A Study Of Commercial Bank Investment Management With Real Option

How to solve the credit risk of the bank is a hot topic for theoretic field and actual practice. Now the risk formed by the handful big clients is serious. Most research on the problem are based on the supervision and policy from the macro way and seldom study on the micro side. This thesis use real option theory to research the bank risk control and so the future venture bond manage from the micro way.The thesis emphasizes on IT industry, using three cases to illustrate the pricing model which is practical and valuable for the bank investment risk control. The thesis deal the project management from the beginning to the end, which means the choice, pricing with Merton Default Mode and finally the multi-stage mode for the future venture fund management. The thesis draws some conclusion:The NPV study the risk with the static method and doesn't see the value of uncertain, so the bank ignores those middle size company which leads the focus of the risk.The pricing of loan risk with Merton Default Mode shows that the rate is direct ratio to the variety of the asset value. The result of the case show that the bank loan rate is lower than the result. That means it is profit for the commercial bank to loan this IT company and on the other hand, the rate should adjust highly.