Research On Default Risk Measurement Of Guaranteed Loan Considering Default-related

At present,domestic economic development is facing downward pressure,the fluctuation of capital market is aggravated,historical accumulation risks are gradually exposed,and market liquidity is becoming increasingly tense.The default in the bond market has occurred frequently,and the financing environment of enterprises has deteriorated severely.The stock market is not prosperous,the company’s stock price has repeatedly fallen,triggering the risk of liquidation of corporate equity pledge,and then counteracting the company’s stock price,making the stock financing costs greatly improved.These default risks have seriously affected the credit quality of enterprises,which has reduced the financing channels for enterprises,increased the difficulty of financing and expensive financing,and further increased the uncertainty of economic development prospects.Therefore,banks have accordingly raised the threshold of loans,requiring borrowers to provide necessary guarantees,and the scale of bank credit loans has gradually declined,ensuring loans.With the increasing proportion of bank assets,guaranteed loans also reduce the risk of banks to a certain extent.However,the development of guaranteed loan business makes banks face challenges in the evaluation and management of guaranteed loan default risk.This paper gives a new analysis idea for this problem and provides a methodological support for banks in the evaluation and control of guaranteed loan default risk.Firstly,this paper classifies and analyses the relevant literature and theoretical methods,which fully provides theoretical support for the research methods of empirical analysis.Then,the related concepts of guaranteed loan are studied,and the causes of guaranteed loan default are analyzed.Secondly,the estimation methods of KMV model parameters are explained,and them the expected default probability of enterprises can be obtained.Moreover,the correlation of asset returns among enterprises is estimated by using the correlation of industry returns.Finally,the probability of joint default can be obtained by guaranteeing the correlation of asset returns and the distribution function of joint default,and then the default risk of guaranteed loan considering the correlation of default can be estimated.The results show that when the individual default risk level of the borrower and the guarantor is high,the correlation between the guarantor and the borrower is high,and the risk level of joint default between the borrower and the guarantor is relatively high.At the same time,the degree of asset correlation,the credit quality of enterprises and the degree of dependence on the market are important factors affecting the risk of guaranteed loan default.Then,it provides substantial policy suggestions for banks from three dimensions:developing and sharing databases covering enterprise-related information and historical default data,implementing unified credit line management for asset-related enterprises and strengthening real-time monitoring of default-related risks of borrowers and guarantors at the same time afterwards.