The Pricing And Valuation Of The Financial Leasing

Financial crisis highlights the important role of credit in the financial market, also raises the importance and complexity of credit risk, financial institutions are no longer merely content with the simple evaluation of credit risk, how to correct and accurate description and estimate the credit risk is the hot topic in today’s financial practice and academia, and among them, how to control the past neglected the counterparty risk is a top priority.This article mainly research about the pricing and valuation of financing lease, and consider the counterparty risk may occur during the implementation of contract.There are two general frameworksto model credit risk: reduced model and structural model. How to select the specific way to build a model based on the actual financial characteristics of the product itself, and is also the basis of financial derivatives pricing.In this article, we will use two frameworks respectively in the pricing and valuation of the financing lease contract.For the counterparty credit risk at the same time, we will consider the counterparty risk in two forms: one-way and two-way form.In the case of two-way counterparty credit risk, we assume that the counterparty will take the initiative to default the contract, and set the contract has a penalty due to the breach of contract, but because try to be in close to the actual operation of the financial markets, the value of the contract, will be considered less than the difference between the market value of the contract itself and the penalty due to breach of contract, and the default time will form a continual collection.