共查询到19条相似文献,搜索用时 109 毫秒
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本文分析了中小企业能从银行获得贷款的项目风险范围,得出:提高抵押条件,可以使得风险范围扩大.当中小企业的抵押品不足时,不能从银行获得贷款的情况下,我们引入了政策性信用担保机构,分析显示了担保下企业获得担保贷款的项目风险范围,并给出了在担保机构无盈利时的担保费率公式. 相似文献
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在简约化模型框架下,考虑担保机构的违约对集合发债融资的中小企业有违约传染的影响,通过引进一个几何双曲线衰减函数,得到了集合票据的定价公式,在此基础上对担保集合票据所隐含的信用风险进行分析.结果表明:担保机构的存在能显著降低集合票据的信用利差,提高其市场发行价格;且有担保下,担保机构的违约传染风险因子越大,相应的集合票据价格就越低,违约概率越大,信用利差越高,担保价值越低. 相似文献
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基于相对VaR的信用担保两期定价模型 总被引:1,自引:0,他引:1
基于风险价值(VaR)计量模型的信用担保定价方法包括绝对VaR和相对VaR两种方法.对于贷款期限一年以上的风险衡量,相对VaR比绝对VaR更加准确和接近现实.针对现有研究中基于绝对 VaR的只考虑原债务期的信用担保风险计量模型的缺陷,本文采用相对VaR方法,建立了既考虑企业对银行的原债务期风险,又考虑企业对担保机构的债务展期风险的信用担保两期定价模型,从而使基于VaR模型的信用担保定价方法更加科学合理. 相似文献
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贸易信用融资被广泛应用于解决中小企业融资困境,而保险正成为解决贸易信用融资风险的重要手段。本文站在核心企业角度,探究贸易信用融资保险的运营策略,运用Stackelberg博弈分析方法分别建立并比较了贸易信用融资、贸易信用融资保险、资金约束无融资、资金充足四类优化模型,探究了博弈均衡下的最优运营决策,并分析了零售商初始资金、生产商风险态度等关键参数的影响。研究表明:融资不仅对供应链有利,还能同时实现生产商及零售商共赢;当生产商风险厌恶程度、保险市场竞争程度较高,零售商初始资金较低时,融资保险能够为生产商及供应链创造价值,否则生产商应当放弃投保。研究结论为工业界合理且高效开展贸易信用融资保险运营提供了策略指导和管理启示。 相似文献
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现实中担保贷款的策略违约现象证实了其偿还率并不如理论预期那样高,担保贷款风险管理遇到新瓶颈.在前人研究基础上,试图将套牢理论引入中小企业奖惩机制,构造实力不同的两家非对称中小企业担保贷款模型,利用惩戒与授信的两种手段对企业实施激励,运用演化博弈模型论述风险控制机理.研究表明在一定范围内加大担保团体成员内部惩罚或授信可以有效降低策略违约的概率,降低套牢风险. 相似文献
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《数学的实践与认识》2015,(14)
上市公司对外做贷款的信用担保或相互做信用担保在我国资本市场是很普遍的现象.在贷款到期时,可能发生违约情况.信用担保本质上是看跌期权.假设上市公司净资产价格服从分数布朗散运动,采用拟鞅定价的方法,得到了公司提供信用担保和相互担保在无违约和违约情形下的定价公式. 相似文献
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《数学的实践与认识》2013,(17)
将银行与中小企业间的动态博弈过程视为一个"模仿学习"的渐进系统,在考察银行贷款成本、中小企业还款成本及其群体特征的基础上,运用演化博弈论构建中小企业抵押贷款及互助担保贷款的演化博弈模型,对比分析两种贷款模式的演化路径及其相应条件,探讨如何缓解中小企业融资难问题.结果表明抵押贷款在现实条件下无法达到最优均衡状态,而互助担保贷款既可以增强中小企业的融资能力,又规避了银行的贷款风险,推动银行与企业动态博弈过程向最优均衡解演化,达到互利双赢. 相似文献
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A technology credit guarantee policy has been established to provide financial support to technology-based SMEs with a limited asset base. For an effective technology credit guarantee policy, risk management is essential. In this paper, we investigate a survival model that predicts start-up SMEs’ loan default probability at a given time based on technology attributes along with the economic environment and the firm’s characteristics at the time of the technology credit guarantee fund application. This, in turn, is used for the estimation of the technology fund risk along with a stress test. Our work is expected to contribute to reducing the risks associated with technology financing. 相似文献
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基于KMV模型的我国中小上市公司信用风险研究 总被引:2,自引:0,他引:2
经过提高股权价值波动率精度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力.中小上市公司违约的可能性大于我国大型企业,信用状况不容乐观,整体信用状况在近3年间表现波澜不惊,到2006年违约风险有增大趋势.通过设定两条信用预警线,来监控中小上市公司的信用危机.资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差.股份分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因。 相似文献
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Technology credit guarantee Fund (TCGF) supports many small and medium companies with high degree of growth potential in technology. Generally, the performance of technology credit guarantee has been evaluated focusing on the probability of default (PD) on the fund recipient companies. But PD itself does not reflect the amount of loss. In this paper, we suggest the way to find the expected loss using the PD, Exposure at Default and Loss Given Default for risk management of the TCGF. Unlike general credit measure, we use the competing risk model in order to estimate the PD for various types of defaults. It is expected that our study can contribute to provide the efficient credit risk management for TCGF and the lending institution. 相似文献
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Random Survival Forests Models for SME Credit Risk Measurement 总被引:2,自引:0,他引:2
This paper extends the existing literature on empirical research in the field of credit risk default for Small Medium Enterprizes
(SMEs). We propose a non-parametric approach based on Random Survival Forests (RSF) and we compare its performance with a
standard logit model. To the authors’ knowledge, no studies in the area of credit risk default for SMEs have used a variety
of statistical methodologies to test the reliability of their predictions and to compare their performance against one another.
