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  本文關鍵詞：中國上市可轉債模型構建及其仿真檢驗研究　出處：《西北師范大學》2013年碩士論文　論文類型：學位論文

  更多相關文章： 可轉債 擔保 信用風險溢酬率 最小二乘蒙特卡洛算法

【摘要】：自從1991年，國內有了第一只可轉換債券－－瓊能源，可轉換債券就在中國開始了其輾轉發(fā)展的歷程。從后來2002~2004年再融資的比較來看，可轉換債券在再融資中的比重逐步趨于主導地位。股改后第二年，中國可轉債市場終于進入了高速發(fā)展的階段。2009年，我國有龍盛轉債、博匯轉債、王府轉債等六支可轉債發(fā)行上市，總計籌集46.61億元;2010年，我國有中行轉債、工行轉債、銅陵轉債等六支可轉債發(fā)行上市，總計籌資694.1億元，是2009年的14.89倍。2009年底可轉債市場余額293.61億元;2010年底市場余額828.91億元，是2009年的2.82倍。 但是我國可轉債融資額在上市公司總籌資額中僅占6.77%，與歐美等發(fā)達國家還有很大的差距。另一方面，中國資本市場一直存在著股權融資比例過高、投資品種匱乏、金融創(chuàng)新困難等問題。放眼立足于國際資本市場，可轉換債券定價問題涉及到包括投資者行為在內的多種復雜因素，具有顯明的不確定性、非線性及非理性特征。因此，緊跟學科發(fā)展前沿，借鑒國外可轉換債券市場成熟的經(jīng)驗，為促進我國可轉換債券市場健康化、國際化發(fā)展，開展復雜條件下多因素可轉換債券定價理論模型與數(shù)值實現(xiàn)技術的研究具有重要的學術意義和廣泛的應用前景。 本研究大體分為三大步驟： 第一步，對于無擔保的可轉債，明確提出其實質是一份交換期權。并且詳盡分析其中的贖回及回售條款所具有巴黎期權和美式期權特性�？紤]到轉債的標的股票的分紅及信用價差，再納入贖回和回售條款并結合贖回公告期的影響，引入美式交換期權這一工具，采用非線性最小二乘回歸和蒙特卡洛模擬集成的方法為其定價。本文選取滬深兩市交易活躍的五只可轉債進行實證。 第二步，依據(jù)《破產(chǎn)法（2007）》對清償順序的規(guī)定，文章將擔保分為擁有優(yōu)先清償權的債務擔保和普通債務擔保，并推導出展期下的兩類擔保定價公式；采用數(shù)值積分求得近似解，，并運用二叉樹及蒙特卡洛模擬等方法對解的準確性進行檢驗；對資產(chǎn)負債比、波動率等重要因子相繼進行了靜態(tài)、比較靜態(tài)以及動態(tài)分析。結合實際數(shù)據(jù)分析并給出了相應的結論。 第三步，根據(jù)目前國內企業(yè)在發(fā)行可轉債時通常必須有資信良好的機構為其提供擔保這一事實，系統(tǒng)研究擔保對可轉債價值的影響，構造了擔保情形下的轉債模型。在考察了不同類型的擔保對風險溢酬產(chǎn)生影響后，進一步結合常見條款，系統(tǒng)分析在它們的綜合作用下可轉債價值的變動規(guī)律。本文選取三只具有代表性的上市可轉債進行實證分析。 本文的研究結論表明：美式交換期權模型對可轉債價值的預測效果良好，將轉債所含的轉股權視為一份美式交換期權來處理是合適的；轉債風險溢酬同時與其本息面額和期限有關，擔保在轉債價值的各個部分所起到的作用存在差異。 這樣，本文由緒論、研究思路與研究方法、三步研究內容、主要結論及政策政策啟示等6部分組成。
[Abstract]:Since 1991, the first domestic convertible bond, Hainan energy, convertible bonds in Chinese began its process of development. From the comparison after 2002~2004 years later re financing, convertible bond refinancing in the proportion gradually become dominant position. After the reform of second years, the convertible bond market has finally entered the China a stage of rapid development of.2009, China Longsheng bonds, Bo bonds, convertible bonds and six's convertible bonds listed, raised a total of 4 billion 661 million yuan; in 2010, China ICBC bank convertible bonds, convertible bonds, convertible bonds and Tongling six convertible bonds listed, raised a total of 69 billion 410 million yuan, is 14.89 times of.2009 in 2009 at the end of the convertible bond market amounted to 29 billion 361 million yuan; by the end of 2010 the market balance of 82 billion 891 million yuan, is 2.82 times that of 2009.
But China's convertible bond financing accounted for only 6.77% of the total amount of financing of Listed Companies in Europe and America and other developed countries there is a big gap. On the other hand, Chinese capital market has always been a high proportion of equity financing, lack of investment products, financial innovation in difficulty. Established in the international capital market, convertible bond pricing issues related to investor behaviorincluding a variety of complex factors, with significant uncertainty, nonlinear and non rational characteristics. Therefore, with the advanced development of the subject, referring to foreign convertible bond market mature experience, to promote our health, the convertible bond market internationalization development, to carry out research on multi factors under complex conditions the convertible bond pricing theory model and numerical implementation technology has important academic significance and wide application prospect.
This study is divided into three major steps:
The first step for unsecured convertible bonds, clearly its essence is an exchange option. And a detailed analysis of the redemption and resale of Paris options and American options. Considering the characteristics of dividend and credit spreads of convertible bonds in the underlying stock, then in terms of the redemption and resale and the combined impact of the announcement of redemption the introduction of American exchange option of this tool, using nonlinear least squares regression and Monte Carlo simulation method for pricing the integration. This paper selects the Shanghai and Shenzhen two city actively traded five convertible bonds for empirical research.
The second step, on the basis of "bankruptcy law (2007)" provisions of the liquidation order, this article will be divided into debt guarantee guarantee has priority rights and common debt guarantees, two guarantee pricing formula and derived the exhibition period; the numerical integration to obtain an approximate solution, and using the two fork tree and Monte Carlo simulation method to test the accuracy of the solution; the asset liability ratio, volatility and other important factors have been static, static and dynamic analysis. The practical data analysis and the corresponding conclusions are given.
The third step, according to the current domestic enterprises in the issuance of convertible bonds usually must have good credit guarantee that the system of guarantee effect on the value of convertible bonds, convertible bond model constructed guarantee cases. In the study of the different types of guarantee risk premium effect, further with the common terms, system analysis can change the value of convertible bonds in their comprehensive effect. This thesis selects three representative listed convertible bonds for empirical analysis.
Conclusion this study shows that the American exchange option model to predict the effect of the value of convertible bonds, convertible bonds will contain the conversion right as an American exchange option to handle is appropriate; convertible bond risk premium and interest term denomination and related parts in existing guarantee value of convertible bonds play effect of difference.
In this way, this article is composed of 6 parts: introduction, research ideas and research methods, three steps of research, main conclusions and policy and policy enlightenment.

【學位授予單位】：西北師范大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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本文編號：1356296