Construction of Financing Guarantee Pricing Model Under a "Bank-SME-Guarantee" Perspective

Based on Black-Scholes option pricing theory and taking the equilibrium status required by banks,borrowers and financing guarantee companies into consideration,a pricing model was established to help financing guarantee companies decide guarantee fee efficiently.This model explained the effects that the risk sharing ratio,the magnification,and other factors might exert on financing guarantee fee.The Monte Carlo simulation was used to find out the sensitivity of guarantee fee towards related factors.The model can help the government in designing an appropriate statutory region of guarantee fee.It is an available tool for financing guarantee companies to make optimal pricing decision and better suiting themselves under existing pricing regulation.