发行者视角下保函支持商业票据定价研究

发布时间：2018-11-08 06:39

【摘要】：在商业票据职能和资产支持商业票据融资潜在风险基础上,提出保函支持商业票据发行融资方式。考虑保函支持商业票据发行的客观基础和主观动因,通过分析发行过程中各参与者之间利润分配确定发行者收益函数。进一步利用累积前景理论,引入价值函数和决策权重函数构建发行者的效用函数,得出发行者效用最大化的保函支持商业票据最优定价及最优定价约束条件。最后,结合部分参数的现实取值,对定价与所选取的自变量之间的关系进行仿真。结果表明,在既定的参照点和基础收益函数结构下,发行者效用最大化条件下的最优定价与主体风险属性和市场随机干扰无关,发行者表现出风险中性特征;最优定价和最优发行规模在不同凹凸性的支配下,均随着分享系数的增加而单调递增。
[Abstract]:Based on the function of commercial paper and the potential risk of commercial paper financing, the paper puts forward a guarantee to support commercial paper financing. Considering the objective basis and subjective motivation of supporting the issuance of commercial paper, the profit distribution among the participants is analyzed to determine the income function of the issuer. Furthermore, the utility function of the issuer is constructed by introducing the value function and the decision weight function by using the cumulative foreground theory, and the optimal pricing constraints of the issuer are obtained by using the guarantee of maximizing the utility of the issuer. Finally, the relationship between the pricing and the selected independent variables is simulated based on the real values of some parameters. The results show that under the established reference point and the basic income function structure, the optimal pricing under the maximization of utility has nothing to do with the risk attribute of the issuer and the random interference of the market, and the issuer has a risk-neutral characteristic. The optimal pricing and the optimal offering size increase monotonously with the increase of the sharing coefficient under the control of different convexity.
【作者单位】：东南大学经济管理学院;
【基金】：国家自然科学基金资助项目(71671037,71371051,71201023) 教育部人文社会科学研究规划基金项目(16YJA630026) 江苏省社会科学基金青年项目(15GLC003)
【分类号】：F832.2

【相似文献】