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在简约化模型框架下,考虑担保机构的违约对集合发债融资的中小企业有违约传染的影响,通过引进一个几何双曲线衰减函数,得到了集合票据的定价公式,在此基础上对担保集合票据所隐含的信用风险进行分析.结果表明:担保机构的存在能显著降低集合票据的信用利差,提高其市场发行价格;且有担保下,担保机构的违约传染风险因子越大,相应的集合票据价格就越低,违约概率越大,信用利差越高,担保价值越低.
Under the simplification model framework, taking into account the effect of default by guarantee agencies on the default of SMEs that issue debt financing, a set of geometric hyperbolic decay function is introduced to get the pricing formula of collective notes. On this basis, The results show that: The existence of guarantee institutions can significantly reduce the credit spread of collective notes and increase the market price of their issuance; and under the guarantee, the greater the risk of default of the guarantee institutions, the corresponding The lower the set bill price, the higher the default probability, the higher the credit spread, and the lower the guarantee value.