貸款保證組合之研究

The Analysis of Loan Guarantee Portfolio

張傳章(Chuang-Chang Chang) ； 巫昆忠(Kung-Chung Wu) ； 林忠機(Chung-Gee Lin)

《中國財務學刊》 8卷1期 (2000/04) Pp. 67-100

https://doi.org/10.6545/JoFS.2000.8(1).3

摘要

文獻上有關貸款保證之研究，皆建構在一家保證公司承保一家借款公司的架構之下，本研究則以選擇權訂價法，首先建構利率確定情況下一家保證公司承保二家以上借款公司的模型，並進一步探討保證公司及各借款公司間各變數變動，對保證價值及保證公司違約機率的影響。再則，我們亦將模型擴展至隨機利率情況下，探討利率相關參數如何影響保證價值與違約機率。

關鍵字

貸款保證 ； 選擇權訂價法 ； 違約機率 ； 隨機利率

並列摘要

Most papers study loan guarantees based on the one-borrower and one-guarantee framework. In this study, firstly, we use option approach to construct a model, in which loan guarantees are analyzed under constant interest rate and multiple-borrowers and one-guarantee frameworks. We carry out simulations to investigate how the important parameters of borrowers and guarantee affect the values and default probability of guarantee contracts. Further, we also extend the above frameworks to the case of stochastic interest rates. We analyze how the stochastic interest rate components affect the values and default probability of guarantee contracts.

並列關鍵字

loan guarantee ； option approach ； default probability ； stochastic interest rate

參考文獻

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