| 基于VaR模型的信用担保定价方法 |
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| 引用本文： | 陈晓红,韩文强,佘坚.基于VaR模型的信用担保定价方法[J].系统工程,2005,23(9):108-110. |
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| 作者姓名： | 陈晓红 韩文强 佘坚 |
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| 作者单位： | 中南大学,商学院,湖南,长沙,410083 |
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| 基金项目： | 国家杰出青年科学基金资助项目（70125002） |
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| 摘 要： | 随着金融市场的日渐完善，信用担保的使用日趋频繁，目前信用担保定价方法主要采用经验定价法和期权定价法。分析这两种方法在实际使用当中的局限，结合国际通行的VaR风险模型，给出了能根据信用担保风险确定担保价格的定价方法，使用该定价方法，担保机构可以在一定置信水平下至少获得无风险收益。
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| 关 键 词： | 信用担保 VaR模型 风险定价 |
| 文章编号： | 1001-4098（2005）09-0108-03 |
| 收稿时间： | 2005-02-28 |
| 修稿时间： | 2005-02-282005-07-28 |
Pricing of Credit Guarantee for Small and Medium Enterprises Based on the VaR Model |
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| CHEN Xiao-hong,HAN Wen-qiang,Se Jian.Pricing of Credit Guarantee for Small and Medium Enterprises Based on the VaR Model[J].Systems Engineering,2005,23(9):108-110. |
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| Authors: | CHEN Xiao-hong HAN Wen-qiang Se Jian |
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| Institution: | School of Business, Central South University, Changsha 410083,China |
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| Abstract: | With the maturity of financial market, we use the credit guarantee more and more frequently. The way we price the credit guarantee is basing on the experiences or directly employs the option pricing model. This paper analyses the limits in the use of the two pricing methods above, and then, gives a new pricing method basing on the VaR model, which can gives different prices according to different risk. The guarantee agents can gain non-risk profits at least if they use this pricing model. |
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| Keywords: | Credit Guarantee VaR Model Risk Pricing |
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