本文關(guān)鍵詞：我國(guó)巨災(zāi)風(fēng)險(xiǎn)債券定價(jià)研究　出處：《重慶大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 巨災(zāi)風(fēng)險(xiǎn)管理 巨災(zāi)風(fēng)險(xiǎn)債券定價(jià) 洪水巨災(zāi)風(fēng)險(xiǎn)債券

【摘要】：我國(guó)是各種自然災(zāi)害頻發(fā)且損失嚴(yán)重的國(guó)家。目前，我國(guó)的巨災(zāi)損失補(bǔ)償模式主要限于政府的無(wú)償賑災(zāi)與救濟(jì)，保險(xiǎn)和再保險(xiǎn)業(yè)的承保能力十分有限，，迫切需要新興有效風(fēng)險(xiǎn)轉(zhuǎn)移方式的補(bǔ)充。而自2006年開始，巨災(zāi)風(fēng)險(xiǎn)債券這種新型工具在我國(guó)邁出了實(shí)質(zhì)性的步伐。國(guó)家開發(fā)銀行、中再集團(tuán)聯(lián)合中國(guó)保險(xiǎn)監(jiān)督管理委員會(huì)與瑞士再保險(xiǎn)公司、慕尼黑再保險(xiǎn)公司和英國(guó)勞合社等國(guó)際知名再保險(xiǎn)巨頭合作發(fā)行了基于中國(guó)損失的巨災(zāi)風(fēng)險(xiǎn)債券，以轉(zhuǎn)移風(fēng)險(xiǎn)、融通巨災(zāi)保障資金。在此背景下，對(duì)巨災(zāi)風(fēng)險(xiǎn)債券這種新型工具的理論和實(shí)踐進(jìn)行全面總結(jié)與深入探討具有較強(qiáng)的必要性和現(xiàn)實(shí)性。 近年來(lái)，世界各國(guó)對(duì)巨災(zāi)風(fēng)險(xiǎn)債券這種新型工具的研究發(fā)展很快。美國(guó)和瑞士是開展此項(xiàng)研究較早的國(guó)家，其研究工作比較系統(tǒng)。國(guó)外學(xué)者早期主要是在資產(chǎn)證券化的框架內(nèi)闡釋巨災(zāi)風(fēng)險(xiǎn)債券的經(jīng)濟(jì)學(xué)內(nèi)容，在巨災(zāi)風(fēng)險(xiǎn)債券的需求分析、運(yùn)作模式及定價(jià)方法上都進(jìn)行了廣泛的研究，也逐漸在有關(guān)債券的運(yùn)行模式和定價(jià)機(jī)理等方面形成一些廣受認(rèn)同的理論。尤其在定價(jià)機(jī)理方面，國(guó)外學(xué)者已從多個(gè)不同角度對(duì)巨災(zāi)風(fēng)險(xiǎn)債券的定價(jià)模型與方法進(jìn)行了深入研究。而國(guó)內(nèi)目前對(duì)巨災(zāi)風(fēng)險(xiǎn)債券的研究總體上還處于學(xué)習(xí)、介紹階段。雖然有個(gè)別研究運(yùn)用國(guó)外模型對(duì)中國(guó)巨災(zāi)損失數(shù)據(jù)進(jìn)行模擬，并就中國(guó)發(fā)行巨災(zāi)風(fēng)險(xiǎn)債券的定價(jià)方法和運(yùn)行模式提出了一些建議。但總體而言，國(guó)內(nèi)目前的相關(guān)研究還比較零散，缺乏對(duì)結(jié)論的科學(xué)論證，也較少考慮到國(guó)與國(guó)、地區(qū)與地區(qū)間的差異。 因此，本文將從巨災(zāi)風(fēng)險(xiǎn)債券目前在我國(guó)的發(fā)展現(xiàn)狀入手，分析在我國(guó)發(fā)行巨災(zāi)風(fēng)險(xiǎn)債券的必要性及可行性，并據(jù)此分析現(xiàn)階段情況下我國(guó)發(fā)行巨災(zāi)風(fēng)險(xiǎn)債券所受到的一些制約因素。隨后，本文將分別從巨災(zāi)風(fēng)險(xiǎn)債券在我國(guó)的交易機(jī)制、觸發(fā)機(jī)制、巨災(zāi)損失模型、定價(jià)模型等進(jìn)行全面分析，最終確定使用資本資產(chǎn)定價(jià)模型作為本文洪水巨災(zāi)風(fēng)險(xiǎn)債券的定價(jià)模型。最后，本文通過(guò)收集我國(guó)近年來(lái)洪水巨災(zāi)損失數(shù)據(jù)，并對(duì)巨災(zāi)損失數(shù)據(jù)進(jìn)行分布函數(shù)擬合，隨后以資本資產(chǎn)定價(jià)模型作為該洪水巨災(zāi)風(fēng)險(xiǎn)債券的定價(jià)模型對(duì)我國(guó)洪水巨災(zāi)風(fēng)險(xiǎn)債券的定價(jià)進(jìn)行了實(shí)證研究。
[Abstract]:China is a variety of natural disasters and serious loss of the country. At present, compensation mode of our country is mainly limited to the government free disaster relief and relief, insurance and reinsurance underwriting capacity is very limited, the urgent need of new effective way of risk transfer. And since the beginning of 2006, catastrophe bond has taken this new tool a substantial step in our country. The National Development Bank, another group of United China Insurance Regulatory Commission and the Swiss Reinsurance Company, Munich reinsurance company and the British Lloyd's and other famous international reinsurance giant Cooperation issued China catastrophe risk bond based on loss, risk transfer, financing catastrophe protection funds. Under this background, theory and the practice of this new type of catastrophe risk bond tools and in-depth study is necessary and practical comprehensive summary.
In recent years, the countries all over the world to study the development of catastrophe risk bond this new tool quickly. The United States and Switzerland is to carry out this study earlier, the systematic study of foreign scholars. Early is mainly in the framework of asset securitization in the interpretation of catastrophe bond economics, analysis in catastrophe risk bond demand, operation models and pricing methods have carried out extensive research, has gradually formed some widely accepted theory in the bond operation mode and pricing mechanism. Especially in the pricing mechanism, the foreign scholars have pricing model and method of catastrophe risk bonds from many different angles were studied. At present the domestic research of catastrophe bond is still in the learning stage. Although some of the data on the use of foreign models to simulate China catastrophe losses, Some suggestions on the pricing and operation mode of catastrophe risk bonds issued by China are put forward. But generally speaking, the related researches in China are relatively fragmented, lack of scientific demonstration of conclusions, and few of the differences between countries and regions.
Therefore, this paper will start from the catastrophe risk bonds currently in China's development status, analysis of the issue of catastrophe risk bonds in our country the necessity and feasibility, and analyzes some factors restricting the current situation in China issued by the catastrophe risk bond. Then, this paper respectively from the catastrophe bond in China the trading mechanism, triggering mechanism of catastrophe loss model, a comprehensive analysis of pricing model, and ultimately determine the use of the capital asset pricing model as the pricing model of the flood catastrophe bond. Finally, this paper through the collection of China's flood catastrophe loss data in recent years, and the catastrophe losses data distribution function fitting, then to the capital asset pricing model as the pricing model of the flood catastrophe bond in China Flood catastrophe bond in the empirical study.

【學(xué)位授予單位】：重慶大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F842.64

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