提前违约的贷款及其贷款保险定价研究  

Loans defaulting prematurely and the pricing of loan insurance

作　　者：张耀杰 史本山[2] 魏宇 金大祥 ZHANG Yaojie;SHI Benshan;WEI Yu;JIN Daxiang(School of Economics and Management,Nanjing University of Science and Technology,Nanjing 210094,China;School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China;School of Finance,Yunnan University of Finance and Economics,Kunming 650221,China)

机构地区：[1]南京理工大学经济管理学院,南京210094 [2]西南交通大学经济管理学院,成都610031 [3]云南财经大学金融学院,昆明650221

出　　处：《系统工程理论与实践》2019年第10期2502-2511,共10页Systems Engineering-Theory & Practice

基　　金：国家自然科学基金(71371157,71671145);“服务科学与创新”四川省重点实验室项目(KL1704);西南交通大学博士研究生创新基金(D-CX201724)~~

摘　　要：现有的相关学术研究都忽略了现实中贷款提前违约对贷款违约损失的影响.本文的主要目的和贡献就是将提前违约引入到了贷款保险定价模型中,修正了只考虑到期违约所导致的贷款保险定价误差.本文以期权定价理论为基础,通过蒙特卡罗模拟技术得到了提前违约贷款保险定价的数值解.算例和实证结果表明:1)当违约风险较高时,提前违约的贷款保险定价模型可以修正仅考虑到期违约的贷款保险定价高估问题;2)提前违约的贷款保险定价与企业的违约点呈现出倒U型的非线性关系;3)蒙特卡罗模拟的时间间隔会影响提前违约的贷款保险定价水平,这反映了信息不对称问题对贷款保险定价的影响.The existing academic studies always ignored the impact of premature loan default on loan default loss.The main purpose and contribution of this paper is to introduce premature default into the loan insurance pricing model,which corrects the loan insurance pricing error of only considering mature default.Based on the theory of option pricing,this paper obtains the numerical solution of the loan insurance premium of premature default through Monte Carlo simulation.The case studies and empirical results show three findings.First,when the default risk is relatively high,the loan insurance pricing model of premature default can correct the overestimate issue of the loan insurance pricing model of mature default.Second,the relationship between the loan insurance premiums of premature default and corporate default points is non-linear and inverted U-shaped.Third,the time interval of Monte Carlo simulation will affect the loan insurance pricing level of premature default,which implies the impact of information asymmetry on loan insurance pricing.

关 键 词：贷款保险 提前违约 违约点 蒙特卡罗模拟 

分 类 号：F830[经济管理—金融学] F840