| The Loan financing becomes a more popular financing model in capital market because of lower cost, it contributed lot in pushing forward the development of national economy and making good of resources. When total demand of fund is definite, along with the scale of loans is increased, the return of the enterprise's equity capital and the enterprise's value will be increased. At the same time, the risk of enterprises will be increased, such as bring default of repaying loan, the feasibility of involuntary bankruptcy for stoppage of cash flow will be increased. The return of banks will be increased along with the scale of loans, but bearing risk of the bank is also increased. so the bank must construct effective mechanism to prevent risk, adopt the advanced risk management technique to reduce the probability of defaulting in repaying loans.During taking part in the subject about corporate loan that is researched by Chinese Academy of Science and Central University of Finance and Economics, on the side of the bank, while the loan products are confirmed, how to make sure repay plan and the scale of loans is a process that two parties gaming each other; the company hope to maximize its value through getting right and repay plan, the risk is moderate; the bank hope to ensure its income on the premise of trying to play down the default risk. How to describe total progress in the method of quantitative analysis, get a optimal the amount of loan and repay plan? In the paper construct the Corresponding mathematical model in the base of the problem, besides giving a solution.This paper roundly analyses the aforementioned factor, builds up Multi-object decision model which reflects the relationship of income, the amount of loans, repay plan, etc.The risk in this paper is the variability of future result: the variability is from the warp of expecting. Credit risk is a risk that customer's breach of contract forms.This paper build the stochastic measure model of credit risk, credit risk is corresponding to default probability, The PD is closely related to some financial indexes, so control these financial indexes can decrease the firm's PD, aiming at different loan project, the bank may choose different financial indexes to estimate credit risk . The Multi-object stochastic decision model on above base that we build up is one kind current model. Choose index system that is assembled by different financial indexes to measure credit risk.The uncertainty of credit risk or default probability is from the uncertainty of enterprise's future cash flow, but is not historic thing. In this paper consider enterprise's future cash flow is stochastic process, we study credit risk and value of the enterprises base on enterprise's future stochastic cash flow, not historic thing of the enterprises.To this type model, choose the Debt Service Coverage ratio, Debt Coverage ratio, Debt Sustainability to measure the default probability in this paper, build corresponding multi-objective decision model. Simulate this model in lingo software.Main innovation:(1) Build Multi-object decision model in Loan Financing.(2) Take future cash flow of company as a stochastic process, use future data measure default probability, build stochastic model that measure credit risk on the basis of future cash flow. Conquer the lack of using historic data or experiential data to measure the credit risk.(3) Because the model is built on stochastic cash flow, the model considers credit risk in future different years and corresponding repay plan. Conquer the lack the method of ensuring the amount of the loan only basing on the measure of credit risk, etc. it is more closely the corporate that its cash flow is increasing, for example increasing technological corporate, expanding investment corporate, etc. the model also fit common corporate, more closely fact, more broad its applicability.(4) Take concrete financial index as example, build up concrete Multi-object decision model and give the solution method, use emulation data to solve model... |
PDF Full Text Request