本文關(guān)鍵詞：中小企業(yè)集合債券優(yōu)勢分析及定價研究　出處：《西南財經(jīng)大學》2013年碩士論文　論文類型：學位論文

  更多相關(guān)文章： 中小企業(yè)集合債券 逆向選擇 信用增級 可回售條款

【摘要】：中小企業(yè)集合債券是我國中小企業(yè)融資而推出的創(chuàng)新金融產(chǎn)品,因其特有的優(yōu)越性而受到中小企業(yè)以及監(jiān)管層的親睞,近年來很多學者對中小企業(yè)集合債券進行了不同程度的研究。本文從中小企業(yè)融資理論研究出發(fā),概述國內(nèi)中小企業(yè)主要的融資途徑,分析研究中小企業(yè)集合債券的相關(guān)理論；然后對中小企業(yè)集合債券具備的兩個主要優(yōu)勢——節(jié)約信號發(fā)出成本和信用增級功能進行分析；最后給出含有可回售條款中小企業(yè)集合債券的基本定價公式。 逆向選擇是中小企業(yè)融資中普遍存在的問題,對其形成機制少有研究。本文在中小企業(yè)集合債券優(yōu)勢分析部分,就通過Von Neumann-Morgenstern模型分析中小企業(yè)融資過程中逆向選擇的產(chǎn)生機制,并證明了中小企業(yè)進行聯(lián)合發(fā)債可降低單位成本；而在中小企業(yè)集合債券信用增級優(yōu)勢的分析中,與以往學者從“企業(yè)間信譽鏈”的分析角度不同,本文從集合債券自身特點出發(fā),與發(fā)行主體單獨發(fā)債導致違約率相比較,得出集合債券整體違約率大大降低對其進行說明。在中小企業(yè)集合債券定價分析中,將目前市場上集合債券出現(xiàn)的新特征——可回售條款納入定價分析中,并對可回售集合債券條款加以設(shè)定,得到可回售集合債券的基本定價公式。最后以“10中關(guān)村”集合債券為例,利用基本定價公式計算其理論價格,分析發(fā)現(xiàn)假定條件越符合實際,其理論價格與實際市場交易價格越接近。
[Abstract]:SME collective bond is an innovative financial product for SMEs financing in China. It is favored by SMEs and regulators because of its unique advantages. In recent years, many scholars have done some research on SMEs' collective bonds. This paper summarizes the main financing ways of domestic SMEs from the theory of SME financing. Analyze and study the relevant theory of small and medium-sized enterprises' bond collection; Secondly, the paper analyzes the two main advantages of small and medium-sized enterprises' collective bonds, that is, saving the cost of signaling and the function of credit upgrading. At last, the basic pricing formula of SME aggregate bonds with resale clause is given. Reverse selection is a common problem in SME financing. There is little research on its formation mechanism. Von Neumann-Morgenstern model is used to analyze the mechanism of adverse selection in the process of SME financing. It is proved that the joint issuance of bonds by small and medium-sized enterprises can reduce the unit cost. However, in the analysis of credit enhancement advantage of small and medium-sized enterprises, from the perspective of "credit chain among enterprises", this paper starts from the characteristics of aggregate bonds. Compared with the default rate caused by the issuer alone, it is concluded that the overall default rate of the aggregate bond is greatly reduced. The resale clause is a new feature of the aggregate bond in the market, which is included in the pricing analysis, and the terms and conditions of the resale aggregate bond are set. Finally, taking "10 Zhongguancun" ensemble bond as an example, the theoretical price is calculated by using the basic pricing formula, and it is found that the hypothetical conditions are more in line with the reality. The theoretical price is closer to the actual market price.
【學位授予單位】：西南財經(jīng)大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.5;F224

【參考文獻】

相關(guān)期刊論文 前10條

1 周兆生;中小企業(yè)融資的制度分析[J];財經(jīng)問題研究;2003年05期

2 陳李宏;;我國中小企業(yè)債券融資障礙及對策研究[J];湖北社會科學;2008年08期

3 陳暉;單國莉;;中小企業(yè)融資中的逆向選擇和道德風險[J];大學數(shù)學;2006年03期

4 陳曉紅;劉劍;;不同成長階段下中小企業(yè)融資方式選擇研究[J];管理工程學報;2006年01期

5 林毅夫,李永軍;中小金融機構(gòu)發(fā)展與中小企業(yè)融資[J];經(jīng)濟研究;2001年01期

6 陳曉紅;“入世”后我國中小企業(yè)的發(fā)展[J];經(jīng)貿(mào)導刊;2001年11期

7 成兵;;解析中小企業(yè)融資難的成因及對策[J];會計之友;2006年06期

8 何國欽;;基于信譽鏈的中小企業(yè)結(jié)構(gòu)性融資創(chuàng)新[J];上海金融;2009年08期

9 葉中行;白云芬;;約化模型下的公司債券定價[J];山西大學學報(自然科學版);2008年03期

10 任學敏;萬凝;;用約化方法對有第三方擔保的企業(yè)債券定價[J];同濟大學學報(自然科學版);2009年07期

，

本文編號：1387561