Abstract

Design of dynamic guarantee fee based on the margin system of loans to SMEs

Author(s): BaosenWang, IijieWang

As futures prices change daily, credit risk exists all the time. However, the MTM system calculates the profit and loss of each margin account everyday, and by this way, the cumulative daily price fluctuation risk is eliminated. In this research, we build a bank - security company - the company and the government-supported system, where we firstly calculate the initial guarantee fee according to VaR model, then in each time period we recalculate the guarantee fee and charge the company. Using this method, the credit risk of guarantee system is controlled effectively