基于债权终止风险的可违约债券定价研究

发布时间：2018-01-13 03:01

本文关键词：基于债权终止风险的可违约债券定价研究　出处：《上海交通大学》2013年博士论文　论文类型：学位论文

【摘要】：随着我国公司债券、商业票据等市场的快速发展，重点研究可违约债券的定价是投资活动实践以及政府管理工作的客观要求，也是现有理论成果发展的需要。可违约债券市场的流动性风险比较突出，然而现有的定价模型却无法有效地体现流动性风险及其与违约风险的相关性对可违约债券定价的影响。本文指出，可违约债券的流动性风险与违约风险具有相同的经济属性，它们都是由事件驱动的风险，可以在“债权终止风险”的框架下统一地表述。债权终止事件是指能够导致可违约债券投资者所享有的债权权利终止的事件，而在债权终止事件发生时会遭受损失的风险就是债权终止风险。债权终止风险包含了违约风险、流动性风险以及二者的风险相关性三方面信息，因此研究可违约债券定价实际上就是研究债权终止风险的定价。对可违约债券定价的研究从两个层面上展开：第一，从总体债权终止风险的层面，研究债权终止风险的度量，并基于此讨论可违约债券的定价；第二，从各分项风险的层面上，分别讨论驱动债权终止风险的三个要素对债券定价的影响，具体包括：投资者行为及其结构、债务人的违约决策信息、风险相关性。从总体债权终止风险的层面上来看，债权终止风险的大小受到违约时间、出售时间的分布，以及违约时间与出售时间的联合分布影响。提高违约风险与流动性风险的相关性有助于提高债权生存概率，也即降低债权终止概率，，从而降低债权终止风险。在此基础上，本文推导了全面包含违约风险、流动性风险以及风险相关性的可违约债券定价模型。可以证明，Duffie和Singleton（1999）模型是本文基于债权终止风险的定价模型在不考虑风险相关性以及投资者行为下的特例。从各分项风险的层面上来看，主要有如下结论：（1）从流动性风险的视角来看，投资者结构的异质性以及投资者的资产配置行为都会对债权终止风险和债券定价产生影响。研究发现同种类型投资者之间的投资策略的差异越小，具有配置需求的资金量占市场比例越高，两个种类投资者之间的投资策略差异越大，则市场流动性越好。投资者的资产配置效应主导了中国公司债券利差的变动，这与国外以信用风险变化主导的模式有所区别。（2）从违约风险的视角来看，债务人的主动违约决策选择会对债权终止风险和债券定价产生影响。债务人从自身的价值最大化角度出发，因避免违约而继续持有公司股票的行为会增进其享有的股东价值，从而在一定环境下会改变其违约决策。以流通期权度量这种价值增值，结果发现在结构化模型中引入流通期权后，新的模型更加稳定，适应噪音信息的能力也更强。（3）从风险相关性的角度来看，数值算例和基于中国公司债券市场数据的实证检验凸显了风险相关性对可违约债券定价的影响。发现相关性增强有助于降低投资者总体上承担的债权终止风险，从而提高债券价格。短期内，下尾相关性增强能更加有效地提高债券价格；长期内，上尾相关性更加有效；中期内，尾部相关性对债券价格的影响并不明显。提出债权终止风险是本文的一大创新，在此基础上分别从两个层面上考虑了可违约债券的定价。与以往的研究相比，基于债权终止风险建立的定价模型适用范围更广，运算更加灵活。并且充分地考虑了投资者结构及其行为、债务人的违约决策、流动性与违约风险的相关性对可违约债券定价的影响，是对以往研究的发展。
[Abstract]:With the rapid development of China ' s corporate bonds , commercial paper and other markets , it is important to study the pricing of non - default bonds as the objective requirement of the practice of investment activities and the objective requirements of government management . This paper points out that the liquidity risk of non - default bonds has the same economic attribute as the risk of default , which are the risk of event - driven , which can be expressed in a unified manner under the framework of " risk termination risk " . The risk of debt termination refers to the risk of termination of creditor ' s rights which can lead to the termination of creditor ' s rights . The risk of termination of creditor ' s rights includes the risk of default , liquidity risk and the risk - dependence of both . Therefore , the pricing of default bond pricing is actually the pricing of debt termination risk . First , from the perspective of total creditor ' s debt termination risk , we study the measure of debt termination risk , and discuss the influence of three factors driving debt termination risk on bond pricing , including investor behavior and its structure , debtor ' s default decision - making information and risk correlation . From the perspective of total debt termination risk , the risk of debt termination is influenced by the time of default , distribution of sale time , and the joint distribution of default time and selling time . From the perspective of each sub - item risk , it is mainly as follows : ( 1 ) From the perspective of liquidity risk , the heterogeneity of investor ' s structure and the investor ' s asset allocation will have an impact on debt termination risk and bond pricing . ( 2 ) From the perspective of the risk of default , the choice of the debtor ' s active default decision will affect the debt termination risk and the bond pricing . ( 3 ) From the point of view of risk correlation , numerical example and empirical test based on Chinese corporate bond market data highlight the impact of risk correlation on the pricing of non - default bond . This paper puts forward that the risk of debt termination is a great innovation in this paper . On this basis , the pricing of non - default bonds is considered from two levels . Compared with previous studies , the pricing model established based on the risk termination risk is wider and the operation is more flexible .

【学位授予单位】：上海交通大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51;F224

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