Research On The Provision Design And Pricing Of Credit Guarantee Embedded With Contingent Claims

Credit guarantee is an important way to enhance corporate credit and safeguard the realization of bank credit.It can play a role in the bond between banks and enterprises,to a certain extent ease the imbalance in the supply structure of credit funds,and promote the improvement of social credit levels.After more than two decades of development,credit guarantee institutions at home and abroad have gradually matured,and research on guarantee mechanisms and pricing theory has also made significant progress.However,limited by the deficiencies of innovative product design and pricing methods,credit guarantees cannot meet the diversified needs of the credit market.The thesis first sorts out relevant theoretical researches on credit guarantee risk control and pricing,and then analyzes some deficiencies and possible innovations of the current research.In view of the current situation that the liquidation of the guaranteed company may cause inefficiency losses,and based on the supervision and toleration policy in the deposit insurance model,this thesis designs a kind of credit guarantee contract embedded with contingent claims.From the perspective of contract control,it introduces the liquidation tolerance coefficient to judge the business status of the company,and make up for the risk of default through pre-constraint.Based on this situation,guarantee pricing is conducted and the analytical formula of guarantee value is given.Then,based on the pricing formula,using market data to give an example,and comparing the value of traditional guarantee methods,it is proved that the guarantee design of this thesis does have the effect of slowing the risk of the credit guarantee institution.Finally,the sensitivity analysis of the pricing formula is conducted to examine the effect of the contract parameters on the security risk.The main contributions of this thesis include: First,optimize the credit guarantee method from the perspective of contingent products,which is conducive to fully exerting the advantages of credit guarantees as a financial derivative in terms of corporate financing difficulties and loan default issues,and helping to improve product quality.Second,construct a reasonable pricing model to make up for the shortcomings of the empirical pricing method,which is conducive to accurately measuring the rate that the guaranteed company should bear,realizing the equivalence between risk and return,and also conducive to guarantee institutions to carry out effective risk management for credit guarantees.Last,combining the practice of debt extension and using liquidation tolerance to solve the inefficiency losses caused by bankruptcy liquidation.It is more realistic to meet the market demand compared with the single-phase credit guarantee.