中小企业集合债券优势分析及定价研究

发布时间：2018-01-06 11:02

本文关键词：中小企业集合债券优势分析及定价研究　出处：《西南财经大学》2013年硕士论文　论文类型：学位论文

【摘要】：中小企业集合债券是我国中小企业融资而推出的创新金融产品,因其特有的优越性而受到中小企业以及监管层的亲睐,近年来很多学者对中小企业集合债券进行了不同程度的研究。本文从中小企业融资理论研究出发,概述国内中小企业主要的融资途径,分析研究中小企业集合债券的相关理论；然后对中小企业集合债券具备的两个主要优势——节约信号发出成本和信用增级功能进行分析；最后给出含有可回售条款中小企业集合债券的基本定价公式。逆向选择是中小企业融资中普遍存在的问题,对其形成机制少有研究。本文在中小企业集合债券优势分析部分,就通过Von Neumann-Morgenstern模型分析中小企业融资过程中逆向选择的产生机制,并证明了中小企业进行联合发债可降低单位成本；而在中小企业集合债券信用增级优势的分析中,与以往学者从“企业间信誉链”的分析角度不同,本文从集合债券自身特点出发,与发行主体单独发债导致违约率相比较,得出集合债券整体违约率大大降低对其进行说明。在中小企业集合债券定价分析中,将目前市场上集合债券出现的新特征——可回售条款纳入定价分析中,并对可回售集合债券条款加以设定,得到可回售集合债券的基本定价公式。最后以“10中关村”集合债券为例,利用基本定价公式计算其理论价格,分析发现假定条件越符合实际,其理论价格与实际市场交易价格越接近。
[Abstract]:SME collective bond is an innovative financial product for SMEs financing in China. It is favored by SMEs and regulators because of its unique advantages. In recent years, many scholars have done some research on SMEs' collective bonds. This paper summarizes the main financing ways of domestic SMEs from the theory of SME financing. Analyze and study the relevant theory of small and medium-sized enterprises' bond collection; Secondly, the paper analyzes the two main advantages of small and medium-sized enterprises' collective bonds, that is, saving the cost of signaling and the function of credit upgrading. At last, the basic pricing formula of SME aggregate bonds with resale clause is given. Reverse selection is a common problem in SME financing. There is little research on its formation mechanism. Von Neumann-Morgenstern model is used to analyze the mechanism of adverse selection in the process of SME financing. It is proved that the joint issuance of bonds by small and medium-sized enterprises can reduce the unit cost. However, in the analysis of credit enhancement advantage of small and medium-sized enterprises, from the perspective of "credit chain among enterprises", this paper starts from the characteristics of aggregate bonds. Compared with the default rate caused by the issuer alone, it is concluded that the overall default rate of the aggregate bond is greatly reduced. The resale clause is a new feature of the aggregate bond in the market, which is included in the pricing analysis, and the terms and conditions of the resale aggregate bond are set. Finally, taking "10 Zhongguancun" ensemble bond as an example, the theoretical price is calculated by using the basic pricing formula, and it is found that the hypothetical conditions are more in line with the reality. The theoretical price is closer to the actual market price.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.5;F224

【参考文献】