貸款保證評價之一般模型：｜國立中央大學博碩士論文系統

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研究生：	陸淑菁 Shu-Ching Lu
論文名稱：	貸款保證評價之一般模型： A General Framework for Valuing Loan Guarantees：Plain Vanilla Option Structure vs. Barrier Option Structure
指導教授：	張傳章 Chuang-Chang Chang
口試委員:
學位類別：	碩士 Master
系所名稱：	管理學院 - 財務金融學系 Department of Finance
畢業學年度：	91
語文別：	英文
論文頁數：	54
中文關鍵詞：	貸款保證、保證價值、保證成本、違約機率
外文關鍵詞：	cost of guarantee, default probability, value of guarantee, loan guarantee
相關次數：	點閱：12 下載：0
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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。

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.

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

                                

Reference
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