著者

金子 拓也 中川 秀敏

出版者

一般社団法人 日本応用数理学会

雑誌

日本応用数理学会論文誌 (ISSN:09172246)

巻号頁・発行日

vol.16, no.3, pp.317-343, 2006

参考文献数

11

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In this paper, we propose a bank loan pricing model for non-listed companies. At first, we present a pricing formula for a principal-equal-repayment loan and obtain the corresponding formula of relevant loan interest rate, which is sufficiently tractable. Indeed, the pricing model is specified by the distribution of recovery rate estimated from Balance Sheet(B/S), the term structure of default probability and the default-risk-premium structure. Discussing how to compute the parameter called B/S-adjusted asset-debt coverage ratio that specifies the distribution of recovery rate, we give some numerical results based on real accounting data of non-listed companies.