| 违约风险与贷款定价:一个基于期权方法和软预算约束的新模型 |
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| 引用本文： | 金雪军,毛捷.违约风险与贷款定价:一个基于期权方法和软预算约束的新模型[J].经济学(季刊),2007(4):1217-1238. |
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| 作者姓名： | 金雪军 毛捷 |
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| 作者单位： | 浙江大学经济学院，浙江大学经济学院 浙江大学江万龄金融与投资研究中心 |
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| 摘 要： | 由于忽视了软预算约束导致的"优先原则"不成立以及由此产生的还贷道德风险等现实问题,贷款定价传统期权方法在中国的适用性受到了影响。通过引入信贷合同效率,本文构造了二维违约风险,并据此建立了贷款定价的新模型。新模型解决了上述问题,得到以下结论:第一类与第二类违约风险的联动对贷款定价的影响是不确定的,第一类与第二类违约风险相关度越高则贷款定价越低,贷款期限与贷款定价之间的关系受违约风险构成的影响等。
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| 关 键 词： | 违约风险 贷款定价 软预算约束 |
DEFAULT RISK AND LOAN PRICING: A NEW OPTION-BASED MODEL WITH SOFT BUDGET CONSTRAINT |
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| Jin Xuejun and Mao Jie.DEFAULT RISK AND LOAN PRICING: A NEW OPTION-BASED MODEL WITH SOFT BUDGET CONSTRAINT[J].China Economic Quarterly,2007(4):1217-1238. |
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| Authors: | Jin Xuejun and Mao Jie |
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| Abstract: | The existent option-based models of bank loan pricing ignore some realistic problems like the absence of the priority rule caused by the soft budget constraint and moral hazard in the loan market.This makes these models ' applications in China suspicious.Taking these problems into consideration,we introduce the efficiency of loan contracts as a new component of credit risks in the loan market and study a kind of two-dimensional default risks.Then we set up a new option model for loan pricing.This model impr... |
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