A General Framework for the Valuation of Loan Guarantee Contracts: Plain Vanilla Option Structures vs. Barrier Option Structures

Abstract

This study proposes a general model within which the values of loan guarantee contracts are analyzed under a framework of multiple guarantors and multiple borrowers. Our model subsumes most of the extant models within the current literature constructed for the purpose of studying loan guarantee contracts. We go on to compare the value of loan guarantee contracts under a plain vanilla option structure against their value under a barrier option structure, and then carry out Monte Carlo simulations to investigate the ways in which the critical parameters of guarantors and borrowers affect the value of loan guarantee contracts, the costs of loan guarantees provided by guarantors, and the probability of default by guarantors. We find that the correlation parameters and capital structures of borrowers and guarantors play important roles in determining the premiums (costs) of loan guarantee contracts, and also find substantial differences between the value (costs) of loan guarantee contracts under both plain vanilla option and barrier option structures.文獻上對於貸款保證之評價分析，都建立在單一借款人或單一保證人下進行。然而現實環境往往存在多位借款人面對單一保證人、多位保證人面對單一借款人，或多位借款人面對多位保證人之情況。本文提出一般化的貸 款保證評價模型，允許模型架構在多位借款人與多位保證人下，前述之傳統模型因此可包含於我們的模型當中。我們同時使用傳統選擇權評價法與障礙選擇權評價法，來進行一般化架構下之模擬分析。模擬結果顯示，借款人與保證人之資本結構，以及其彼此之間的相關性，對於貸款保證成本有決定性的影響。同時，使用傳統選擇權評價法與障礙選擇權評價法之保證成本亦存在顯著的差異。