基于强度模型和蒙特卡洛模拟的联保贷款定价研究

发布时间：2018-06-19 01:48

本文选题：强度模型 + 农户联保贷款　；参考：《暨南大学》2015年硕士论文

【摘要】：论文主要研究联保贷款的定价问题,联保贷款的定价在具有重要的现实意义,对小额信贷机构的业务开展至关重要,计算出风险中性定价对实际的业务操作具有指导作用,小额贷款的贷款利率不能过高,也不能过低。贷款利率过高,无疑会增加贷款农户的利息负担,而且过高的利率可能会导致逆向选择问题,增加信贷机构的风险,过低的利率会使小额贷款机构难以维持经营,从而使小额贷款机构不愿意涉足农村信贷市场,不利于农村金融的发展。在我国利率不断市场化的进程中,我国小额信贷机构的利率管制逐渐放开的大背景下,有必要对联保贷款的利率进行理论研究。本文采用强度模型和蒙特卡洛数值模拟方法,研究了农户联保的小额贷款定价问题,对农户在组建联保小组选择农户行为和对联保小组规模进行分析,并进行实例分析联保小组临界违约人数与贷款利率、违约回收率和项目成功收益率的关系。通过假定农户的违约过程是泊松过程来对农户的违约分布进行刻画,建立了基于违约分布的农户联保贷款定价模型,研究并得到了联保贷款小组临界违约人数和小组违约概率。由于联保小组贷款的连带责任,贷款由个人的违约形式变为小组的违约形式,改变小组成员在贷款还款时的独立性,然后引入t-Copula函数来描述农户间违约相关性,得到了联保小组贷款利率的半解析解,并给出了基于t-Copula函数的联保贷款定价的蒙特卡洛方法仿真实验算法。最后,通过实例对具有三位和五位农户联保的贷款定价问题进行蒙特卡洛数值模拟,分析了贷款利率与农户信用贷款定价模型中各影响因素之间的关系。
[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.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.4;F224

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