中国能源类企业债券定价研究

发布时间：2018-01-01 03:23

本文关键词：中国能源类企业债券定价研究　出处：《中国地质大学（北京）》2014年硕士论文　论文类型：学位论文

【摘要】：债券定价研究的关键是确定债券收益率与同一到期日的无风险债券之间的利率差，也就是信用价差。无风险债券常由具有最高信用级别的国债来表示，信用价差的产生即是为了补偿企业债券相对国债的信用风险的额外收益。由于我国企业债券市场发展时间较短，市场成熟度低，债券定价和信用价差方面的研究多是以西方学者对国外成熟债券市场金融产品的定价模型为参考，没有结合国内市场形势。而信用价差是各类债券及相关衍生品定价的基础，随着我国企业债券市场的发展与成熟，信用价差研究的现实意义会进一步凸显出来。在理论基础部分，本文对比了国内外常用的金融产品定价模型。从违约是否可具有预测性出发，可分为结构模型和简约模型。结构模型认为违约是可以预测的。简约模型的前提是违约事件是不可预测的。由于中国债券市场发展时间限制以及市场规模有限，市场数据较为缺乏，如违约率、回收率以及评级缺陷，所以采用简约模型作为研究定价的理论基础有一定的操作性和可行性。在实证部分,本文考虑到国内债券市场存在流动性低下等系统性缺陷，在NSS模型条件下拟合国债利率期限结构曲线和能源类行业的企业债信用价差期限结构曲线。在此基础上，，对三个行业，石化、电力和煤炭的企业债信用价差的影响因素进行多元回归模型建立。随后，根据拟合得到的信用价差曲线和回归模型变量样本，对模型中的因变量和自变量进行脉冲检验，确保变量的有效性。在最后的定价模型建立部分，依据简化定价模型和簿记建档的发行模式进行企业债定价模型的确定。本文结合国内债券市场发展情况对实证结果进行分析，指出中国的债券市场还不完善、企业债券发行未完全实现市场化、新债上市时常常受到市场的追捧而导致价格偏高的情况存在，导致债券价格与价值的偏离。
[Abstract]:The key is to determine the pricing of bonds between risk-free bond yields on bonds with the same maturity of the interest rate differential is credit spreads. The risk-free bonds usually have the highest credit rating of the bonds that credit spreads have extra income is to compensate for the credit risk of corporate bonds relative to bonds.
The time of the development of corporate bond market in China is relatively short, the market maturity is low, research on bond pricing and credit spreads on more than is the western scholars on the foreign mature bond market financial products pricing model for reference, not with the domestic market situation. And the credit spread is the basis of all kinds of bonds and derivatives pricing, along with the development of China's corporate bond market and mature and practical significance of the research of credit spreads will be further highlighted.
In the theory part, this paper compares the commonly used at home and abroad financial product pricing model. From the default is predictive of view, can be divided into structure model and simple model. The structure model that defaults can be predicted. A simple model of the premise is an event of default is unpredictable. Due to the development of the bond market China time limit and the limited size of the market, the market is the lack of data, such as the default rate, recovery rate and rating defects, so the use of simple model as the theoretical basis for the study of pricing has certain feasibility and operability.
In the empirical part, considering the existence of defects in the domestic bond market liquidity conditions in the low system, NSS model structure curve fitting term and energy industry credit spread term structure curve. On the basis of three petrochemical industry, electricity and coal, factors affecting the credit spreads of corporate bonds the multivariate regression model is established. Then, according to the credit spread curve fitting and regression model variables in the model, the variables of pulse test, ensure the effectiveness of variables. In the part of the establishment of pricing model, determine the corporate bond pricing model based on the simplified pricing model and bookbuilding issue model.
In this paper, combined with the development of the domestic bond market to analyze the empirical results, pointed out that the China bond market is not perfect, not corporate bond issuance to the market, the new debt listed are often sought after by the market and leading to the existence of high prices, lead to deviations from the bond prices and 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】：2014
【分类号】：F426.2;F832.51

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