本文關(guān)鍵詞：我國(guó)短期融資券二級(jí)市場(chǎng)定價(jià)研究　出處：《華東師范大學(xué)》2012年碩士論文　論文類(lèi)型：學(xué)位論文

  更多相關(guān)文章： 短期融資券 二級(jí)市場(chǎng)定價(jià) 基準(zhǔn)利率 信用利差

【摘要】：自2005年短期融資券問(wèn)世以來(lái),以短期融資券為代表的銀行間信用債券市場(chǎng)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(jì)發(fā)行量為42668.27億元①。短期融資券在促進(jìn)金融市場(chǎng)的平衡發(fā)展、改善企業(yè)的融資結(jié)構(gòu)、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(xiàn)。 隨著短期融資券在國(guó)民經(jīng)濟(jì)中的作用愈加重要,國(guó)內(nèi)越來(lái)越多的學(xué)者對(duì)其市場(chǎng)地位、發(fā)展意義、發(fā)行定價(jià)等方面進(jìn)行了深入的研究,但對(duì)短期融資券的二級(jí)市場(chǎng)定價(jià)研究還較為少見(jiàn)。隨著銀行、證券公司、基金、保險(xiǎn)等各類(lèi)型投資機(jī)構(gòu)的參與,短期融資券的二級(jí)市場(chǎng)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(lèi)機(jī)構(gòu)重要的投資品種的同時(shí),對(duì)短期融資券二級(jí)市場(chǎng)的定價(jià)研究也就顯得更加迫切。 本文通過(guò)對(duì)短期融資券的概述、并對(duì)其發(fā)展背景和發(fā)展意義的闡述,再通過(guò)對(duì)一級(jí)市場(chǎng)和二級(jí)市場(chǎng)的介紹厘清短期融資券的發(fā)展脈絡(luò)和發(fā)展現(xiàn)狀,為短期融資券的定價(jià)研究打下基礎(chǔ)；通過(guò)對(duì)信用債券定價(jià)的理論分析搭建起短期融資券定價(jià)的理論框架。在結(jié)合短期融資券市場(chǎng)概述和定價(jià)的理論框架的基礎(chǔ)上,將短期融資券的定價(jià)進(jìn)行拆分,分別從基準(zhǔn)利率和信用利差兩個(gè)方面對(duì)短期融資券的定價(jià)進(jìn)行分析。在基準(zhǔn)利率的選擇方面,本文通過(guò)對(duì)目前債券市場(chǎng)上較為公認(rèn)的基準(zhǔn)利率做以比較,結(jié)合市場(chǎng)現(xiàn)狀,選擇了政策性金融債利率作為其基準(zhǔn)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(jí)市場(chǎng)成交利率,對(duì)信用評(píng)級(jí)、發(fā)行主體性質(zhì)等因素進(jìn)行量化分析,得出了決定短期融資券二級(jí)市場(chǎng)利率的模型。在模型中可以看到,無(wú)風(fēng)險(xiǎn)利率與短期融資券利率呈正相關(guān),且相關(guān)性較強(qiáng),同時(shí)發(fā)行主體的信用評(píng)級(jí)、企業(yè)屬性、發(fā)行規(guī)模的系數(shù)均為負(fù)值,表明信用等級(jí)較高、企業(yè)資質(zhì)較強(qiáng)、規(guī)模較大的企業(yè)短期融資券的二級(jí)市場(chǎng)要求較低的風(fēng)險(xiǎn)溢價(jià)。在定量模型的基礎(chǔ)上,本文對(duì)2012年8月1日到2012年8月17日上市的短期融資券進(jìn)行檢驗(yàn),檢驗(yàn)表明預(yù)測(cè)定價(jià)和實(shí)際的二級(jí)市場(chǎng)估值不存在顯著差異。這表明模型能在實(shí)踐中為投資者提供較為可信的定價(jià)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(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前6條

1 周榮芳;美國(guó)商業(yè)票據(jù)市場(chǎng)的實(shí)踐及其啟示[J];南方金融;2005年05期

2 李立民;;當(dāng)前短期融資券的風(fēng)險(xiǎn)分析和對(duì)策研究[J];金融理論與教學(xué);2006年04期

3 高紹福;陳e，

本文編號(hào)：1367088