中小企业集合债券定价研究

发布时间：2018-05-01 23:41

本文选题：中小企业 + 集合债券　；参考：《西南财经大学》2014年硕士论文

【摘要】：中小企业的稳定健康发展在国民经济发展过程中具有不可替代的作用,但由于中小企业资产规模小,抗风险能力差,其融资成本大融资渠道窄,中小企业面临很大的融资问题,这些因素制约了中小企业的发展。为了能够使中小企业更好的进行融资,让中小企业的债券顺利的发行,就离不开对债券的合理定价。对债券定价的研究方法和模型有很多种,主要有结构法模型、约化法模型和混合法模型。由于中小企业集合债券是中国特有的对中小企业融资方式的创新,其发行市场以及发行制度还有待完善,加上发展时间晚,这些因素都造成对中小企业集合债券定价的研究不是很多。目前,国内对中小企业集合债券定价研究主要通过约化模型,即假定违约强度或者通过信用利差模型来对集合债券进行定价研究,但这些方法都忽略了中小企业价值以及企业价值之间相互关系对集合债券价值的影响。本文借鉴前人研究的成果,从中小企业的价值入手,采用Merton结构模型,对无担保情形下的中小企业集合债券进行定价,并通过PDE方法对模型求解得到债券生存概率,以及债券价值与企业价值之间、企业价值之间相关性的关系；用约化法模型,来对有担保情形下的中小企业集合债券定价模型进行研究,采用CIR利率模型,避免韦萨切克利率模型下利率为负值的情形,最后讨论有无担保情况下对中小企业集合债券价值的影响以及担保费用分析。
[Abstract]:The stable and healthy development of small and medium-sized enterprises plays an irreplaceable role in the process of national economic development. However, because of the small scale of small and medium-sized enterprises' assets, their poor ability to resist risks, and the narrow financing channels of their large financing costs, small and medium-sized enterprises are faced with great financing problems. These factors have restricted the development of small and medium-sized enterprises. In order to make small and medium-sized enterprises better financing, let small and medium-sized enterprises issue bonds smoothly, we can not do without the reasonable pricing of bonds. There are many research methods and models for bond pricing, including structural model, reduction model and hybrid model. Because of the unique innovation of SME financing in China, the issuing market and issuing system of bonds for small and medium-sized enterprises need to be improved, and the development time is late. These factors result in a small and medium-sized enterprise bond pricing is not a lot of research. At present, the domestic research on the pricing of small and medium-sized enterprises aggregate bonds is mainly through the reduction model, that is, assuming default intensity or credit spread model to study the pricing of aggregate bonds. However, these methods all ignore the value of SMEs and the relationship between the value of enterprises on the value of bonds. Based on the results of previous studies, this paper starts with the value of small and medium-sized enterprises, adopts the Merton structure model to price the unsecured bonds of small and medium-sized enterprises, and obtains the survival probability of bonds by solving the model by PDE method. And the relationship between bond value and enterprise value, the relationship between enterprise value and corporate value, the model of reducing method is used to study the pricing model of small and medium-sized enterprises under guaranteed circumstances, and the CIR interest rate model is used to study the relationship between bond value and enterprise value. In order to avoid the negative value of interest rate in the Wesachick interest rate model, this paper discusses the influence of the security on the value of the small and medium-sized enterprise bonds and the analysis of the guarantee cost.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F276.3;F832.51

【参考文献】