In recent years, Small and Medium Enterprise Credit Guarantee Fund(SMEG) has been actively promoting organization restructuring, boosted its business unceasingly, and impelled each innovation guarantee service actively, in order to display the best benefit. This paper combines C. J. Kuo.¡]2003¡^market-based risk neutral model with actuarial valuation principles, using above observable rate discrepancy¡]i.e. one for that guaranteed by SMEG, and the other for non-guaranteed portion¡^to evaluate the credit risk SMEG assumed from guaranteed schemes, then derives the optimal guaranty fees model.
The major research finding shows fixed as follows conclusion:
1.The real prepayment in subrogation is close to the total guaranty fees estimated by proposed model.
2.Applying this model can help that the credit risk degree SMEG takes reacts to the guarantee premium, and that SMEG control risk balance revenue and expenditure.
This indicates that the model can reflect market information, and thus is easily applicable and referable by SMEG to establish the structure of guaranty fees as well as to reach an integrated risk management.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0714107-155749 |
| Date | 14 July 2007 |
| Creators | Yu, Pei-yu |
| Contributors | Chou, Shyan-Rong, Kuo, Chau-Jung, Ni, Feng-Yu |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0714107-155749 |
| Rights | not_available, Copyright information available at source archive |
Page generated in 0.002 seconds