As for the in-sample results, we find that our non-parametric model performs much better that the classical logit model. As
for the out-of-sample performances, the evidence is just the opposite, and the logit performs better than the RSF model. We
explain this evidence by showing how error in the estimates of default probabilities can affect classification error when
the estimates are used in a classification rule.
相似文献
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根据演化博弈论,分别构建了供应链金融模式及传统融资模式下中小企业信贷市场的演化博弈模型,比较分析了两种模式下中小企业信贷市场的演化规律,探析了供应链金融对中小企业信贷市场的影响。研究表明,在传统融资模式下,系统不存在稳定汇入点,信贷市场不稳定,中小企业较难获得银行贷款;而在供应链金融模式下,系统的演化将收敛于银行贷款、企业履约的稳定状态,中小企业信贷市场呈良性发展。最后,通过数值分析对模型结论的有效性进一步验证。 相似文献
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Zhehao Huang Tianpei Jiang Zhenzhen Wang 《Mathematical Methods in the Applied Sciences》2020,43(12):7106-7134
In this paper, we explore a pricing model for corporate bond accompanied with multiple credit rating migration risk and stochastic interest rate. The bond price volatility strongly depends on potentially multiple credit rating migration and stochastic change of interest rate. A free boundary problem of partial differential equation is presented, which is the equivalent transformation of the pricing model. The existence, uniqueness, and regularity for the free boundary problem are established to guarantee the rationality of the pricing model. Due to the stochastic change of interest rate, the discontinuous coefficient in the free boundary problem depends explicitly on the time variable but is convergent as time tends to infinity. Accordingly, an auxiliary free boundary problem is constructed, whose coefficient is the convergent limit of the coefficient in the original free boundary problem. With some constraint on the risk discount rate satisfied, we prove that a unique traveling wave exists in the auxiliary free boundary problem. The inductive method is adopted to fit the multiplicity of credit rating. Then we show that the solution of the original free boundary problem converges to the traveling wave in the auxiliary free boundary problem. Returning to the pricing model with multiple credit rating migration and stochastic interest rate, we conclude that the bond price profile can be captured by a traveling wave pattern coupling with a guaranteed bond price with face value equal to one at the maturity. 相似文献
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以短期信贷需求作为研究对象,构建出包含我国中小企业信贷需求因素的信贷需求函数,并基于可得的宏观经济数据,从宏观层面研究我国的短期信贷需求关系.通过对实证结果的分析,我们发现,在我们估计的短期信贷需求函数中,短期信贷需求和国内生产总值、短期贷款利率以及中小企业信贷需求有着长期的均衡关系,但是我国中小企业信贷需求的增长远大于短期信贷需求增长,并且短期信贷需求与国内生产总值、短期贷款利率以及中小企业信贷需求之间的协整关系对于调节短期信贷需求的作用不显著.这些结果反映出我国短期信贷市场的一定程度的刚性,而且我国的中小企业信贷需求也未能通过银行信贷的渠道得到有效的解决.结合这些实证结果,我们对如何利用货币政策实现帮助中小企业度过金融危机进行了讨论. 相似文献
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We study portfolio credit risk management using factor models, with a focus on optimal portfolio selection based on the tradeoff
of expected return and credit risk. We begin with a discussion of factor models and their known analytic properties, paying
particular attention to the asymptotic limit of a large, finely grained portfolio. We recall prior results on the convergence
of risk measures in this “large portfolio approximation” which are important for credit risk optimization. We then show how
the results on the large portfolio approximation can be used to reduce significantly the computational effort required for
credit risk optimization. For example, when determining the fraction of capital to be assigned to particular ratings classes,
it is sufficient to solve the optimization problem for the large portfolio approximation, rather than for the actual portfolio.
This dramatically reduces the dimensionality of the problem, and the amount of computation required for its solution. Numerical
results illustrating the application of this principle are also presented.
JEL Classification G11 相似文献