信用风险缓释工具定价研究

通过对信用风险缓释工具定价进行研究得出:(1)CRM定价的主要影响因素包括无风险基准利率,标的债券的风险敞口、违约概率、违约损失率和期限,以及CRM期限等。(2)同期国债利率和央行票据利率作为CRM的基准利率较为恰当,且模型定价对不同期限、不同信用等级的CRM定价区分度较为合理,模型定价与CRM发行交易定价较为接近,适合我国现阶段CRM产品定价。(3)可以从完善CRM定价基础数据库、探索CRM定价无风险基础利率、创新CRM标的债券评级制度、引导CRM市场主体多元化和优化CRM市场做市商制度等方面提出CRM定价优化对策。     

债券评级与发行定价关系研究

在成熟的债券市场,债券评级是债券发行必不可少的条件,也是投资者的投资依据之一,理论上对债券发行利率会产生直接的影响。我国债券市场发展尚不完善,信用评级的有效性也一直面临着诸多质疑。据此,本文重在研究我国债券评级对债券发行利率是否具有显著的影响力,是否具有市场公信力。本文利用计量模型开展实证分析,阐述了债券评级与发行利率在各种不同条件下的关系;对前述分析的过程进行了总结。     

可转债上市首日定价的影响因素分析

对影响上市公司发行的可转换债券上市首日定价的有关因素如上市公司行业背景、公司情况、发行可转换债券的规模、期限、票面利率和利息补偿、初始溢价幅度等因素进行详细的分析；然后结合我国上市公司可转换债券样本，进行相关实证分析。     

债券市场参与者认可董事高管责任保险吗——基于公司债券发行定价的经验证据北大核心

中国债券市场俨然成为全球第二大债券市场,债券有效定价对于激发市场主体活力、促进企业高质量发展具有深远意义。本文基于风险对冲视角,考察董事高管责任保险(简称“董责险”)对公司债券发行定价的影响及其内在作用机理。研究发现,认购董责险能够有效降低债券发行定价,通过工具变量法等控制潜在内生性问题后,结论依然稳健。路径检验表明,认购董责险提高了公司内部控制质量是影响债券发行定价的重要渠道。进一步研究发现,当管理层权力较大、投资者保护较差或财务风险较高时,董责险对债券发行定价的影响更强;认购董责险后,债权人减少了公司治理类企业契约条款的使用,但会设置更多的投融资类和期权类契约条款限制企业风险战略行为,保护自身权益;此外,认购董责险的公司发行债券的信用评级更高、债券期限更长。本文的结论有助于全面了解董责险在公司治理中扮演的角色,对于全面推广董责险具有重要意义,同时为如何提高公司债券信用评级、降低债券发行定价提供了经验证据。     

我国地方政府债券信用风险溢价研究

本文采用28个省市2010年至2012年地方政府债券的数据,使用eviews软件对其发行溢价的影响因素进行了回归分析。回归结果显示财政指标对地方政府债券的风险溢价没有显著影响,投资者的风险厌恶程度、市场利率与风险溢价有显著的相关关系。这表明地方政府债券的定价主要与市场因素相关,而与各省的财务状况无明显关联,这可能是由于地方政府发债刚启动,且由财政部代理发行,投资者对其信用情况普遍看好,因而没有明显的信用风险溢价。     

我国商业银行债券风险溢价实证研究

本文通过计量分析发现评级机构给予的信用级别与商业银行债券的风险溢价显著相关,且当债券级别越高时,风险溢价越低;当商业银行债券以浮动利率发行时,债券的风险溢价能显著降低。同时,由于存款准备金率的变动影响了债券市场上的资金供需情况,当银行存款准备金率上升时,债券发行方商业银行需要向投资者支付更高的风险溢价。     

短期融资券对商业银行的挑战和机遇

目前，企业短期融资券的发行期限已覆盖到一年以下的所有短期品种。作为一种非政府性质的信用品种，企业短期融资券的发行使短期货币市场利率更加全面，进而将带动长期债券定价的市场化，推动我国利率市场化改革得以向纵深发展。     

用显著性检验方法判断信用评级对 企业债券市场定价的影响力

采用显著性检验方法,选取2008年、2009年和2010年发行的企业债券为研究样本,实证分析信用评级信息对我国企业债券市场定价的影响力,结果表明:信用评级信息已经成为我国企业债券市场投资者制定投资决策的主要依据,市场投资者对信用评级信息有很强的依赖性；信用评级信息在资本市场上对我国企业债券的市场定价具有显著的影响力；我...     

浮动利率债券定价模型与实证研究

本文从利率期限结构的随机模型理论出发，应用Vasicek模型得到当前的利率期限结构的估计及其隐含的远期利率，进而确定浮动利率债券的未来收益率，再利用附息国债定价公式得到浮动利率国债的价格。实证研究表明，Vasicek模型确定的债券理论价格与市场价格相当吻合。     

信用评级可信吗:基于股票错误定价的检验

本文以2008—2019年A股上市公司为研究样本,实证检验了企业信用评级与股票错误定价之间的关系。研究发现,具有信用评级和高信用评级的公司股票错误定价水平较低;金融脱媒、产权性质与企业战略差异度显著影响信用评级作用的发挥。具体而言,信用评级在金融脱媒程度较高的宏观环境下、产权性质为国有以及战略差异度较大的企业中对股票错误定价的缓解作用更为显著。作用机制分析表明,企业信用评级具有信息效应和监督效应,通过缓解信息不对称和降低盈余管理,修正了股价偏离价值的程度;信用评级等级则是通过提高投资者关注和降低企业融资约束缓解了股票错误定价。研究结论有助于投资者更好地理解信用评级在资本市场发挥的作用,也为信用评级监管提供了理论证据。     

