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Indexed by:会议论文

Date of Publication:2008-01-01

Included Journals:CPCI-SSH

Page Number:551-556

Key Words:credit risk; pricing of credit risk; put option

Abstract:The default of clients cause great loss to the bank assets, and accordingly bring on the varieties of the owners' equity. Therefore the quantification of credit risk is extremely significant to the commercial bank's development and management. This article uses the put option to compute the credit risk premium, and establishes the pricing model of bank credit risk based on the put option. The characteristics and innovations of this model lay on two aspects. Firstly, the functional relationships between the discount rate and the default risk are established by the formula of put option, it could reveal the effect of default rate on discount rate. The discount rate coming from put option formulas includes credit risk Premium, so the discount rate reflects credit risk. Secondly, using the put option to calculate market value of the loan could be able to reflect the future credit status of the corporation. The information of calculating data comes from the stock market, it includes the investors' judgments to the future trends of corporation credit status, so it is extremely predicted.