考虑借款人债务清偿结构的贷款保险定价模型——基于价差期权理论的应用  

Loan Insurance Pricing Model upon the Borrower's Liquidation Structure— Based on the Application of Spread Option Theory

作　　者：胡斌[1,2] 史本山[1] 胡艳萍[3] 

机构地区：[1]西南交通大学经济管理学院,四川成都610031 [2]四川师范大学经济与管理学院,四川成都610068 [3]西南民族大学外国语学院,四川成都610041

出　　处：《系统工程》2016年第2期45-50,共6页Systems Engineering

基　　金：国家社科基金西部项目(15XZZ011);国家社科基金青年项目(12CGL020);教育部人文社科基金资助项目(12YJA790110)

摘　　要：借款人不同的债务清偿结构会给放贷银行带来不同的信贷风险。引入熊市价差期权构造原理建立的贷款保险定价模型,能够较为准确的度量到这类风险,有助于提升贷款保险价格的合理性,弥补了同类定价模型的某些不足。通过数值分析发现:在借款人的债务结构中,清偿顺序优先或等同于贷款的债务会不同程度的威胁到贷款的正常清偿,从而加大信贷风险,贷款保险价格或信贷风险防范措施应做出相应调整。Various credit risks result from the different borrower＇s liquidation structure. Upon the thoughts of option pricing and the theory for bear spreads, the model of loan insurance pricing can measure the effects of borrower＇s debt liquidation structure on the credit risks so as to testify the reasonability of loan insurance pricing, which can make up for the lack of similar pricing model. Meanwhile, with relevant examples, in the borrower＇s debt structure, other debts whose liquidation sequence is prior or equal to the loan will threaten the loan＇s ordinary liquidation and heighten the credit risk at different levels, so the loan insurance prices or credit risk prevention measures should be adjusted accordingly

关 键 词：信贷风险 贷款保险定价 借款人 债务清偿结构 熊市价差期权 

分 类 号：F840[经济管理—保险]