Wykorzystanie wartości likwidacyjnej aktywów kredytobiorcy i metody Monte Carlo do wyznaczenia oprocentowania kredytu bankowego
Bank loan pricing with use the of the Monte Carlo method and the liquidation value of borrower’s assets

Summary/Abstract: This paper presents a simulation model which allows to determine bank loan in-terest rate at the stage of writing a loan agreement. The starting point of the calculation is a theoretical model that uses the game theory, which states that the borrower, with the possi-bility of bank debt renegotiation, aims to repay the loan amount no greater than the liquida-tion value of its assets from the point of view of the bank. Therefore, the loan interest rate should take into account not only the premium for the risk of failure of debtor’s business, but also a premium for a possible decline in the value of the borrower's assets. An example of a simulation model presented in the article takes into account a number of random varia-bles including: the borrower's cash flow in subsequent years, the value of assets owned by the borrower prior to the credit agreement, the recovery rate of each asset category and the other, and their mutual correlations. The simulation results show that, having equal profita-bility and risk of the debtor's project, the profitability of the bank loan depends largely on the value of assets owned by the borrower before the start of the project.

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