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文章基本信息

  • 标题:Pricing Model for Financial Guaranty Products Using Actuarial Methodology and Most Prudent Principle
  • 本地全文:下载
  • 作者:Jinyu Yang ; Weiguo Zhang ; Donglai Li
  • 期刊名称:International Journal of Financial Research
  • 印刷版ISSN:1923-4023
  • 电子版ISSN:1923-4031
  • 出版年度:2014
  • 卷号:6
  • 期号:1
  • 页码:p101
  • 语种:English
  • 出版社:Sciedu Press
  • 摘要:Considering the feasibility in China’s market and adopting existing pricing models on financial guaranty products and credit derivatives, a pricing model on financial guaranty products is built under the actuarial methodology. In the model, the geometric Brownian motion with correlation is chosen as the default process, the most prudent principle is applied to the calibration of the model and the Beta distribution is proposed to approximate the loss given default (LGD).
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