关于企业债券的定价和利率风险的度量

发布时间：2018-03-28 01:10

本文选题：企业债券　切入点：利率风险　出处：《南京理工大学》2014年硕士论文

【摘要】：2013年7月20日,金融机构的贷款利率下限管制全面放开标志着我国利率市场化改革迈入了一个新的阶段。随着利率市场化进程的加快,研究债券的利率风险,对债券进行定价变得越来越重要,这对于债券发行人和投资者都具有重要的指导意义,有利于投资者们正确地做出投资决策。本文主要是应用久期的方法度量企业债券的利率风险,考虑违约风险对现金流的影响,在利率期限结构非平行移动、考虑税收效用的情况下建立了企业债券久期模型,并基于利率风险、违约风险和购买力风险应用现金流贴现模型对企业债券进行定价。选取在上海证券交易所交易的部分国债、企业债券和石化行业的企业债券应用估算拟合和线性回归的方法进行实证分析。结果表明：忽视违约风险的存在会高估企业债券的利率风险,因而考虑违约风险对现金流的影响是有必要的,可以更加真实的度量债券的利率风险；对石化行业企业债券A的价格进行实证分析发现考虑各个风险因素后的理论价格低于市场交易价格,说明债券的价格被高估了。这些对于投资者选择正确的投资策略都具有很好的参考意义。
[Abstract]:On July 20, 2013, the lower limit of loan interest rate regulation of financial institutions fully liberalized marked a new stage in China's interest rate marketization reform. With the acceleration of the interest rate marketization process, the interest rate risk of bonds was studied. The pricing of bonds is becoming more and more important, which is important for both bond issuers and investors to make investment decisions correctly. This paper mainly uses the method of duration to measure the interest rate risk of corporate bonds, considering the influence of default risk on cash flow, and establishes the model of corporate bond duration under the condition of non-parallel shift of interest rate term structure and tax utility. Based on interest rate risk, default risk and purchasing power risk, the discount cash flow model is used to price corporate bonds. The empirical analysis is carried out by using the methods of estimating, fitting and linear regression in corporate bonds and petrochemical industry. The results show that ignoring the default risk will overestimate the interest rate risk of corporate bonds. Therefore, it is necessary to consider the impact of default risk on cash flow, which can more truly measure the interest rate risk of bonds; An empirical analysis of the price of bonds A in petrochemical industry shows that the theoretical price after taking into account various risk factors is lower than the market price. This indicates that the price of bonds is overvalued, which is a good reference for investors to choose the right investment strategy.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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