The Bank loan pricing model based on recovery rate distribution(Practice,Mathematical Finance)

• KANEKO Takuya

  Tokyo Institute of Technology (Resona Bank, Ltd)

• NAKAGAWA Hidetoshi

  Tokyo Institute of Tecnonology

Bibliographic Information

Other Title

• 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)
• 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
• B S オ リヨウ シタ カイシュウリツ ト ソレニ モトヅク カシダシ サイケン ノ テキセイ プライシング モデル

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

Details

• CRID: 1390282680744769280
• NII Article ID: 110004833379
• NII Article ID: 120006866578
• NII Book ID: AN10367166
• ISSN: 09172246
• ISSN: 24240982
• DOI: 10.11540/jsiamt.16.3_317
• HANDLE: 10086/31280
• NDL BIB ID: 8533766
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I8533766
• Text Lang: ja
• Data Source:
  • JaLC
  • IRDB
  • NDL
  • CiNii Articles
  • KAKEN
• Abstract License Flag: Disallowed