A credit risk pricing model of guarantee business based on the real options

The notable features of guarantee program differing from traditional project are high degree of information asymmetry and risk uncertainty. The evaluation for credit insurance risk is the key to insurance organization. In this paper, limitations of the traditional NPV evaluation method are proposed. A credit risk pricing model of the guarantee project is put forward based on the real options, which can reflect the value of the project more accurately and therefore enhance the feasibility and rationality of investment decision due to its consideration of the option value of flexible valuation. By using of the pricing model of the guarantee project based on Black - Scholes option risk model proposed in this paper, the investor can make a decision according to internal and external environment, so as to ensure the realization of the guarantee project and to optimize the enterprise value.