本文選題：中小企業(yè) + 集合債券　； 參考：《西南財經(jīng)大學(xué)》2014年碩士論文

【摘要】：中小企業(yè)的穩(wěn)定健康發(fā)展在國民經(jīng)濟(jì)發(fā)展過程中具有不可替代的作用,但由于中小企業(yè)資產(chǎn)規(guī)模小,抗風(fēng)險能力差,其融資成本大融資渠道窄,中小企業(yè)面臨很大的融資問題,這些因素制約了中小企業(yè)的發(fā)展。為了能夠使中小企業(yè)更好的進(jìn)行融資,讓中小企業(yè)的債券順利的發(fā)行,就離不開對債券的合理定價。對債券定價的研究方法和模型有很多種,主要有結(jié)構(gòu)法模型、約化法模型和混合法模型。由于中小企業(yè)集合債券是中國特有的對中小企業(yè)融資方式的創(chuàng)新,其發(fā)行市場以及發(fā)行制度還有待完善,加上發(fā)展時間晚,這些因素都造成對中小企業(yè)集合債券定價的研究不是很多。 目前,國內(nèi)對中小企業(yè)集合債券定價研究主要通過約化模型,即假定違約強(qiáng)度或者通過信用利差模型來對集合債券進(jìn)行定價研究,但這些方法都忽略了中小企業(yè)價值以及企業(yè)價值之間相互關(guān)系對集合債券價值的影響。 本文借鑒前人研究的成果,從中小企業(yè)的價值入手,采用Merton結(jié)構(gòu)模型,對無擔(dān)保情形下的中小企業(yè)集合債券進(jìn)行定價,并通過PDE方法對模型求解得到債券生存概率,以及債券價值與企業(yè)價值之間、企業(yè)價值之間相關(guān)性的關(guān)系；用約化法模型,來對有擔(dān)保情形下的中小企業(yè)集合債券定價模型進(jìn)行研究,采用CIR利率模型,避免韋薩切克利率模型下利率為負(fù)值的情形,最后討論有無擔(dān)保情況下對中小企業(yè)集合債券價值的影響以及擔(dān)保費(fèi)用分析。
[Abstract]:The stable and healthy development of small and medium-sized enterprises plays an irreplaceable role in the process of national economic development. However, because of the small scale of small and medium-sized enterprises' assets, their poor ability to resist risks, and the narrow financing channels of their large financing costs, small and medium-sized enterprises are faced with great financing problems. These factors have restricted the development of small and medium-sized enterprises. In order to make small and medium-sized enterprises better financing, let small and medium-sized enterprises issue bonds smoothly, we can not do without the reasonable pricing of bonds. There are many research methods and models for bond pricing, including structural model, reduction model and hybrid model. Because of the unique innovation of SME financing in China, the issuing market and issuing system of bonds for small and medium-sized enterprises need to be improved, and the development time is late. These factors result in a small and medium-sized enterprise bond pricing is not a lot of research. At present, the domestic research on the pricing of small and medium-sized enterprises aggregate bonds is mainly through the reduction model, that is, assuming default intensity or credit spread model to study the pricing of aggregate bonds. However, these methods all ignore the value of SMEs and the relationship between the value of enterprises on the value of bonds. Based on the results of previous studies, this paper starts with the value of small and medium-sized enterprises, adopts the Merton structure model to price the unsecured bonds of small and medium-sized enterprises, and obtains the survival probability of bonds by solving the model by PDE method. And the relationship between bond value and enterprise value, the relationship between enterprise value and corporate value, the model of reducing method is used to study the pricing model of small and medium-sized enterprises under guaranteed circumstances, and the CIR interest rate model is used to study the relationship between bond value and enterprise value. In order to avoid the negative value of interest rate in the Wesachick interest rate model, this paper discusses the influence of the security on the value of the small and medium-sized enterprise bonds and the analysis of the guarantee cost.
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F276.3;F832.51

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本文編號：1831495