B/Sを利用した回収率とそれに基づく貸出債権の適正プライシング・モデル(実用,数理ファイナンス,<特集>平成18年研究部会連合発表会)  [in Japanese] The Bank loan pricing model based on recovery rate distribution(Practice,Mathematical Finance)  [in Japanese]

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Author(s)

Abstract

In this paper, we propose a bank loan pricing model for non-listed companies. At first, we present a pricing formula for a principal-equal-repayment loan and obtain the corresponding formula of relevant loan interest rate, which is sufficiently tractable. Indeed, the pricing model is specified by the distribution of recovery rate estimated from Balance Sheet(B/S), the term structure of default probability and the default-risk-premium structure. Discussing how to compute the parameter called B/S-adjusted asset-debt coverage ratio that specifies the distribution of recovery rate, we give some numerical results based on real accounting data of non-listed companies.

Journal

  • Transactions of the Japan Society for Industrial and Applied Mathematics

    Transactions of the Japan Society for Industrial and Applied Mathematics 16(3), 317-343, 2006

    The Japan Society for Industrial and Applied Mathematics

References:  11

Codes

  • NII Article ID (NAID)
    110004833379
  • NII NACSIS-CAT ID (NCID)
    AN10367166
  • Text Lang
    JPN
  • Article Type
    ART
  • ISSN
    09172246
  • NDL Article ID
    8533766
  • NDL Source Classification
    ZM31(科学技術--数学)
  • NDL Call No.
    Z15-727
  • Data Source
    CJP  NDL  NII-ELS  J-STAGE 
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