摘要
在传统的基准利率定价模型的基础上,考虑违约损失的随机性,运用信用等级转移矩阵,结合不同的信用等级违约损失率、资本收益率及预期收益率,得出不同信用等级客户的不同期限贷款利率定价.
On the basis of the traditional benchmark interest rate pricing model, considering the randomness of default loss, using credit rating transfer matrix, combining with different credit rating default loss rate, capital return rate and expected return rate, the paper works out the pricing of the loan interest rate for dif-ferent credit rating customers.
出处
《湘南学院学报》
2016年第2期7-11,21,共6页
Journal of Xiangnan University
基金
宁德师范学院科研资助项目(2013Q02)
关键词
信用迁移矩阵
高阶转移概率
违约损失
贷款定价
credit transfer matrix
higher order transfer probability
default loss
loan pricing
