论文部分内容阅读
本文以浮动利率贷款和固定利率贷款为例研究了国内第一个贷款转让权力的定价问题；给出了考虑到回售条款的贷款转让权力的一般性定价方法；利用上海证券交易所交易的４ 周国债回购利率对Ｖａｓｉｃｅｋ 方程进行显著性实证检验，并计算得到了方程中的有关参数ｋ，ｒ和σｒ 的估计值；以剩余期限为４年期的贷款为例，对各种转让方案下的转让价格进行了定价分析。
In this paper, floating-rate loans and fixed-rate loans were used as an example to study the pricing problem of the first transfer of power in China. The general pricing method of loan transfer power was given considering the terms of the sale-back. By using Shanghai Stock Exchange 4 Week repurchase interest rate of the Vasicek equation significant empirical test and calculated the equation parameters k, r and σr estimates; the remaining period of 4-year loans as an example, the various transfer programs The transfer price under the pricing analysis.