• 主题
高级搜索  >
历史搜索 清空历史
首页> 外文期刊>IFAC PapersOnLine >AN INSURANCE MODEL FOR THE PROTECTION OF CORPORATIONS AGAINST THE BANKRUPTCY OF SUPPLIERS BY USING THE BLACK-SCHOLES-MERTON MODEL
【24h】

AN INSURANCE MODEL FOR THE PROTECTION OF CORPORATIONS AGAINST THE BANKRUPTCY OF SUPPLIERS BY USING THE BLACK-SCHOLES-MERTON MODEL

机译：黑肖尔-默顿模型的供应商破产企业保护保险模型

获取原文
           
页面导航
  • 摘要
  • 著录项
  • 相似文献
  • 相关主题

摘要

Many banks provide supply-chain finance solutions that might include insurance services that further mitigate trade risk such as the default of suppliers. This study proposes the development of an insurance model that uses the Black-Scholes-Merton Model (BSM) for default prediction and risk pooling management techniques as a way to reduce the risk due to supplier bankruptcy and estimate an insurance premium that banks can use to charge this service to their customers. In order to demonstrate the use of the proposed insurance model, a sample of companies is selected from the New York Stock exchange and data for historical stock prices from the CRSP database (Center for Research in Security Prices) is collected in order to calculate the probability of bankruptcy of a sample of sup- pliers from different industries by using the BSM model. Twelve pools of companies of different sizes are created and a VBA program for Excel is developed in order to calculate probability of bankruptcy tables of companies be- longing to the different pools. A Monte Carlo simulation to simulate the impact on risk and expected losses on the number of insurance policies sold is implemented with the use of simulation software. The results show that the simulation is useful to estimate the number of sold policies required in order to reduce the risk to a minimum level and predict with a high level of certainty the losses due to bankruptcy of suppliers. The expected losses for a risk pool can be used by a financial institution in order to price an insurance contract that hedges a company against the risk of default of suppliers.
机译：许多银行提供了供应链金融解决方案，其中可能包括进一步减轻贸易风险（例如供应商违约）的保险服务。这项研究提出了一种保险模型的开发，该模型使用Black-Scholes-Merton模型（BSM）进行违约预测和风险分担管理技术，以此来减少由于供应商破产而造成的风险并估计银行可以用来支付的保险费。向客户收取这项服务。为了证明所提议的保险模型的使用，从纽约证券交易所中选择了一家公司样本，并从CRSP数据库（证券价格研究中心）收集了历史股价数据，以计算概率BSM模型分析来自不同行业的供应商样本的破产情况。创建了十二个不同规模的公司库，并开发了用于Excel的VBA程序，以计算属于不同库的公司破产表的可能性。使用模拟软件可以实现蒙特卡洛模拟，以模拟对风险和预期损失对已售出保险单数量的影响。结果表明，该仿真对于估算所需的已售出保单数量很有用，以便将风险降低到最低水平，并可以高度确定性地预测由于供应商破产而造成的损失。金融机构可以使用风险池的预期损失，以便为对冲公司的保险合同定价以防止供应商违约风险。

著录项

相似文献

  • 外文文献
  • 中文文献
  • 专利
获取原文

客服邮箱：kefu@zhangqiaokeyan.com

京公网安备：11010802029741号 ICP备案号：京ICP备15016152号-6 六维联合信息科技 (北京) 有限公司©版权所有

  • 客服微信

  • 服务号