中国石化企业债券定价研究

发布时间：2018-12-11 18:48

【摘要】：中国的企业债券市场迄今远未能发挥出应有的功能，在当前的经济金融背景下，研究企业债券的定价机制对促进企业债券市场的发展具有十分重要的理论和现实意义。石化企业的生产周期长、投入大、回收慢，作为资本密集型的国民经济基础行业，石化行业的资金约束是制约其经营发展和战略升级的主要因素之一。2010年5月，中国石油化工股份有限公司成功行了90亿元十年期企业债券、110亿元五年期企业债券。2010年8月，中国石油天然气集团公司成功发行了100亿元十年期企业债券、100亿元五年期企业债券，这是中国石化企业积极拓宽融资渠道、发展多元融资的重要举措，同时也预示着中国石化企业债券市场有望迎来发展的春天。本文在介绍国外企业债券定价理论及方法的基础上，通过对中国石化企业债券发行现状进行分析，直接利用市场数据对中国石化企业债券发行定价问题展开研究，为中国石化企业债券的发行提供理论依据，，从而为中国石化企业融资政策的制定提供参考，这对解决中国石化企业大规模融资面临的紧迫问题具有重要的理论和现实意义。在理论基础部分，本文对企业债券定价问题中的利率期限结构理论、信用价差理论以及现金流贴现方法分别进行了阐述。重点介绍了利率期限结构的模型选择和企业债券信用价差的宏微观影响因素。在实证部分，本文对数据的选取、研究期间的选取、债券类别的选取以及模型的选取都进行了多方面的考虑，以期使研究结果更加准确和具有代表性。实证部分数据的统计分析处理，使用统计分析软件SAS，分析结果足以令人信服。本文使用简约模型中的NSS模型拟合了无风险收益率曲线，并基于所得的无风险收益率曲线对线性利差模型进行了联合拟合估计，在一系列的序列相关检验后，对模型进行了修正，对下一期信用价差进行了预测，然后利用信用利差贴现得到债券理论价格并和实际价格进行对比，所得相对误差处在接受范围内，说明了本研究具有实际应用价值。
[Abstract]:China's corporate bond market has not been able to play its proper function so far. Under the current economic and financial background, it is of great theoretical and practical significance to study the pricing mechanism of enterprise bonds to promote the development of enterprise bond market. Petrochemical enterprises have a long production cycle, large investment and slow recovery. As a capital-intensive basic industry of the national economy, the capital constraint of petrochemical industry is one of the main factors restricting the development and strategic upgrading of petrochemical enterprises. China Petrochemical Co., Ltd. successfully issued 9 billion yuan of 10-year corporate bonds and 11 billion yuan of five-year corporate bonds. In August 2010, the China National Petroleum and Natural Gas Corporation successfully issued 10 billion yuan of 10-year corporate bonds. 10 billion yuan five-year corporate bonds, which is an important measure for Sinopec enterprises to actively broaden financing channels and develop diversified financing, also indicates that the bond market of Chinese petrochemical enterprises is expected to usher in a spring of development. On the basis of introducing the pricing theories and methods of foreign enterprises, this paper analyzes the present situation of bond issuance of Sinopec enterprises, and directly studies the pricing of bonds issued by Sinopec enterprises by using market data. It provides a theoretical basis for the issuance of bonds of Sinopec enterprises, and thus provides a reference for the formulation of financing policies for Sinopec enterprises, which has important theoretical and practical significance in solving the urgent problems faced by large-scale financing of Sinopec enterprises. In the part of theoretical foundation, this paper expounds the theory of term structure of interest rate, the theory of credit spread and the method of discounting cash flow in the problem of corporate bond pricing. This paper mainly introduces the model selection of term structure of interest rate and the macro and micro factors influencing the credit spread of corporate bonds. In the empirical part, the selection of the data, the selection of the research period, the selection of the bond category and the selection of the model are all considered in order to make the research results more accurate and representative. The statistical analysis and processing of the empirical part of the data, the use of statistical analysis software SAS, analysis results are convincing. In this paper, the NSS model is used to fit the risk-free return curve, and based on the risk-free return curve, the linear interest rate model is estimated. After a series of serial correlation tests, The model is modified and the next credit spread is predicted. Then the theoretical price of bond is obtained by discounting the credit spread and compared with the actual price. The relative error is within the accepted range. It shows that this study has practical application value.
【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】：F426.72;F832.51

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