本文關鍵詞：我國短期融資券二級市場定價研究　出處：《華東師范大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 短期融資券 二級市場定價 基準利率 信用利差

【摘要】：自2005年短期融資券問世以來,以短期融資券為代表的銀行間信用債券市場迅速發(fā)展,截至2012年8月,短期融資券共發(fā)行了2806只,累計發(fā)行量為42668.27億元①。短期融資券在促進金融市場的平衡發(fā)展、改善企業(yè)的融資結構、豐富銀行間投資人的投資品種等各方面都作出了較大的貢獻。 隨著短期融資券在國民經濟中的作用愈加重要,國內越來越多的學者對其市場地位、發(fā)展意義、發(fā)行定價等方面進行了深入的研究,但對短期融資券的二級市場定價研究還較為少見。隨著銀行、證券公司、基金、保險等各類型投資機構的參與,短期融資券的二級市場交易也日趨活躍,成交量從2005年的2,523.45億元,到2011年的51,238.67億元,在成為各類機構重要的投資品種的同時,對短期融資券二級市場的定價研究也就顯得更加迫切。 本文通過對短期融資券的概述、并對其發(fā)展背景和發(fā)展意義的闡述,再通過對一級市場和二級市場的介紹厘清短期融資券的發(fā)展脈絡和發(fā)展現(xiàn)狀,為短期融資券的定價研究打下基礎；通過對信用債券定價的理論分析搭建起短期融資券定價的理論框架。在結合短期融資券市場概述和定價的理論框架的基礎上,將短期融資券的定價進行拆分,分別從基準利率和信用利差兩個方面對短期融資券的定價進行分析。在基準利率的選擇方面,本文通過對目前債券市場上較為公認的基準利率做以比較,結合市場現(xiàn)狀,選擇了政策性金融債利率作為其基準利率；而在信用利差的分析中,本文采用了2010年7月到2012年7月兩年間短期融資券二級市場成交利率,對信用評級、發(fā)行主體性質等因素進行量化分析,得出了決定短期融資券二級市場利率的模型。在模型中可以看到,無風險利率與短期融資券利率呈正相關,且相關性較強,同時發(fā)行主體的信用評級、企業(yè)屬性、發(fā)行規(guī)模的系數(shù)均為負值,表明信用等級較高、企業(yè)資質較強、規(guī)模較大的企業(yè)短期融資券的二級市場要求較低的風險溢價。在定量模型的基礎上,本文對2012年8月1日到2012年8月17日上市的短期融資券進行檢驗,檢驗表明預測定價和實際的二級市場估值不存在顯著差異。這表明模型能在實踐中為投資者提供較為可信的定價參考。
[Abstract]:Since the appearance of short-term financing bonds in 2005, the interbank credit bond market, represented by short-term financing bonds, has developed rapidly. As of August 2012, 2806 short term financing bonds have been issued. The accumulative issuance amount is four tillion two hundred and sixty-six billion eight hundred and twenty-six million nine hundred and ninety-nine thousand and nine hundred and ninety-nine yuan 1.Short-term financing bills promote the balanced development of the financial market and improve the financing structure of enterprises. Rich inter-bank investor's investment variety and other aspects have made great contributions. With the increasingly important role of short-term financing bills in the national economy, more and more domestic scholars have carried out in-depth research on its market position, significance of development, issue pricing and so on. With the participation of banks, securities companies, funds, insurance and other investment institutions, the secondary market trading of short-term financing bonds is also increasingly active. Trading volume from 2005, 2, fifty-two billion three hundred and forty-five million yuan, to 2011 51, twenty-three billion eight hundred and sixty-seven million yuan, in the various types of institutions to become an important investment variety at the same time. It is more urgent to study the pricing of short-term financing bills in the secondary market. In this paper, through the overview of short-term financing bills, and its development background and development significance of the elaboration, and then through the introduction of the primary market and secondary market to clarify the development of short-term financing bills and the development of the current situation. To lay a foundation for the pricing of short-term financing bills; Based on the theoretical analysis of the pricing of credit bonds, the paper sets up the theoretical framework of the pricing of short-term financing bonds. On the basis of the overview of the market and the theoretical framework of pricing, the pricing of short-term financing bonds is split. This paper analyzes the pricing of short-term financing paper from two aspects of benchmark interest rate and credit spreads. In the selection of benchmark interest rate, this paper compares the more recognized benchmark interest rate in the bond market. According to the current situation of the market, the policy-oriented financial bond interest rate is chosen as the benchmark interest rate. In the analysis of credit spreads, this paper uses the two years from July 2010 to July 2012 to analyze the transaction interest rate of short-term financing bonds in the secondary market, quantitative analysis of credit rating, the nature of the main issue and other factors. In the model, we can see that the risk-free interest rate is positively correlated with the short-term financing bond interest rate, and the correlation is strong, at the same time, the credit rating of the issuer. The coefficient of enterprise attribute and issuing scale are all negative, which indicates that the credit grade is higher, the enterprise qualification is stronger, and the secondary market risk premium of the larger enterprise short term financing bond is lower. On the basis of quantitative model. This paper examines the short term financing bills listed from August 1st 2012 to August 17th 2012. The test shows that there is no significant difference between the forecast pricing and the actual secondary market valuation, which indicates that the model can provide reliable pricing reference for investors in practice.
【學位授予單位】：華東師范大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1367088