中国上市可转债模型构建及其仿真检验研究

发布时间：2017-12-30 20:07

本文关键词：中国上市可转债模型构建及其仿真检验研究　出处：《西北师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：自从1991年，国内有了第一只可转换债券－－琼能源，可转换债券就在中国开始了其辗转发展的历程。从后来2002~2004年再融资的比较来看，可转换债券在再融资中的比重逐步趋于主导地位。股改后第二年，中国可转债市场终于进入了高速发展的阶段。2009年，我国有龙盛转债、博汇转债、王府转债等六支可转债发行上市，总计筹集46.61亿元;2010年，我国有中行转债、工行转债、铜陵转债等六支可转债发行上市，总计筹资694.1亿元，是2009年的14.89倍。2009年底可转债市场余额293.61亿元;2010年底市场余额828.91亿元，是2009年的2.82倍。但是我国可转债融资额在上市公司总筹资额中仅占6.77%，与欧美等发达国家还有很大的差距。另一方面，中国资本市场一直存在着股权融资比例过高、投资品种匮乏、金融创新困难等问题。放眼立足于国际资本市场，可转换债券定价问题涉及到包括投资者行为在内的多种复杂因素，具有显明的不确定性、非线性及非理性特征。因此，紧跟学科发展前沿，借鉴国外可转换债券市场成熟的经验，为促进我国可转换债券市场健康化、国际化发展，开展复杂条件下多因素可转换债券定价理论模型与数值实现技术的研究具有重要的学术意义和广泛的应用前景。本研究大体分为三大步骤：第一步，对于无担保的可转债，明确提出其实质是一份交换期权。并且详尽分析其中的赎回及回售条款所具有巴黎期权和美式期权特性。考虑到转债的标的股票的分红及信用价差，再纳入赎回和回售条款并结合赎回公告期的影响，引入美式交换期权这一工具，采用非线性最小二乘回归和蒙特卡洛模拟集成的方法为其定价。本文选取沪深两市交易活跃的五只可转债进行实证。第二步，依据《破产法（2007）》对清偿顺序的规定，文章将担保分为拥有优先清偿权的债务担保和普通债务担保，并推导出展期下的两类担保定价公式；采用数值积分求得近似解，，并运用二叉树及蒙特卡洛模拟等方法对解的准确性进行检验；对资产负债比、波动率等重要因子相继进行了静态、比较静态以及动态分析。结合实际数据分析并给出了相应的结论。第三步，根据目前国内企业在发行可转债时通常必须有资信良好的机构为其提供担保这一事实，系统研究担保对可转债价值的影响，构造了担保情形下的转债模型。在考察了不同类型的担保对风险溢酬产生影响后，进一步结合常见条款，系统分析在它们的综合作用下可转债价值的变动规律。本文选取三只具有代表性的上市可转债进行实证分析。本文的研究结论表明：美式交换期权模型对可转债价值的预测效果良好，将转债所含的转股权视为一份美式交换期权来处理是合适的；转债风险溢酬同时与其本息面额和期限有关，担保在转债价值的各个部分所起到的作用存在差异。这样，本文由绪论、研究思路与研究方法、三步研究内容、主要结论及政策政策启示等6部分组成。
[Abstract]:Since 1991, the first domestic convertible bond, Hainan energy, convertible bonds in Chinese began its process of development. From the comparison after 2002~2004 years later re financing, convertible bond refinancing in the proportion gradually become dominant position. After the reform of second years, the convertible bond market has finally entered the China a stage of rapid development of.2009, China Longsheng bonds, Bo bonds, convertible bonds and six's convertible bonds listed, raised a total of 4 billion 661 million yuan; in 2010, China ICBC bank convertible bonds, convertible bonds, convertible bonds and Tongling six convertible bonds listed, raised a total of 69 billion 410 million yuan, is 14.89 times of.2009 in 2009 at the end of the convertible bond market amounted to 29 billion 361 million yuan; by the end of 2010 the market balance of 82 billion 891 million yuan, is 2.82 times that of 2009.
But China's convertible bond financing accounted for only 6.77% of the total amount of financing of Listed Companies in Europe and America and other developed countries there is a big gap. On the other hand, Chinese capital market has always been a high proportion of equity financing, lack of investment products, financial innovation in difficulty. Established in the international capital market, convertible bond pricing issues related to investor behaviorincluding a variety of complex factors, with significant uncertainty, nonlinear and non rational characteristics. Therefore, with the advanced development of the subject, referring to foreign convertible bond market mature experience, to promote our health, the convertible bond market internationalization development, to carry out research on multi factors under complex conditions the convertible bond pricing theory model and numerical implementation technology has important academic significance and wide application prospect.
This study is divided into three major steps:
The first step for unsecured convertible bonds, clearly its essence is an exchange option. And a detailed analysis of the redemption and resale of Paris options and American options. Considering the characteristics of dividend and credit spreads of convertible bonds in the underlying stock, then in terms of the redemption and resale and the combined impact of the announcement of redemption the introduction of American exchange option of this tool, using nonlinear least squares regression and Monte Carlo simulation method for pricing the integration. This paper selects the Shanghai and Shenzhen two city actively traded five convertible bonds for empirical research.
The second step, on the basis of "bankruptcy law (2007)" provisions of the liquidation order, this article will be divided into debt guarantee guarantee has priority rights and common debt guarantees, two guarantee pricing formula and derived the exhibition period; the numerical integration to obtain an approximate solution, and using the two fork tree and Monte Carlo simulation method to test the accuracy of the solution; the asset liability ratio, volatility and other important factors have been static, static and dynamic analysis. The practical data analysis and the corresponding conclusions are given.
The third step, according to the current domestic enterprises in the issuance of convertible bonds usually must have good credit guarantee that the system of guarantee effect on the value of convertible bonds, convertible bond model constructed guarantee cases. In the study of the different types of guarantee risk premium effect, further with the common terms, system analysis can change the value of convertible bonds in their comprehensive effect. This thesis selects three representative listed convertible bonds for empirical analysis.
Conclusion this study shows that the American exchange option model to predict the effect of the value of convertible bonds, convertible bonds will contain the conversion right as an American exchange option to handle is appropriate; convertible bond risk premium and interest term denomination and related parts in existing guarantee value of convertible bonds play effect of difference.
In this way, this article is composed of 6 parts: introduction, research ideas and research methods, three steps of research, main conclusions and policy and policy enlightenment.

【学位授予单位】：西北师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】