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The pricing of conditional performance guarantees with risky collateral

机译：有风险抵押品的有条件履约担保定价

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Conditional performance guarantees with risky collaterals are specific bonding instruments that are not credit extensions or require only a service fee. Instead, they resemble a credit default swap (CDS) that is essentially an insurance contract and can thus be priced accordingly. A CDS-based model is proposed here for pricing these instruments. The model incorporates both contractor default probability and the recovery risk of collateral. It also allows for explicit specification of bonding parameters such as the promised amount of payment in the event of default. For model implementation, a quasi-KMV-Merton approach is proposed for the estimation of contractor default probability. The historical market prices and basic accounting data of publicly traded construction firms in the Taiwan Economic Journal Database (TEJD) are used to test the model. The model demonstrates effective statistical power to distinguish categorized samples of the firms. It shows that the current industrial practice of asking a standard service rate of 1 % tends to charge too little for financially distressed firms and too much for normal ones.
机译：具有风险抵押品的有条件履约担保是特定的担保工具，不是信贷扩展或仅需要服务费。相反，它们类似于信用违约掉期（CDS），本质上是保险合同，因此可以相应定价。这里提出了基于CDS的模型来对这些工具定价。该模型包括承包商违约概率和抵押品的收回风险。它还允许明确指定绑定参数，例如在发生违约时的承诺付款金额。为了实现模型，提出了一种准KMV-默顿方法来估计承包商违约概率。使用台湾经济日报数据库（TEJD）中公开交易的建筑公司的历史市场价格和基本会计数据来测试该模型。该模型展示了有效的统计能力，可以区分企业的分类样本。它表明，当前要求1％的标准服务费率的工业惯例往往对陷入财务困境的公司收取的费用过低，而对正常公司收取的费用过高。

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