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題名 | 考慮或有負債下貸款保證之研究:障礙選擇權分析法=The Analysis of Loan Guarantees with Contingent Liability: A Barrier Option Approach |
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作者 | 張傳章; 何瑞鎮; 廖子翔; 王耀輝; Chang, Chuang-chang; Ho, Ruey-jenn; Liao, Tzu-hsiang; Wang, Yaw-huei; |
期刊 | 財務金融學刊 |
出版日期 | 20090900 |
卷期 | 17:3 2009.09[民98.09] |
頁次 | 頁73-102 |
分類號 | 562.33 |
語文 | chi |
關鍵詞 | 或有負債; 貸款保證; 違約風險; Contingent liability; Loan guarantee; Default risks; |
英文摘要 | The loan guarantee models existed in the literature are all analyzed for guaranteed firms only with certain liability. However, the guaranteed firms have more or less contingent liability in the real world. It is not appropriate and incorrect to use the models without considering the contingent liability of guaranteed firms to value loan guarantee values. In this paper, we contribute to the literature in two ways. First we take the contingent liability of guaranteed firms into consideration when we construct a model to analyze the values of loan guarantees. Second we also use a barrier option structure to consider the default risk of guaranteed firms. The main findings from our simulation results are (i) the default occurred before the expiration date of loan guaranteed contract would significantly affect the values of loan guarantee contracts; (ii) The pricing biases for loan guarantee contract would be substantial when we ignore the contingent liability of guaranteed firms. |
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