本文選題：強(qiáng)度模型 + 農(nóng)戶聯(lián)保貸款��； 參考：《暨南大學(xué)》2015年碩士論文

【摘要】：論文主要研究聯(lián)保貸款的定價(jià)問題,聯(lián)保貸款的定價(jià)在具有重要的現(xiàn)實(shí)意義,對(duì)小額信貸機(jī)構(gòu)的業(yè)務(wù)開展至關(guān)重要,計(jì)算出風(fēng)險(xiǎn)中性定價(jià)對(duì)實(shí)際的業(yè)務(wù)操作具有指導(dǎo)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(huì)增加貸款農(nóng)戶的利息負(fù)擔(dān),而且過高的利率可能會(huì)導(dǎo)致逆向選擇問題,增加信貸機(jī)構(gòu)的風(fēng)險(xiǎn),過低的利率會(huì)使小額貸款機(jī)構(gòu)難以維持經(jīng)營(yíng),從而使小額貸款機(jī)構(gòu)不愿意涉足農(nóng)村信貸市場(chǎng),不利于農(nóng)村金融的發(fā)展。在我國(guó)利率不斷市場(chǎng)化的進(jìn)程中,我國(guó)小額信貸機(jī)構(gòu)的利率管制逐漸放開的大背景下,有必要對(duì)聯(lián)保貸款的利率進(jìn)行理論研究。本文采用強(qiáng)度模型和蒙特卡洛數(shù)值模擬方法,研究了農(nóng)戶聯(lián)保的小額貸款定價(jià)問題,對(duì)農(nóng)戶在組建聯(lián)保小組選擇農(nóng)戶行為和對(duì)聯(lián)保小組規(guī)模進(jìn)行分析,并進(jìn)行實(shí)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(xiàng)目成功收益率的關(guān)系。通過假定農(nóng)戶的違約過程是泊松過程來對(duì)農(nóng)戶的違約分布進(jìn)行刻畫,建立了基于違約分布的農(nóng)戶聯(lián)保貸款定價(jià)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(zé)任,貸款由個(gè)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(shí)的獨(dú)立性,然后引入t-Copula函數(shù)來描述農(nóng)戶間違約相關(guān)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(jià)的蒙特卡洛方法仿真實(shí)驗(yàn)算法。最后,通過實(shí)例對(duì)具有三位和五位農(nóng)戶聯(lián)保的貸款定價(jià)問題進(jìn)行蒙特卡洛數(shù)值模擬,分析了貸款利率與農(nóng)戶信用貸款定價(jià)模型中各影響因素之間的關(guān)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(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2015
【分類號(hào)】：F832.4;F224

【參考文獻(xiàn)】

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1 王靜;徐逞，

本文編號(hào)：2037800