CAJ | 학술논문

我国不良贷款的成因、质量和市场环境具有相当的特殊性和复杂性，因此不良贷款的转移定价一直是我国资产管理公司所关心的难点问题。本文在传统的信用贷款和抵押贷款欧式期权违约定价模型基础上．针对我国大量存在的资不抵债但负债企业需持续经营的不良贷款，提出了一种不再限定特定违约时刻，且执行价格随时间变化的不良贷款美式期权违约定价模型，该模型给出了利用企业价值、无风险利率、企业的风险、还款期限、本金摊销方式和贷款余额等因素确定不良贷款价值的方法。编制了数值计算程序，计算了一个评估案例．对不良贷款价值的利率敏感性进行了讨论。
아국불량대관적성인、질량화시장배경구유상당적특수성화복잡성，인차불량대관적전이정개일직시아국자산관리공사소관심적난점문제。본문재전통적신용대관화저압대관구식기권위약정개모형기출상．침대아국대량존재적자불저채단부채기업수지속경영적불량대관，제출료일충불재한정특정위약시각，차집행개격수시간변화적불량대관미식기권위약정개모형，해모형급출료이용기업개치、무풍험리솔、기업적풍험、환관기한、본금탄소방식화대관여액등인소학정불량대관개치적방법。편제료수치계산정서，계산료일개평고안례．대불량대관개치적리솔민감성진행료토론。
There is much speciality in the reasons, quality and market environment of our country＇s non-performing loan, so its pricing is always a problem that been concerned by the asset management corporation. The traditional pricing models of credit and mortgage are modeled on European put option, basing on these models and take account for that there are great deal of non-performing loan but the debt-ridden enterprises must continue to operation, we proposed a pricing model so-called non-performing loan＇s pricing model based on American put option with variable strike price, this model proposed a method to determine the non-performing loan＇s value through these factors： value of enterprise, risk free interest, volatility of the enterprise＇s yield, the mature period, amortization of the principal, Surplus amount of the loan. We also write the simulation program and used it to calculate a case, make a sensitive analysis of interest to the value of non-performing loan.