Pricing Model for Financial Guaranty Products Using Actuarial Methodology and Most Prudent Principle

Jinyu Yang, Weiguo Zhang and Donglai Li

International Journal of Financial Research, 2015, vol. 6, issue 1, 101-110

Abstract: Considering the feasibility in China¡¯s market and adopting existing pricing models on financial guaranty products and credit derivatives, a pricing model on financial guaranty products is built under the actuarial methodology. In the model, the geometric Brownian motion with correlation is chosen as the default process, the most prudent principle is applied to the calibration of the model and the Beta distribution is proposed to approximate the loss given default (LGD).

Keywords: financial guaranty product; credit derivative; actuarial pricing method; most prudent principle; risk cost (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/6163/3684 (application/pdf)
http://www.sciedu.ca/journal/index.php/ijfr/article/view/6163 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:jfr:ijfr11:v:6:y:2015:i:1:p:101-110

Access Statistics for this article

International Journal of Financial Research is currently edited by Gina Perry

More articles in International Journal of Financial Research from International Journal of Financial Research, Sciedu Press
Bibliographic data for series maintained by Gina Perry ().