本文關鍵詞： 可轉(zhuǎn)債定價 信用利差 實證分析 定價效率　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

【摘要】：可轉(zhuǎn)換債券作為一種混合創(chuàng)新型金融工具,它已成為一種兼具債權和股權特性的重要投融資工具,但其含權的特性使得其定價較一般債券更加復雜,可轉(zhuǎn)債的合理定價對于發(fā)行公司正確制定可轉(zhuǎn)債的條款以降低融資成本,投資者優(yōu)化投資策略乃至整個債券市場的發(fā)展都有重要的意義。在這種現(xiàn)實的背景下,本文著眼于中國可轉(zhuǎn)債市場的現(xiàn)實發(fā)展環(huán)境,對不同信用利差下的可轉(zhuǎn)債進行定價研究,以期探討適合我國可轉(zhuǎn)債定價的模型。本文首先闡述了可轉(zhuǎn)債的定義和概念,從股權性、債權性和期權性三個方面對可轉(zhuǎn)債的各個要素進行介紹。接著系統(tǒng)地介紹了可轉(zhuǎn)債的傳統(tǒng)定價方法,包括Black-Scholes模型、二叉樹定價模型和蒙特卡羅模擬方法,在借鑒這些傳統(tǒng)定價模型的基礎上,探討了基于公司價值和無風險利率的可轉(zhuǎn)債雙因素定價模型,并在分析上市公司信用風險的基礎上,推導出了上市公司的信用利差。結合信用利差和KMV定價模型,推導出了動態(tài)信用利差下的可轉(zhuǎn)債定價模型。本文選取民生銀行可轉(zhuǎn)換債券(簡稱“民生轉(zhuǎn)債”)、國電電力可轉(zhuǎn)換債券(簡稱“國電轉(zhuǎn)債”)、寧波海運可轉(zhuǎn)換債券(簡稱“海運轉(zhuǎn)債”)、中國石化可轉(zhuǎn)換債券(簡稱“石化轉(zhuǎn)債”)、泰爾重工可轉(zhuǎn)換債券(簡稱“泰爾轉(zhuǎn)債”)、工行商銀行可轉(zhuǎn)換債券(簡稱“工行轉(zhuǎn)債”)、中國銀行可轉(zhuǎn)換債券(簡稱“中行轉(zhuǎn)債”)、博匯紙業(yè)可轉(zhuǎn)換債券(簡稱“博匯轉(zhuǎn)債”)和中鼎股份可轉(zhuǎn)換債券(簡稱“中鼎轉(zhuǎn)債”)九只可轉(zhuǎn)債作為定價的樣本,用Matlab對這九只可轉(zhuǎn)債進行實證分析,并通過比較不同信用利差下的可轉(zhuǎn)債定價模型得出的理論價格與其實際價格,得出動態(tài)信用利差下可轉(zhuǎn)債定價模型較靜態(tài)信用利差下的定價模型和無信用風險情況下的定價模型具有更高的定價效率。在一般情況下,靜態(tài)信用利差下的可轉(zhuǎn)債定價效率也高于無信用風險情況下的可轉(zhuǎn)債定價效率。
[Abstract]:As a mixed and innovative financial instrument, convertible bond has become an important investment and financing tool with the characteristics of both creditor's rights and equity, but its rights characteristics make its pricing more complicated than that of ordinary bonds. Reasonable pricing of convertible bonds is of great significance for issuing companies to correctly formulate the terms of convertible bonds in order to reduce financing costs, and for investors to optimize investment strategies and even the development of the whole bond market. This paper focuses on the real development environment of China's convertible bond market, and studies the pricing of convertible bonds under different credit spreads in order to explore a model suitable for China's convertible bond pricing. Firstly, this paper expounds the definition and concept of convertible bonds. This paper introduces the elements of convertible bonds from three aspects: equity, creditor's rights and options. Then, it systematically introduces the traditional pricing methods of convertible bonds, including Black-Scholes model, binomial tree pricing model and Monte Carlo simulation method. Based on these traditional pricing models, this paper discusses the dual-factor pricing model of convertible bonds based on corporate value and risk-free interest rate, and analyzes the credit risk of listed companies. The credit spread of listed companies is derived, which combines credit spread with KMV pricing model. The pricing model of convertible bonds under dynamic credit spreads is derived in this paper. In this paper, the convertible bonds of Minsheng Bank (referred to as "people's livelihood conversion bonds"), the convertible bonds of National Power Power Company (referred to as "national power conversion bonds"), and Ningbo Marine convertible bonds (Ningbo Marine Convertible Bonds) are selected in this paper (. Abbreviated as "marine convertible bonds", Sinopec convertible bonds (abbreviated as "petrochemical convertible bonds", Taier heavy industry convertible bonds, ICBC commercial bank convertible bonds, bank of china convertible bonds, bank of china convertible bonds. Nine convertible bonds (referred to as "Bank of China" convertible bonds, Bohui paper convertible bonds ("Bohui convertible bonds") and Zhongding shares convertible bonds ("Zhongding convertible bonds") are used as samples for pricing. The empirical analysis of the nine convertible bonds is carried out with Matlab, and the theoretical price and the actual price of the convertible bonds under different credit spreads are compared. It is concluded that the pricing model of convertible bonds under dynamic credit spreads has higher pricing efficiency than that under static credit spreads and without credit risk. The pricing efficiency of convertible bonds under static credit spreads is also higher than that of convertible bonds without credit risk.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：1535771