基于担保的中小企业融资的集合票据的定价研究

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.

Pricing Research Based on the Guarantee of Small and Medium-Sized Enterprise Financing Collection of Notes

Under the reduced model framework,consider the default guarantee agencies to set bond financing of small and medium-sized enterprises have default contagion effect,by introducing a hyperbolic geometry attenuation function,get the pricing formulas on the basis of the guarantee set implied credit risk analysis,Results show that the existence of the guarantee agencies can significantly reduce the credit spreads of collection notes,improve its market price;And secured,the default contagion risk factors of guarantee agencies,the greater the corresponding collection notes the lower the price,the greater the probability of default,the higher credit spreads,the less collateral value.