内蒙古地区企业类债券的联合风险定价研究

发布时间：2018-08-24 09:25

【摘要】：随着金融全球化的进程进一步加大，内蒙古地区债券市场也伴随着《国务院关于进一步促进内蒙古经济社会又好又快发展的若干意见》的出台有了质的飞跃。企业类债券作为债券市场的核心组成，其发展水平直接影响着金融市场的发展，而其定价又是金融市场运行机制中最重要的一环。然而企业类债券的定价涉及到利率风险、信用风险、流动性风险、税收风险等诸多因素，国内现有文献多是单独针对某一风险对债券进行定价，本文试图将企业类债券的主要风险因素纳入到同一体系进行研究。忽略宏观外生变量税收因素，将企业类债券的风险利差区分为两大部分：利率风险引起的期限利差（市场流动性风险引起的流动性利差在期限利差中已有体现）、信用风险引起的信用利差。本文基于利率期限结构模型中静态多项式样条回归模型和信用风险定价模型中的KMV模型对期限风险和信用风险分别进行度量，，然后加以联立，再结合内蒙古地区企业类债券市场的发展现状，得到一个企业类债券的联合风险定价模型，并运用此定价模型在SAS软件编程的支持下，采用2010-2011年度内蒙古地区企业类债券样本信息，通过实证检验完成该地区的企业类债券定价目标。本文实证章节的结论表明，通过本文所构建的联合风险定价模型得出的估计债券价格与市场实际债券价格较为接近，再者两者斜率相似（呈现基本相同的变化趋势），力证了该模型具有较强实践性、操作性和可行性的特征，同时体现了模型在债券定价中考虑了利率风险、流动性风险和信用风险的联合影响。然而，估计价格与市场价格也存在着系统性差异，主要原因为内蒙古地区债券市场不发达，企业类债券的发行并不能完全满足该模型的部分假设条件；此外金融市场发展的不完善造成债券定价不能完全实现市场化，是导致理论价格与实际价格偏离的根本原因。最后，本文的定价模型简略、仍不太成熟，因此日后的研究需加入更多、更关键的因素来完善和改进模型。
[Abstract]:With the further increase of the process of financial globalization, the bond market in Inner Mongolia has made a qualitative leap along with the introduction of the State Council's opinions on further promoting the sound and rapid development of Inner Mongolia's economy and society. As the core component of the bond market, the development level of corporate bonds directly affects the development of financial market, and its pricing is the most important part of the operating mechanism of financial market. However, the pricing of corporate bonds involves many factors, such as interest rate risk, credit risk, liquidity risk, tax risk and so on. This paper attempts to study the main risk factors of corporate bonds in the same system. Ignoring the tax factors of macro exogenous variables, The risk spreads of corporate bonds are divided into two parts: term spreads caused by interest rate risk (liquidity spreads caused by market liquidity risks have been reflected in term spreads) and credit spreads caused by credit risks. Based on the static polynomial spline regression model in the term structure model of interest rate and the KMV model in the credit risk pricing model, this paper measures the term risk and the credit risk separately, and then synchronizes them. Combined with the development of enterprise bond market in Inner Mongolia, a joint risk pricing model of enterprise bond is obtained, and the model is supported by SAS software programming. Based on the sample information of corporate bonds in Inner Mongolia in 2010-2011, the pricing target of corporate bonds in Inner Mongolia is achieved by empirical test. The conclusion of the empirical chapter of this paper shows that the estimated bond price obtained by the joint risk pricing model constructed in this paper is close to the actual bond price in the market. Furthermore, the slope of the two models is similar (showing the same trend of change), which proves that the model has strong characteristics of practicality, maneuverability and feasibility, and at the same time reflects that the model takes interest rate risk into account in bond pricing. The combined effect of liquidity risk and credit risk. However, there is a systematic difference between the estimated price and the market price. The main reason is that the bond market in Inner Mongolia is not developed, and the issuance of corporate bonds can not fully meet some of the hypothetical conditions of the model. In addition, the imperfect development of financial market causes the bond pricing not to be completely market-oriented, which is the fundamental reason for the deviation between the theoretical price and the actual price. Finally, the pricing model of this paper is simple and immature, so more and more key factors should be added to improve the model.
【学位授予单位】：中国地质大学(北京)
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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