The research on the pricing of credit guarantee for small and medium enterprises based on the VAR model

被引：0
|
作者：
Chen, XH [1 ]
Han, WQ [1 ]
Sun, SZ [1 ]
机构：
[1] Cent S Univ, Sch Business, Changsha 410083, Peoples R China
来源：
2005 INTERNATIONAL CONFERENCE ON SERVICES SYSTEMS AND SERVICES MANAGEMENT, VOLS 1 AND 2, PROCEEDINGS | 2005年
关键词：
credit guarantee; VaR model; risk pricing;
D O I：
暂无
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
With the maturity of financial market, we use the credit guarantee frequently with each passing day. The way we price the credit guarantee is based 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 based on the VaR model, which, can gives different prices according to different credit guarantee risk. The guarantee agents can gain non-risk profits at least if they use this pricing model.
引用
收藏
页码：1283 / 1286
页数：4
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