The research on the pricing of credit guarantee for small and medium enterprises based on the VaR model

With the maturity of financial market, we use the credit guarantee frequently with each passing day. The way we price the credit guarantee is based on the experiences or directly employs the option pricing model. This paper analyses the limits in the use of the two pricing methods above, and then, gives a new pricing method based on the VaR model, which can gives different prices according to different credit guarantee risk. The guarantee agents can gain nonrisk profits at least if they use this pricing model.