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由于忽视了软预算约束导致的“优先原则”不成立以及由此产生的还贷道德风险等现实问题,贷款定价传统期权方法在中国的适用性受到了影响。通过引入信贷合同效率,本文构造了二维违约风险,并据此建立了贷款定价的新模型。新模型解决了上述问题,得到以下结论:第一类与第二类违约风险的联动对贷款定价的影响是不确定的,第一类与第二类违约风险相关度越高则贷款定价越低,贷款期限与贷款定价之间的关系受违约风险构成的影响等。
Due to the neglect of the realistic problems such as the “principle of precedence” caused by the soft budget constraint and the resulting moral hazard of loan repayment, the applicability of the loan pricing traditional options in China has been affected. By introducing the efficiency of credit contract, this paper constructs a two-dimensional default risk and establishes a new model of loan pricing accordingly. The new model solves the above problems and leads to the following conclusions: The impact of the linkage between the first and second types of default risk on the pricing of loans is uncertain. The higher the correlation between the first and second types of default risks, the lower the pricing of loans , The relationship between loan term and loan pricing is affected by the default risk.