基于KMV模型的公司债券定价研究

发布时间：2018-07-26 07:58

【摘要】：随着我国金融市场稳步发展，公司债券的发行数量和规模均大幅增加，因此如何为公司债券合理定价并准确度量公司的违约风险成为国家监管部门和投资者日益关注的问题，该方面的研究对于我国金融市场的安全具有重要意义。本文在前人研究的基础上，，利用KMV模型对公司债券进行定价研究，这在国内尚处于空白，并且国内基于KMV模型的信用风险度量主要是集中于单资产，很少涉及基于KMV模型的多资产联合违约概率的研究，因此本文将Copula理论和KMV模型相结合，研究了基于KMV模型的多资产联合违约概率，尽管国内也有学者将KMV模型和Copula理论相结合，但是他们没有就两者结合建模的合理性给出理论证明，本文通过严谨的数学证明后，得到了与其他学者不同的结论。为使得KMV模型更加适合中国市场，本文运用久期的思想计算公司违约点，同时用迭代的方法估计模型的内生参数，通过选取2010年我国上市公司股票和财务数据作为研究样本，通过实证研究发现，经过修正的KMV模型能准确的反映我国企业的预期违约概率，并且可以在一定程度上反映中国证券市场公司债券收益率，同时Copula函数能更加准确的反映公司联合违约概率，这些结论使得本文具备一定的应用价值。
[Abstract]:With the steady development of China's financial market, the number and scale of corporate bond issuance have increased significantly. Therefore, how to price the corporate bonds reasonably and accurately measure the default risk of the company has become a growing concern of national regulators and investors. The research on this aspect is of great significance to the security of our financial market. On the basis of previous studies, this paper uses KMV model to study the pricing of corporate bonds, which is still blank in China, and the domestic credit risk measurement based on KMV model is mainly focused on single asset. Therefore, this paper combines Copula theory with KMV model to study the multi-asset joint default probability based on KMV model. Although some domestic scholars combine the KMV model with the Copula theory, they have not given the theoretical proof on the rationality of the combination of the two models. After rigorous mathematical proof, this paper draws a different conclusion from other scholars. In order to make the KMV model more suitable for the Chinese market, this paper uses the idea of duration to calculate the default point of the company, estimates the endogenous parameters of the model by iterative method, and selects the stock and financial data of China's listed companies in 2010 as the research samples. Through the empirical study, it is found that the modified KMV model can accurately reflect the expected default probability of Chinese enterprises, and to some extent, can reflect the corporate bond yield in China's securities market. At the same time, the Copula function can reflect the probability of joint default more accurately.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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