中国银行次级债发行时的“风险定价”与市场约束臆想

发布时间：2018-05-14 19:12

本文选题：次级债 + 市场约束　；参考：《金融研究》2012年05期

【摘要】：本文研究了银行次级债发行时的风险定价与市场约束情形。我们基于银行偿付结构中高级债、次级债、混合资本债和股权的优先清偿顺序,在银行资产价值的随机运动假设下,分别给出了银行对次级债债权人的违约概率、违约损失率、以及次级债风险溢价的测度公式,并基于我国上市银行可观测的股权价值序列估计了其资产价值及其波动性,测度了发债银行在相对违约和绝对违约情形下的风险指标。在控制次级债的债项特征和债项主体特征后,研究了次级债的违约风险与其发行时的实际风险溢价间的关系,发现两者之间存在不显著的负相关关系,表明次级债定价未能适当地对银行违约风险作出显著地逆向反应,其发行时的"风险定价"与市场约束要求不完全一致。为了增强次级债发行时风险定价的敏感性及其市场约束功能,监管当局可要求银行定期和小规模地发行次级债、限制银行同业对次级债的投资与持有、并尝试对发债银行的发行定价进行利率下限约束和上限规制。
[Abstract]:In this paper, we study the risk pricing and market constraints in the issuance of subordinated debt. Based on the priority order of senior debt, subordinated debt, mixed capital debt and equity, we give the probability of default and the rate of loss of default on the assumption of random movement of bank asset value. The paper also estimates the asset value and its volatility based on the observable equity value series of China's listed banks, and measures the risk index of the issuing bank in the case of relative default and absolute default. After controlling the debt characteristics and the subject characteristics of the subordinated debt, the relationship between the default risk of the subordinated debt and the actual risk premium at the time of issue is studied, and it is found that there is no significant negative correlation between the two. It shows that the pricing of subprime debt fails to make a significant reverse response to the default risk of the bank, and the "risk pricing" when issued is not completely consistent with the requirements of market constraints. In order to increase the sensitivity of risk pricing and its market constraint function, regulators may require banks to issue subordinated debt on a regular and small scale, limiting the investment and holding of subordinated debt by banks. It also tries to regulate the lower limit of interest rate and the upper limit of the issue price of the issuing bank.
【作者单位】：复旦大学经济学院;中国人民银行金融研究所;
【基金】：国家自然科学基金(70903012) 教育部人文社会科学研究基金(09YJC790045) 复旦大学金苗项目(09JM030)的资助
【分类号】：F832.51;F832.2;F224

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