基于中小企业的信用担保风险分担与风险定价机制研究
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| Title | SME Credit Guarantee Risk Allocation and Risk-based Pricing Mechanism
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| 作者 | 刘莉亚 胡乃红 马晓青 刘伟 |
| Author | Liu Liya, Hu Naihong, Ma Xiaoqing and Liu Wei |
| 作者单位 | 上海财经大学金融学院;上海电力学院 |
| Organization | |
| 作者Email | liuliya@mail.shufe.edu.cn ;liuliya0112@163.com |
| 中文关键词 | 信用担保风险 风险担保机制 风险定价 CreditMetrics模型 |
| Key Words | Credit Guarantee Credit; Risk Guarantee Mechanism; Risk Pricing; CreditMetrics Model |
| 内容提要 | 与国外的担保体系基本上是政策性的有所不同，在我国担保机构的发展主要以商业性为主。商业性担保机构的引入是否能真正起到缓解我国中小企业信用缺失问题？如何真正实现参与各方之间的风险共担、收益共享？基于这些问题，本文首先通过对中小企业、商业银行、担保机构以及商业担保保险之间的博弈过程进行理论分析，表明担保以及保险的引入能够明显提高商业银行对中小企业的贷款意愿；同时，本文给出了风险分担过程中担保机构承保比例以及商业担保保险承保比例所处的区间。其次，本文采用CreditMetrics模型，基于与中小企业联系密切的城市商业银行数据，给出了单笔贷款的担保保险费率厘定方法以及贷款组合的担保保费测算。最后，本文给出了商业担保保险机构的发展策略及更为精准定价所需创造的条件。 |
| Abstract | The guarantee agencies are primarily commercial in China, which is different from policy-support guarantee agencies in other countries. Are commercial guarantee agencies able to really ease the problem of China's SME credit missing? How to truly achieve risk-sharing and revenue sharing between the parties involved? Based on these questions, this paper firstly analyzes the game process among SME, commercial banks, guarantee agencies and commercial guarantee insurer and shows that the participation of guarantee agencies and insurer can significantly improve the willingness of commercial banks to lend to SMEs; Meanwhile, this paper presents the guarantee coverage ratio of guarantee institutions and the coverage interval of commercial insurer in the process of risk-sharing. Secondly, this paper adopts CreditMetrics model to determine the guarantee premium for single load and loan portfolio based on SME’s loan database from a city commercial bank. Finally, this paper presents the development strategies of commercial guarantee insurer and the necessary conditions to more accurate pricing. |
| 文章编号 | WP143 |
| 登载时间 | 2011-10-28 |
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