【摘要】：中國的企業(yè)債券市場(chǎng)迄今遠(yuǎn)未能發(fā)揮出應(yīng)有的功能，在當(dāng)前的經(jīng)濟(jì)金融背景下，研究企業(yè)債券的定價(jià)機(jī)制對(duì)促進(jìn)企業(yè)債券市場(chǎng)的發(fā)展具有十分重要的理論和現(xiàn)實(shí)意義。石化企業(yè)的生產(chǎn)周期長(zhǎng)、投入大、回收慢，作為資本密集型的國民經(jīng)濟(jì)基礎(chǔ)行業(yè)，石化行業(yè)的資金約束是制約其經(jīng)營(yíng)發(fā)展和戰(zhàn)略升級(jí)的主要因素之一。2010年5月，中國石油化工股份有限公司成功行了90億元十年期企業(yè)債券、110億元五年期企業(yè)債券。2010年8月，中國石油天然氣集團(tuán)公司成功發(fā)行了100億元十年期企業(yè)債券、100億元五年期企業(yè)債券，這是中國石化企業(yè)積極拓寬融資渠道、發(fā)展多元融資的重要舉措，同時(shí)也預(yù)示著中國石化企業(yè)債券市場(chǎng)有望迎來發(fā)展的春天。 本文在介紹國外企業(yè)債券定價(jià)理論及方法的基礎(chǔ)上，通過對(duì)中國石化企業(yè)債券發(fā)行現(xiàn)狀進(jìn)行分析，直接利用市場(chǎng)數(shù)據(jù)對(duì)中國石化企業(yè)債券發(fā)行定價(jià)問題展開研究，為中國石化企業(yè)債券的發(fā)行提供理論依據(jù)，，從而為中國石化企業(yè)融資政策的制定提供參考，這對(duì)解決中國石化企業(yè)大規(guī)模融資面臨的緊迫問題具有重要的理論和現(xiàn)實(shí)意義。 在理論基礎(chǔ)部分，本文對(duì)企業(yè)債券定價(jià)問題中的利率期限結(jié)構(gòu)理論、信用價(jià)差理論以及現(xiàn)金流貼現(xiàn)方法分別進(jìn)行了闡述。重點(diǎn)介紹了利率期限結(jié)構(gòu)的模型選擇和企業(yè)債券信用價(jià)差的宏微觀影響因素。 在實(shí)證部分，本文對(duì)數(shù)據(jù)的選取、研究期間的選取、債券類別的選取以及模型的選取都進(jìn)行了多方面的考慮，以期使研究結(jié)果更加準(zhǔn)確和具有代表性。實(shí)證部分?jǐn)?shù)據(jù)的統(tǒng)計(jì)分析處理，使用統(tǒng)計(jì)分析軟件SAS，分析結(jié)果足以令人信服。本文使用簡(jiǎn)約模型中的NSS模型擬合了無風(fēng)險(xiǎn)收益率曲線，并基于所得的無風(fēng)險(xiǎn)收益率曲線對(duì)線性利差模型進(jìn)行了聯(lián)合擬合估計(jì)，在一系列的序列相關(guān)檢驗(yàn)后，對(duì)模型進(jìn)行了修正，對(duì)下一期信用價(jià)差進(jìn)行了預(yù)測(cè)，然后利用信用利差貼現(xiàn)得到債券理論價(jià)格并和實(shí)際價(jià)格進(jìn)行對(duì)比，所得相對(duì)誤差處在接受范圍內(nèi)，說明了本研究具有實(shí)際應(yīng)用價(jià)值。
[Abstract]:China's corporate bond market has not been able to play its proper function so far. Under the current economic and financial background, it is of great theoretical and practical significance to study the pricing mechanism of enterprise bonds to promote the development of enterprise bond market. Petrochemical enterprises have a long production cycle, large investment and slow recovery. As a capital-intensive basic industry of the national economy, the capital constraint of petrochemical industry is one of the main factors restricting the development and strategic upgrading of petrochemical enterprises. China Petrochemical Co., Ltd. successfully issued 9 billion yuan of 10-year corporate bonds and 11 billion yuan of five-year corporate bonds. In August 2010, the China National Petroleum and Natural Gas Corporation successfully issued 10 billion yuan of 10-year corporate bonds. 10 billion yuan five-year corporate bonds, which is an important measure for Sinopec enterprises to actively broaden financing channels and develop diversified financing, also indicates that the bond market of Chinese petrochemical enterprises is expected to usher in a spring of development. On the basis of introducing the pricing theories and methods of foreign enterprises, this paper analyzes the present situation of bond issuance of Sinopec enterprises, and directly studies the pricing of bonds issued by Sinopec enterprises by using market data. It provides a theoretical basis for the issuance of bonds of Sinopec enterprises, and thus provides a reference for the formulation of financing policies for Sinopec enterprises, which has important theoretical and practical significance in solving the urgent problems faced by large-scale financing of Sinopec enterprises. In the part of theoretical foundation, this paper expounds the theory of term structure of interest rate, the theory of credit spread and the method of discounting cash flow in the problem of corporate bond pricing. This paper mainly introduces the model selection of term structure of interest rate and the macro and micro factors influencing the credit spread of corporate bonds. In the empirical part, the selection of the data, the selection of the research period, the selection of the bond category and the selection of the model are all considered in order to make the research results more accurate and representative. The statistical analysis and processing of the empirical part of the data, the use of statistical analysis software SAS, analysis results are convincing. In this paper, the NSS model is used to fit the risk-free return curve, and based on the risk-free return curve, the linear interest rate model is estimated. After a series of serial correlation tests, The model is modified and the next credit spread is predicted. Then the theoretical price of bond is obtained by discounting the credit spread and compared with the actual price. The relative error is within the accepted range. It shows that this study has practical application value.
【學(xué)位授予單位】：中國地質(zhì)大學(xué)(北京)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F426.72;F832.51

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