摘要
担保费用在某种角度上可以看成是信用担保机构的一种风险补偿。作为一种资金来源,它在一定程度上保证了担保业务的安全性,对于信用担保机构健康稳定的发展有很大的影响。本文在结合国内学者已有论述的基础上,完善了基于VaR模型的信用担保风险定价方法,并通过实证检验,得到了与国内现行担保费率基本吻合的费率。通过本文的论述,希望能给国内信用担保机构的风险定价提供一定的借鉴,以促进信用担保行业健康快速的发展。
To some point of view, guarantee fee can be considered as a kind of risk compensation for credit guarantee corporations. As a fund source, it can to certain degree ensure the security of the operation of credit guarantee and thus impacts on the healthy and stable development of credit guarantee corporations. The paper makes improvements to the already existed risk valuation of credit guarantee based on VaR model and also tests it with a living example to get a guarantee rate close to the prevailing rate in china, which proves the usefulness of this improved model. It is our hope to bring enlightenment to the risk valuation of China＇s credit guarantee corporations through the analysis of this paper to ensure the healthy and fast development of credit guarantee industry.
出处
《浙江金融》
北大核心
2011年第3期74-77,共4页
Zhejiang Finance
关键词
中小企业
信用担保
风险定价
Small and medium-sized enterprises
Credit guarantee
Risk Valuation
