本外币贷款风险比较及定价模型

Pricing Models Based on a Risk Comparison Between Domestic and Foreign Currency Loan

摘要:

当公司以外币贷款时，一方面可能有利于贷款成本的下降，但另一方面会因为汇率的波动而增加公司违约的可能.利用研究信用风险的结构化模型中的首次通过模型，在公司分别采用本、外币贷款的情况下，建立了公司的违约概率和贷款价值的数学模型，并进行数值计算和比较.对汇率与公司资产的相关性分析表明，两者存在正相关或负相关程度较小时，公司采用外币贷款时的违约概率相对较大；反之，当两者负相关程度较大时，采用外币贷款的违约相对较小.从违约概率的角度出发，给出公司在选择本外币贷款时的基本标准.

Abstract:

A direct foreign currency loan may help companies reduce loaning cost, nevertheless, the fluctuation of exchange rate may increase the default probabilities of companies. Models of default probability and the value of loan for both domestic and foreign currency loan were established and a comparative study was made of the difference by numerical computation. The correlation analysis of the exchange rate and the property of the companies shows a positive correlation or lower negative correlation leads to a lower default probability of foreign loan, but it is quite a different case when there is a higher negative correlation. Therefore, from the perspective of default probability, a basic standard is proposed for companies to select the loan.