本文選題：企業(yè)債券　切入點(diǎn)：利率風(fēng)險(xiǎn)　出處：《南京理工大學(xué)》2014年碩士論文

【摘要】：2013年7月20日,金融機(jī)構(gòu)的貸款利率下限管制全面放開(kāi)標(biāo)志著我國(guó)利率市場(chǎng)化改革邁入了一個(gè)新的階段。隨著利率市場(chǎng)化進(jìn)程的加快,研究債券的利率風(fēng)險(xiǎn),對(duì)債券進(jìn)行定價(jià)變得越來(lái)越重要,這對(duì)于債券發(fā)行人和投資者都具有重要的指導(dǎo)意義,有利于投資者們正確地做出投資決策。 本文主要是應(yīng)用久期的方法度量企業(yè)債券的利率風(fēng)險(xiǎn),考慮違約風(fēng)險(xiǎn)對(duì)現(xiàn)金流的影響,在利率期限結(jié)構(gòu)非平行移動(dòng)、考慮稅收效用的情況下建立了企業(yè)債券久期模型,并基于利率風(fēng)險(xiǎn)、違約風(fēng)險(xiǎn)和購(gòu)買力風(fēng)險(xiǎn)應(yīng)用現(xiàn)金流貼現(xiàn)模型對(duì)企業(yè)債券進(jìn)行定價(jià)。選取在上海證券交易所交易的部分國(guó)債、企業(yè)債券和石化行業(yè)的企業(yè)債券應(yīng)用估算擬合和線性回歸的方法進(jìn)行實(shí)證分析。結(jié)果表明：忽視違約風(fēng)險(xiǎn)的存在會(huì)高估企業(yè)債券的利率風(fēng)險(xiǎn),因而考慮違約風(fēng)險(xiǎn)對(duì)現(xiàn)金流的影響是有必要的,可以更加真實(shí)的度量債券的利率風(fēng)險(xiǎn)；對(duì)石化行業(yè)企業(yè)債券A的價(jià)格進(jìn)行實(shí)證分析發(fā)現(xiàn)考慮各個(gè)風(fēng)險(xiǎn)因素后的理論價(jià)格低于市場(chǎng)交易價(jià)格,說(shuō)明債券的價(jià)格被高估了。這些對(duì)于投資者選擇正確的投資策略都具有很好的參考意義。
[Abstract]:On July 20, 2013, the lower limit of loan interest rate regulation of financial institutions fully liberalized marked a new stage in China's interest rate marketization reform. With the acceleration of the interest rate marketization process, the interest rate risk of bonds was studied. The pricing of bonds is becoming more and more important, which is important for both bond issuers and investors to make investment decisions correctly. This paper mainly uses the method of duration to measure the interest rate risk of corporate bonds, considering the influence of default risk on cash flow, and establishes the model of corporate bond duration under the condition of non-parallel shift of interest rate term structure and tax utility. Based on interest rate risk, default risk and purchasing power risk, the discount cash flow model is used to price corporate bonds. The empirical analysis is carried out by using the methods of estimating, fitting and linear regression in corporate bonds and petrochemical industry. The results show that ignoring the default risk will overestimate the interest rate risk of corporate bonds. Therefore, it is necessary to consider the impact of default risk on cash flow, which can more truly measure the interest rate risk of bonds; An empirical analysis of the price of bonds A in petrochemical industry shows that the theoretical price after taking into account various risk factors is lower than the market price. This indicates that the price of bonds is overvalued, which is a good reference for investors to choose the right investment strategy.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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