不同信用利差模式下可转债定价效率的研究

发布时间：2018-02-26 00:22

本文关键词： 可转债定价信用利差实证分析定价效率　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：可转换债券作为一种混合创新型金融工具,它已成为一种兼具债权和股权特性的重要投融资工具,但其含权的特性使得其定价较一般债券更加复杂,可转债的合理定价对于发行公司正确制定可转债的条款以降低融资成本,投资者优化投资策略乃至整个债券市场的发展都有重要的意义。在这种现实的背景下,本文着眼于中国可转债市场的现实发展环境,对不同信用利差下的可转债进行定价研究,以期探讨适合我国可转债定价的模型。本文首先阐述了可转债的定义和概念,从股权性、债权性和期权性三个方面对可转债的各个要素进行介绍。接着系统地介绍了可转债的传统定价方法,包括Black-Scholes模型、二叉树定价模型和蒙特卡罗模拟方法,在借鉴这些传统定价模型的基础上,探讨了基于公司价值和无风险利率的可转债双因素定价模型,并在分析上市公司信用风险的基础上,推导出了上市公司的信用利差。结合信用利差和KMV定价模型,推导出了动态信用利差下的可转债定价模型。本文选取民生银行可转换债券(简称“民生转债”)、国电电力可转换债券(简称“国电转债”)、宁波海运可转换债券(简称“海运转债”)、中国石化可转换债券(简称“石化转债”)、泰尔重工可转换债券(简称“泰尔转债”)、工行商银行可转换债券(简称“工行转债”)、中国银行可转换债券(简称“中行转债”)、博汇纸业可转换债券(简称“博汇转债”)和中鼎股份可转换债券(简称“中鼎转债”)九只可转债作为定价的样本,用Matlab对这九只可转债进行实证分析,并通过比较不同信用利差下的可转债定价模型得出的理论价格与其实际价格,得出动态信用利差下可转债定价模型较静态信用利差下的定价模型和无信用风险情况下的定价模型具有更高的定价效率。在一般情况下,静态信用利差下的可转债定价效率也高于无信用风险情况下的可转债定价效率。
[Abstract]:As a mixed and innovative financial instrument, convertible bond has become an important investment and financing tool with the characteristics of both creditor's rights and equity, but its rights characteristics make its pricing more complicated than that of ordinary bonds. Reasonable pricing of convertible bonds is of great significance for issuing companies to correctly formulate the terms of convertible bonds in order to reduce financing costs, and for investors to optimize investment strategies and even the development of the whole bond market. This paper focuses on the real development environment of China's convertible bond market, and studies the pricing of convertible bonds under different credit spreads in order to explore a model suitable for China's convertible bond pricing. Firstly, this paper expounds the definition and concept of convertible bonds. This paper introduces the elements of convertible bonds from three aspects: equity, creditor's rights and options. Then, it systematically introduces the traditional pricing methods of convertible bonds, including Black-Scholes model, binomial tree pricing model and Monte Carlo simulation method. Based on these traditional pricing models, this paper discusses the dual-factor pricing model of convertible bonds based on corporate value and risk-free interest rate, and analyzes the credit risk of listed companies. The credit spread of listed companies is derived, which combines credit spread with KMV pricing model. The pricing model of convertible bonds under dynamic credit spreads is derived in this paper. In this paper, the convertible bonds of Minsheng Bank (referred to as "people's livelihood conversion bonds"), the convertible bonds of National Power Power Company (referred to as "national power conversion bonds"), and Ningbo Marine convertible bonds (Ningbo Marine Convertible Bonds) are selected in this paper (. Abbreviated as "marine convertible bonds", Sinopec convertible bonds (abbreviated as "petrochemical convertible bonds", Taier heavy industry convertible bonds, ICBC commercial bank convertible bonds, bank of china convertible bonds, bank of china convertible bonds. Nine convertible bonds (referred to as "Bank of China" convertible bonds, Bohui paper convertible bonds ("Bohui convertible bonds") and Zhongding shares convertible bonds ("Zhongding convertible bonds") are used as samples for pricing. The empirical analysis of the nine convertible bonds is carried out with Matlab, and the theoretical price and the actual price of the convertible bonds under different credit spreads are compared. It is concluded that the pricing model of convertible bonds under dynamic credit spreads has higher pricing efficiency than that under static credit spreads and without credit risk. The pricing efficiency of convertible bonds under static credit spreads is also higher than that of convertible bonds without credit risk.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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