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| “Unfair Contracts?”Risk Analysis for VAMs in China |
| WANG Yintian, HUANG Zhangkai, CHEN Meng
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| School of Economics and Management,Tsinghua University |
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Abstract The article investigates the “fairness” of the VAMs (Valuation Adjustment Mechanism) adopted by China’s enterprises in venture financing. We treat VAM as binary options and price 20 VAMs using Binomial Tree Model. We find that almost all VAMs are mispriced such that there are high “premium” charged by the financial institutions as investors. To justify the “fairness” of the premium, we present risk factors to explain the “premium”. We finally find that less than half of the “premium” can be justified by the risk factors, which means a significant part of the premium might be attributed to “over-protection” of the investors.
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Received: 21 July 2014
Published: 18 January 2018
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