我国短期融资券二级市场定价研究

发布时间：2018-01-02 01:25

本文关键词：我国短期融资券二级市场定价研究　出处：《华东师范大学》2012年硕士论文　论文类型：学位论文

【摘要】：自2005年短期融资券问世以来,以短期融资券为代表的银行间信用债券市场迅速发展,截至2012年8月,短期融资券共发行了2806只,累计发行量为42668.27亿元①。短期融资券在促进金融市场的平衡发展、改善企业的融资结构、丰富银行间投资人的投资品种等各方面都作出了较大的贡献。随着短期融资券在国民经济中的作用愈加重要,国内越来越多的学者对其市场地位、发展意义、发行定价等方面进行了深入的研究,但对短期融资券的二级市场定价研究还较为少见。随着银行、证券公司、基金、保险等各类型投资机构的参与,短期融资券的二级市场交易也日趋活跃,成交量从2005年的2,523.45亿元,到2011年的51,238.67亿元,在成为各类机构重要的投资品种的同时,对短期融资券二级市场的定价研究也就显得更加迫切。本文通过对短期融资券的概述、并对其发展背景和发展意义的阐述,再通过对一级市场和二级市场的介绍厘清短期融资券的发展脉络和发展现状,为短期融资券的定价研究打下基础；通过对信用债券定价的理论分析搭建起短期融资券定价的理论框架。在结合短期融资券市场概述和定价的理论框架的基础上,将短期融资券的定价进行拆分,分别从基准利率和信用利差两个方面对短期融资券的定价进行分析。在基准利率的选择方面,本文通过对目前债券市场上较为公认的基准利率做以比较,结合市场现状,选择了政策性金融债利率作为其基准利率；而在信用利差的分析中,本文采用了2010年7月到2012年7月两年间短期融资券二级市场成交利率,对信用评级、发行主体性质等因素进行量化分析,得出了决定短期融资券二级市场利率的模型。在模型中可以看到,无风险利率与短期融资券利率呈正相关,且相关性较强,同时发行主体的信用评级、企业属性、发行规模的系数均为负值,表明信用等级较高、企业资质较强、规模较大的企业短期融资券的二级市场要求较低的风险溢价。在定量模型的基础上,本文对2012年8月1日到2012年8月17日上市的短期融资券进行检验,检验表明预测定价和实际的二级市场估值不存在显著差异。这表明模型能在实践中为投资者提供较为可信的定价参考。
[Abstract]:Since the appearance of short-term financing bonds in 2005, the interbank credit bond market, represented by short-term financing bonds, has developed rapidly. As of August 2012, 2806 short term financing bonds have been issued. The accumulative issuance amount is four tillion two hundred and sixty-six billion eight hundred and twenty-six million nine hundred and ninety-nine thousand and nine hundred and ninety-nine yuan 1.Short-term financing bills promote the balanced development of the financial market and improve the financing structure of enterprises. Rich inter-bank investor's investment variety and other aspects have made great contributions. With the increasingly important role of short-term financing bills in the national economy, more and more domestic scholars have carried out in-depth research on its market position, significance of development, issue pricing and so on. With the participation of banks, securities companies, funds, insurance and other investment institutions, the secondary market trading of short-term financing bonds is also increasingly active. Trading volume from 2005, 2, fifty-two billion three hundred and forty-five million yuan, to 2011 51, twenty-three billion eight hundred and sixty-seven million yuan, in the various types of institutions to become an important investment variety at the same time. It is more urgent to study the pricing of short-term financing bills in the secondary market. In this paper, through the overview of short-term financing bills, and its development background and development significance of the elaboration, and then through the introduction of the primary market and secondary market to clarify the development of short-term financing bills and the development of the current situation. To lay a foundation for the pricing of short-term financing bills; Based on the theoretical analysis of the pricing of credit bonds, the paper sets up the theoretical framework of the pricing of short-term financing bonds. On the basis of the overview of the market and the theoretical framework of pricing, the pricing of short-term financing bonds is split. This paper analyzes the pricing of short-term financing paper from two aspects of benchmark interest rate and credit spreads. In the selection of benchmark interest rate, this paper compares the more recognized benchmark interest rate in the bond market. According to the current situation of the market, the policy-oriented financial bond interest rate is chosen as the benchmark interest rate. In the analysis of credit spreads, this paper uses the two years from July 2010 to July 2012 to analyze the transaction interest rate of short-term financing bonds in the secondary market, quantitative analysis of credit rating, the nature of the main issue and other factors. In the model, we can see that the risk-free interest rate is positively correlated with the short-term financing bond interest rate, and the correlation is strong, at the same time, the credit rating of the issuer. The coefficient of enterprise attribute and issuing scale are all negative, which indicates that the credit grade is higher, the enterprise qualification is stronger, and the secondary market risk premium of the larger enterprise short term financing bond is lower. On the basis of quantitative model. This paper examines the short term financing bills listed from August 1st 2012 to August 17th 2012. The test shows that there is no significant difference between the forecast pricing and the actual secondary market valuation, which indicates that the model can provide reliable pricing reference for investors in practice.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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