Oceňování 2019, 12(3):3-17 | DOI: 10.18267/j.ocenovani.232
Guarantee Valuation in Expert Practice
- Doc. ing. Jaroslav Brada, Dr.; Katedra měnové teorie a politiky, Fakulta financí a účetnictví, VŠE Praha
The scope and scale of the risks of losses by the credit provider and by the credit guarantee provider are identical in their economic nature. The article uses this identical nature of the credit risk and guarantee risks to provide methodological guidance to identify (quantify) the potential market price (value) of third-party liability guarantees using information on credit interest rates provided on the market by banking and non-bank institutions, as well as, where appropriate, information on venture capital fund required rate of return.
Keywords: Credit risk valuation; Loan Guarantee Valuation; Guarantee risk
Grants and funding:
Článek je zpracován jako jeden z výstupů výzkumného projektu F1/18/2017 Makrofinanční stabilita a finanční cyklus v zemích s negativní čistou investiční pozicí.
JEL classification: G32
Published: December 20, 2019 Show citation
References
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Go to original source... - Goodman, E.: How to value Guarantees, Global Association of Risk Professional, January/February 2008 Issue (dostupné z: https://www.usaee.org/usaee2017/workshop/Goodman/How%20to%20Value%20Guarantees%202008.pdf).
- Huynh, H., Lai, S, Soumaré, I. (2008): Stochastic Simulation and Applications in Finance with MATLAB Programs, John Wiley & Sons, Incorporated, 2008, New York, ISBN 9780470722138. Go to original source...
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