非标债权资产风险定价的实证研究

发布时间：2018-01-12 15:38

本文关键词：非标债权资产风险定价的实证研究　出处：《上海交通大学》2015年硕士论文　论文类型：学位论文

【摘要】：近几年,由于银行信贷的门槛提高,非标准化债权项目作为银行信贷的替代融资方式发展迅速,规模不断增长。随着非标资产的发展,相关投资也带来了诸多风险。从机构投资者的角度来看,对非标资产的风险进行合理评估,并研究相关风险定价成为了一个重要的课题。本文主要研究各类金融机构的非标资产计划定价机制,包括信托计划和保险资产管理公司债权投资计划的定价机制。首先介绍了非标资产风险定价的理论基础,包括财务分析和KMV等主流的信用风险分析方法,对当前国内外相关的研究作了小结。本文着重从实务出发,在非标资产的风险评估方面,详细剖析了两个非标项目实例,从交易结构、项目层面偿债能力、主体偿债能力、增信措施评估等方面分析其风险,并对其定价合理性进行了分析。非标准化债权项目相较于债券,由于流动性较差,无活跃的二级市场,且交易结构更为复杂,因此其定价需要考虑流动性溢价、信用溢价、交易结构溢价等。本文建立了非标项目风险定价的线性回归模型和跨品种利差分析,分析影响非标资产的收益率的各种因素,如信用评级、期限、资金价格等,对非标资产的定价作了实证研究。从结果来看,本文所选取的债项信用评级、偿债期限和无风险利率等因素能有效解释非标资产的定价水平。
[Abstract]:In recent years, due to the rise of the threshold of bank credit, non-standardized creditor's rights project as an alternative financing mode of bank credit has developed rapidly and the scale has been growing. With the development of non-standard assets. The related investment also brings a lot of risks. From the perspective of institutional investors, the risk of non-standard assets is assessed reasonably. And the study of related risk pricing has become an important issue. This paper mainly studies the pricing mechanism of non-standard asset plan of various financial institutions. Firstly, the paper introduces the theoretical basis of non-standard asset risk pricing, including financial analysis and KMV and other mainstream credit risk analysis methods. This paper focuses on the practice of non-standard assets risk assessment, detailed analysis of two non-standard project examples, from the transaction structure, project level solvency. This paper analyzes the risk of debt repayment ability and credit enhancement measures, and analyzes the rationality of pricing. Compared with bonds, the non-standardized creditor's rights project has no active secondary market because of its poor liquidity. The transaction structure is more complex, so the pricing needs to consider liquidity premium, credit premium, transaction structure premium, etc. In this paper, a non-standard project risk pricing linear regression model and cross-variety interest rate analysis. This paper analyzes the factors that affect the return rate of non-standard assets, such as credit rating, term, capital price, etc., and makes an empirical study on the pricing of non-standard assets. From the results, this paper selects the credit rating of debt. Factors such as maturity and risk-free interest rate can effectively explain the pricing level of non-standard assets.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.4

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