literature and real conditions of Chinese credit markets,it is necessary to overcome constraint from the old research paradigm and set up a new model of loan pricing for China's financial market.Therefore,based on empirical facts about domestic financial institutions' decisions of loan pricing,the authors design a theoretical model of loan pricing based on the Asian Option pricing model and provide some numerical calculations.Finally,the authors suggest that the future loan pricing system of Chinese financial institutions should take into account some indexes like average performance of debtors within loan maturity.
语种	中文 ; 中文
内容类型	期刊论文
源URL	[http://hdl.handle.net/123456789/39224]
专题	清华大学
推荐引用方式 GB/T 7714	毛捷,张学勇,MAO Jie,等. 基于亚式期权模型的贷款定价研究——来自中国的经验事实与理论模型[J],2010, 2010.
APA	毛捷,张学勇,MAO Jie,&JIN Xuejun.(2010).基于亚式期权模型的贷款定价研究——来自中国的经验事实与理论模型..
MLA	毛捷,et al."基于亚式期权模型的贷款定价研究——来自中国的经验事实与理论模型".(2010).

个性服务

查看访问统计

相关权益政策

暂无数据

收藏/分享

除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。