發(fā)布時間：2018-06-19 01:48

  本文選題：強度模型 + 農戶聯(lián)保貸款��； 參考：《暨南大學》2015年碩士論文

【摘要】：論文主要研究聯(lián)保貸款的定價問題,聯(lián)保貸款的定價在具有重要的現(xiàn)實意義,對小額信貸機構的業(yè)務開展至關重要,計算出風險中性定價對實際的業(yè)務操作具有指導作用,小額貸款的貸款利率不能過高,也不能過低。貸款利率過高,無疑會增加貸款農戶的利息負擔,而且過高的利率可能會導致逆向選擇問題,增加信貸機構的風險,過低的利率會使小額貸款機構難以維持經營,從而使小額貸款機構不愿意涉足農村信貸市場,不利于農村金融的發(fā)展。在我國利率不斷市場化的進程中,我國小額信貸機構的利率管制逐漸放開的大背景下,有必要對聯(lián)保貸款的利率進行理論研究。本文采用強度模型和蒙特卡洛數(shù)值模擬方法,研究了農戶聯(lián)保的小額貸款定價問題,對農戶在組建聯(lián)保小組選擇農戶行為和對聯(lián)保小組規(guī)模進行分析,并進行實例分析聯(lián)保小組臨界違約人數(shù)與貸款利率、違約回收率和項目成功收益率的關系。通過假定農戶的違約過程是泊松過程來對農戶的違約分布進行刻畫,建立了基于違約分布的農戶聯(lián)保貸款定價模型,研究并得到了聯(lián)保貸款小組臨界違約人數(shù)和小組違約概率。由于聯(lián)保小組貸款的連帶責任,貸款由個人的違約形式變?yōu)樾〗M的違約形式,改變小組成員在貸款還款時的獨立性,然后引入t-Copula函數(shù)來描述農戶間違約相關性,得到了聯(lián)保小組貸款利率的半解析解,并給出了基于t-Copula函數(shù)的聯(lián)保貸款定價的蒙特卡洛方法仿真實驗算法。最后,通過實例對具有三位和五位農戶聯(lián)保的貸款定價問題進行蒙特卡洛數(shù)值模擬,分析了貸款利率與農戶信用貸款定價模型中各影響因素之間的關系。
[Abstract]:This paper mainly studies the pricing of UNPROFOR loan. The pricing of UNPROFOR loan is of great practical significance, which is very important to the operation of microfinance institutions. The calculation of risk neutral pricing has a guiding role in practical operation. The interest rate of the loan of small loan cannot be too high, also cannot be too low. If the loan interest rate is too high, it will undoubtedly increase the interest burden on the loan farmers. Moreover, too high interest rates may lead to adverse selection problems, increase the risk of credit institutions, and too low interest rates will make it difficult for microfinance institutions to maintain their operations. So that microfinance institutions do not want to step into the rural credit market, not conducive to the development of rural finance. In the process of the marketization of interest rate in our country, the interest rate control of the micro-credit institutions in our country is gradually liberalizing, so it is necessary to carry on the theoretical research on the interest rate of the UNPROFOR loan. In this paper, the intensity model and Monte Carlo numerical simulation method are used to study the pricing problem of peasant households' small loans, and the behavior of farmers' choosing farmers in setting up protection groups and the size of protection groups are analyzed. An example is given to analyze the relationship between the critical number of default and loan interest rate, default recovery rate and project success rate. Based on the assumption that the default process of farmers is Poisson process, this paper describes the distribution of farmers' default, establishes the pricing model of farmers' UNPROFOR loan based on default distribution, studies and obtains the critical number of default and the probability of default of the group. Because of the joint liability of the loan, the loan is changed from the individual default form to the group default form, which changes the independence of the group members in the repayment of the loan. Then the t-Copula function is introduced to describe the correlation between the farmers' default. In this paper, the semi-analytical solution of the loan interest rate of the UNPROFOR team is obtained, and the Monte Carlo simulation algorithm of the UNPROFOR loan pricing based on t-Copula function is given. Finally, Monte Carlo numerical simulation of loan pricing problem with three and five peasant households is carried out, and the relationship between the loan interest rate and the influencing factors in the credit loan pricing model of farmers is analyzed.
【學位授予單位】：暨南大學
【學位級別】：碩士
【學位授予年份】：2015
【分類號】：F832.4;F224

【參考文獻】

相關期刊論文 前10條

1 王靜;徐逞，

本文編號：2037800