商业研究
商業研究
상업연구
Commercial Research
2006年
1期
152~154
,共null页
信用担保 信用衍生工具 预期违约频率模型 定价
信用擔保 信用衍生工具 預期違約頻率模型 定價
신용담보 신용연생공구 예기위약빈솔모형 정개
crdit guarantee; credit derivative; expected default frequency model; pricing
随着信用担保行业的不断发展，作为高风险行业，对其担保合约的科学定价以覆盖其担保失败的损失，显得极为重要。利用信用担保合约与信用违约互换的支付函数的同构性，构建适当的信用违约互换合约及模拟信用担保公司的信用担保合约，以信用违约互换的定价方式为信用担保公司的信用担保合同进行定价，更能体现出定价模型对担保合约定价的客观性、科学性和准确性。
隨著信用擔保行業的不斷髮展，作為高風險行業，對其擔保閤約的科學定價以覆蓋其擔保失敗的損失，顯得極為重要。利用信用擔保閤約與信用違約互換的支付函數的同構性，構建適噹的信用違約互換閤約及模擬信用擔保公司的信用擔保閤約，以信用違約互換的定價方式為信用擔保公司的信用擔保閤同進行定價，更能體現齣定價模型對擔保閤約定價的客觀性、科學性和準確性。
수착신용담보행업적불단발전，작위고풍험행업，대기담보합약적과학정개이복개기담보실패적손실，현득겁위중요。이용신용담보합약여신용위약호환적지부함수적동구성，구건괄당적신용위약호환합약급모의신용담보공사적신용담보합약，이신용위약호환적정개방식위신용담보공사적신용담보합동진행정개，경능체현출정개모형대담보합약정개적객관성、과학성화준학성。
With the development of guarantee companies, it is very important to scientifically price its guaranteed business to cover the potential loss.In the paper, based on the homogeneity between guarantee contract and credit derivative, a Credy Default Swap is built to simulate guarantee contract and price the contract with the method of Credit Default Swap, which can better reflect the objectivity, rationality and precision of this model for guranteed contract pricing.
