貸款保證評價之一般模型：
傳統選擇權架構與界限選擇權架構下

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姓名

陸淑菁(Shu-Ching Lu) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

貸款保證評價之一般模型：傳統選擇權架構與界限選擇權架構下
(A General Framework for Valuing Loan Guarantees：Plain Vanilla Option Structure vs. Barrier Option Structure )

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摘要(中)

本研究提出評價貸款保證的一般模型，探討存在多個保證人與多個被保證人下之保證價值與保證成本；利用蒙地卡羅模擬法探討保證人與被保證人資本結構之關鍵變數對保證成本、保證價值與保證人違約機率的影響，並且考慮在兩種不同選擇權架構下的結果，一種是保證期間到期時才檢視財務狀況(傳統選擇權架構)，另一種是設定界限於每一個月檢查保證人與被保證人的財務狀況(界限選擇權架構)，同時探討此兩種不同選擇權架構下，保證成本、保證價值與違約機率的相異點及原因。

摘要(英)

This study proposes a general framework in which the value of loan guarantee and the cost of loan guarantee are analyzed under a multiple-guarantor and multiple-borrower framework. We carry out Monte Carlo simulation approach to investigate how the critical parameters of guarantors and borrowers affect the values of loan guarantees, the costs of loan guarantees providing by guarantors and the default probability in two cases. One is the frame of examining the financial state at the end of guarantee period (plain vanilla option structure), and the other is consideration of setting barrier to examine the financial state of guarantors and borrowers at each month (barrier option structure). Finally, we discuss the differences and reasons under two cases.

關鍵字(中)

★ 貸款保證
★ 保證價值
★ 保證成本
★ 違約機率

關鍵字(英)

★ cost of guarantee
★ default probability
★ value of guarantee
★ loan guarantee

論文目次

Contents
1.Introduction 1
2.The Model 3
2.1 The Frame of The Model 4
2.2. The Cost of Loan Guarantees 5
2.3. The Value of Loan Guarantees 7
2.4. Value of guarantee and the default probability 7
3.Numerical Methods 8
4.Numerical Results 10
4.1. Results of Loan Guarantees with Plain Vanilla Option Structure (Condition 1) 10
4.2. Result of Loan Guarantees with Barrier Option Structure (Condition 2) 18
4.2.1 Result of Loan Guarantees with Barrier Option Structure under the Capital Structure 1 20
4.2.2. The effects of changes in the capital structure 29
5.Conclusions 31
Reference 32
Appendix 34
List of Figures
Figure 1 36
Figure 2 36
Figure 3 37
Figure 4 37
Figure 5 38
Figure 6 38
Figure 7 39
Figure 8 39
Figure 9 40
Figure 10 40
Figure 11 41
Figure 12 41
List of Tables
Table 1: The results of comparative static analysis for loan guarantee 11
Table 2: The results of comparative static analysis for loan guarantee with barrier 21
Table 3 42
Table 4 44
Table 5 46

參考文獻

Reference
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指導教授

張傳章(Chuang-Chang Chang)

審核日期

2003-7-5

推文