论文标题:基于信用风险下的可转换债券的定价模型研究
Research on Pricing Model of Convertible Bonds Based on Credit Risk
论文作者
论文导师 陈盛双,论文学位 硕士,论文专业 数量经济学
论文单位 武汉理工大学,点击次数 84,论文页数 72页File Size4035K
2007-10-01论文网 http://www.lw23.com/lunwen_883471807/
Convertible Bonds;; Credit Risk;; Binominal tree model
可转换债券是我国证券市场近年来推出的一种金融创新产品，它已成为我国上市公司一种重要融资工具。正确评估可转换债券的价值对于发行公司合理设计发行条款、投资者理性投资以及可转换债券市场的健康发展都具有十分重要的意义。 可转债的定价方法一直是国内外业内人士关注的重点。定价的高低对可转债的发行人和投资人都有极其重要的意义。对于发行人来说，定价过高会导致可转债无人问津，定价过低则会限制其融资能力。对于投资者来说，正确的定价可以为其带来套利机会。针对可转债定价问题，国外已经有大量的研究，研究工作涉及定价原理，数值算法和实证研究等各个方面。相比而言，由于我国可转债市场这两年的快速发展，导致理论研究与实际发展不能完全同步，因此缺乏系统性和实际操作性。如何从我国的实际出发，找出适合于我国可转债市场的定价机制，有待进一步深入的研究。 本文研究的目的在于，对可转换债券的不同定价模型进行分析，找到适合中国资本市场的定价模型并对其改进，并利用现代数学工具发展一种有效的衍生金融产品定价的数值实验方法，论证该方法的合理性，并结合实证研究对目前市场的可转债价格进行验证。 本文理论研究部分首先引入可转债定价的相关因素的概念，并比较现有的可转债定价模型的异同。然后，通过分析中国证券市场及可转债的特殊性，在考虑了可转债的定价模型的影响因素之后，在此基础上，建立了引入信用风险的二叉树模型。实证研究部分我们选择了比较具有代表性的民生转债作为样本对象，分别利用简单组合法和二叉树法对其一年内价值进行模拟，发现引入了信用风险因素的二叉树模型精度更高，同时发现市场价格与二叉树模型理论值仍然存在一定偏差，造成市场价格被低估或高估的可能有两个方面的原因，一是目前我国可转换债券的流动性差，市场价格发现功能受到制约；二是市场缺乏做空机制，可转换债券的套利策略难以实现，市场价格偏离均衡水平。
Convertible bonds appear in China security market for few years, and which have become an important type of financing instrument. It is of great significance to evaluate convertible bonds for issuing companies designing issuance provisions, investors reasonably investing, and convertible bonds market developing healthily. Professionals always focus on the way of pricing of convertible bonds. It has functions for issuer and investors. For the issuers, no one would buy the convertible bonds whose price are too high, while its ability of financing will limited if the price is too low. For the investors, the right pricing would bring the opportunity of arbitrage, there are lots of researches on the pricing theory, numerical arithmetic and empirical researches. However, because the rapid development of our convertible market in latest two years, the theoretical researches and practice don"t develop in the same step which leads to lacking of systematic and manipulative. We need to do more researches on Chinese convertible bonds market pricing. The purpose of paper is to analyze the different models of convertible bonds and find the suitable model for Chinese capital market. We can make use of modern mathematics implement to pricing the Derive products and prove it is rational or reliability. Another aspect, we discuss the effect and credit risk of convertible bonds, Submit investment suggestion about convertible bonds which are very useful for investors in this paper. At first, the paper introduces relative definitions and compares different pricing models and then analyzes the particularity of market and convertible bonds and the factors that influent the pricing model, so the binominal tree model of credit risk is established. The empirical research chooses the convertible bond of China MinSheng bank as a sample. In addition, the paper studies the bias of the pricing by the two different models. The result shows that the bias of the binominal model is smaller. By calculation, we find that there is a deviation which exists in reality price and the marketing price may be underpricing sometimes. The reasons of the bias include: the low liquidity of convertible bonds, which restricts the price-founding function of the market, and the lack of short-sell, which can not achieve free arbitrages, hence the market prices departure the equilibrium prices.
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