商业银行次级债券定价模型

本文阐述了当前次级债券的定价模型,并以B-S期权定价模型为基础,根据次级债券的特性量身定做了一类定价模型,对未引入破产成本及引入破产成本两类模型进行了详细阐述,并结合我国工商银行2005年第1期次级债券的发行情况,就前一种模型的实际应用进行了实证研究。结果表明:当前发行的次级债券存在一定程度的高估,即票面利率没有充分反映次级债券实际存在的风险,债券存在一定的隐含担保。

The Pricing Model of Subordinated Debt in Commercial Banks

This paper describes the current international pricing model of sub-debt,based on the Black-Scholes Option Pricing Model,and tailored to the characteristics of sub-debt.It also elaborates on the two types of models: with and without the cost of bankruptcy introduced.The authors take the example of the issuing of the Industrial and Commercial Bank of China's first sub-debt in 2005 to display the practical application of the former model.The study shows there is a certain degree of overestimation about the issuing rate of that sub-debt,In other words,the issuing rate does not fully reflect the actual risks that exist in the sub-debt;the debt has some implied guarantee.