本文關(guān)鍵詞：中國(guó)上市可轉(zhuǎn)債模型構(gòu)建及其仿真檢驗(yàn)研究　出處：《西北師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)債 擔(dān)保 信用風(fēng)險(xiǎn)溢酬率 最小二乘蒙特卡洛算法

【摘要】：自從1991年，國(guó)內(nèi)有了第一只可轉(zhuǎn)換債券－－瓊能源，可轉(zhuǎn)換債券就在中國(guó)開始了其輾轉(zhuǎn)發(fā)展的歷程。從后來2002~2004年再融資的比較來看，可轉(zhuǎn)換債券在再融資中的比重逐步趨于主導(dǎo)地位。股改后第二年，中國(guó)可轉(zhuǎn)債市場(chǎng)終于進(jìn)入了高速發(fā)展的階段。2009年，我國(guó)有龍盛轉(zhuǎn)債、博匯轉(zhuǎn)債、王府轉(zhuǎn)債等六支可轉(zhuǎn)債發(fā)行上市，總計(jì)籌集46.61億元;2010年，我國(guó)有中行轉(zhuǎn)債、工行轉(zhuǎn)債、銅陵轉(zhuǎn)債等六支可轉(zhuǎn)債發(fā)行上市，總計(jì)籌資694.1億元，是2009年的14.89倍。2009年底可轉(zhuǎn)債市場(chǎng)余額293.61億元;2010年底市場(chǎng)余額828.91億元，是2009年的2.82倍。 但是我國(guó)可轉(zhuǎn)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(dá)國(guó)家還有很大的差距。另一方面，中國(guó)資本市場(chǎng)一直存在著股權(quán)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(guó)際資本市場(chǎng)，可轉(zhuǎn)換債券定價(jià)問題涉及到包括投資者行為在內(nèi)的多種復(fù)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(xué)科發(fā)展前沿，借鑒國(guó)外可轉(zhuǎn)換債券市場(chǎng)成熟的經(jīng)驗(yàn)，為促進(jìn)我國(guó)可轉(zhuǎn)換債券市場(chǎng)健康化、國(guó)際化發(fā)展，開展復(fù)雜條件下多因素可轉(zhuǎn)換債券定價(jià)理論模型與數(shù)值實(shí)現(xiàn)技術(shù)的研究具有重要的學(xué)術(shù)意義和廣泛的應(yīng)用前景。 本研究大體分為三大步驟： 第一步，對(duì)于無擔(dān)保的可轉(zhuǎn)債，明確提出其實(shí)質(zhì)是一份交換期權(quán)。并且詳盡分析其中的贖回及回售條款所具有巴黎期權(quán)和美式期權(quán)特性。考慮到轉(zhuǎn)債的標(biāo)的股票的分紅及信用價(jià)差，再納入贖回和回售條款并結(jié)合贖回公告期的影響，引入美式交換期權(quán)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(jià)。本文選取滬深兩市交易活躍的五只可轉(zhuǎn)債進(jìn)行實(shí)證。 第二步，依據(jù)《破產(chǎn)法（2007）》對(duì)清償順序的規(guī)定，文章將擔(dān)保分為擁有優(yōu)先清償權(quán)的債務(wù)擔(dān)保和普通債務(wù)擔(dān)保，并推導(dǎo)出展期下的兩類擔(dān)保定價(jià)公式；采用數(shù)值積分求得近似解，，并運(yùn)用二叉樹及蒙特卡洛模擬等方法對(duì)解的準(zhǔn)確性進(jìn)行檢驗(yàn)；對(duì)資產(chǎn)負(fù)債比、波動(dòng)率等重要因子相繼進(jìn)行了靜態(tài)、比較靜態(tài)以及動(dòng)態(tài)分析。結(jié)合實(shí)際數(shù)據(jù)分析并給出了相應(yīng)的結(jié)論。 第三步，根據(jù)目前國(guó)內(nèi)企業(yè)在發(fā)行可轉(zhuǎn)債時(shí)通常必須有資信良好的機(jī)構(gòu)為其提供擔(dān)保這一事實(shí)，系統(tǒng)研究擔(dān)保對(duì)可轉(zhuǎn)債價(jià)值的影響，構(gòu)造了擔(dān)保情形下的轉(zhuǎn)債模型。在考察了不同類型的擔(dān)保對(duì)風(fēng)險(xiǎn)溢酬產(chǎn)生影響后，進(jìn)一步結(jié)合常見條款，系統(tǒng)分析在它們的綜合作用下可轉(zhuǎn)債價(jià)值的變動(dòng)規(guī)律。本文選取三只具有代表性的上市可轉(zhuǎn)債進(jìn)行實(shí)證分析。 本文的研究結(jié)論表明：美式交換期權(quán)模型對(duì)可轉(zhuǎn)債價(jià)值的預(yù)測(cè)效果良好，將轉(zhuǎn)債所含的轉(zhuǎn)股權(quán)視為一份美式交換期權(quán)來處理是合適的；轉(zhuǎn)債風(fēng)險(xiǎn)溢酬同時(shí)與其本息面額和期限有關(guān)，擔(dān)保在轉(zhuǎn)債價(jià)值的各個(gè)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?jī)?nèi)容、主要結(jié)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(xué)位授予單位】：西北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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