Proceedings of the ISCIE International Symposium on Stochastic Systems Theory and its Applications
Online ISSN : 2188-4749
Print ISSN : 2188-4730
第38回ISCIE「確率システム理論と応用」国際シンポジウム(2006年11月, 長野諏訪)
A Bank loan pricing model based on recovery rate distribution
Takuya KANEKOHidetoshi NAKAGAWA
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2007 年 2007 巻 p. 37-39

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In our presentation, we propose a bank loan pricing model for non-listed companies. We present a pricing formula for a principal-equal-repayment loan and derive the corresponding formula of relevant loan interest rate, which is sufficiently tractable. Indeed, the pricing model is specified by the three factors, the distribution of recovery rate estimated from Balance Sheet(B/S), the term structure of default probability and the default-risk-premium structure that each bank must choose individually. Discussing how to adjust the asset on B/S, we compute the parameter called B/S-adjusted asset-debt coverage ratio that specifies the distribution of recovery rate. Moreover we present some numerical results based on real accounting data of non-listed companies.
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© 2007 ISCIE Symposium on Stochastic Systems Theory and Its Applications
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