The Variation of Economic Risk Premiums in Real Estate Returns

We examine the predictable components of returns on stocks, bonds, and real estate investment trusts (REITs). We employ a multiple-beta asset pricing model and find that there are varying degrees of predictability among stocks, bonds, and REITs. Furthermore, we find that most of the predictability of returns is associated with the economic variables employed in the asset pricing model. The stock market risk premium is highly important in capturing the predictable variation in stock portfolios, and the bond market risk premiums (term and risk structure of interest rates) are important in capturing the predictable variation in bond portfolios. For REITs, however, both the stock and bond market risk premiums capture the predictable variation in returns. REITs have comparable return predictability to stock portfolios. We conclude that there is an important economic risk premium for REITs that are not captured by traditional multiple-beta asset pricing models.     

Credit risk and bond pricing of local government in China

The relationship between credit risk and the pricing of local government bonds in China is explored in this paper. The pricing of local government bonds was found to reflect credit risk, but the risk premium was small. The type of bond (‘directional’ or ‘non-directional’) significantly affected pricing. Repayment source had no effect. The authors make recommendations for the central government, local governments and investors.     

短期融资券市场效率研究——基于价差分解的视角

在完全有效市场条件下,信用风险是反映信用类债券特征的最基本信息,也是决定价差的关键因素。本文通过对中国信用类债券中短期融资券的价差分解发现,虽然信用风险显著影响短期融资券定价,但市场风险才是影响其价差的最主要因素。此外,市场流动性不足降低了市场运行效率,导致流动性溢价总体为负。上述研究结果表明我国短期融资券市场化的定价机制虽已初步形成,但市场效率总体仍然偏低。     

Liquidity,default, taxes,and yields on municipal bonds

We examine the effects of liquidity, default and personal taxes on the relative yields of Treasuries and municipals using a generalized model with liquidity risk. The municipal yield model includes liquidity as a state factor. Using a unique transaction dataset, we estimate the liquidity risk of municipals and its effect on bond yields. Empirical evidence shows that municipal bond yields are strongly affected by all three factors. The effects of default and liquidity risk on municipal yields increase with maturity and credit risk. Liquidity premium accounts for about 9–13% of municipal yields for AAA bonds, 9–15% for AA/A bonds and 8–19% for BBB bonds. A substantial portion of the maturity spread between long- and short-maturity municipal bonds is attributed to the liquidity premium. Ignoring the liquidity risk effect thus results in a severe underestimation of municipal bond yields. Conditional on the effects of default and liquidity risk, we obtain implicit tax rates very close to the statutory tax rates of high-income individuals and institutional investors. Furthermore, these implicit income tax rates are quite stable across bonds of different maturities. Results show that including liquidity risk in the municipal bond pricing model helps explain the muni puzzle.     

债券信用溢价的共同因子与结构变化:基于机器学习方法

共同因子是刻画风险溢价的重要基础,将共同因子模型应用于公司债券市场有助于合理估计信用风险溢价.本文利用机器学习算法探究债券信用溢价因子的存在性以及结构变化后发现:规模、下行风险、价值、波动率以及流动性等五个公司债券共同因子对单个债券信用溢价有较好的解释能力,动量因子对信用溢价的解释能力较差,流动性因子具有较强的逆周期防...     

Hard markets,hard times: On the inefficiency of the CAT bond market

This study explores the existence of inefficiencies in catastrophe (CAT) bond secondary markets by investigating the impact of sponsor characteristics on the CAT bond premium. We show that the CAT bond market does not satisfy the demand for catastrophe risk transfer efficiently by revealing a significant effect of sponsor-related factors on the CAT bond premium. This inefficiency is particularly surprising given that a CAT bond isolates the insured risk from other sponsor-related risks through a special purpose vehicle. Remarkably, this inefficiency is even present among non-indemnity CAT bonds, which determine the payout through a mechanism that is exogenous to the sponsor. Our findings also reveal that sponsor-related pricing inefficiencies vary over time and are more relevant during hard and neutral phases compared to soft market phases. Among the sponsor-related determinants of the CAT bond premium are the sponsor's tenure, market coverage, rating, credit default swap spread, and his ability to issue innovative “on the run” CAT bonds.     

Pricing Bonds and Bond Options with Default Risk

The pricing of bonds and bond options with default risk is analysed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter, which can be considered as the market equivalent of an agencies' bond rating, allows to extract from current quotes the market perceptions of firm's credit risk. The general pricing model for defaultable zero-coupon bond is first derived in a simple discrete-time setting and then in continuous-time. The availability of an integrated model allows for the pricing of default-free options written on defaultable bonds and of vulnerable options written either on default-free bonds or defaultable bonds. A comparison between our results and those given by Jarrow and Turnbull (1995) is also presented.     

The delivery option in credit default swaps

Under standard assumptions the reduced-form credit risk model is not capable of accurately pricing the two fundamental credit risk instruments – bonds and credit default swaps (CDS) – simultaneously. Using a data set of euro-denominated corporate bonds and CDS our paper quantifies this mispricing by calibrating such a model to bond data, and subsequently using it to price CDS, resulting in model CDS spreads up to 50% lower on average than observed in the market. An extended model is presented which includes the delivery option implicit in CDS contracts emerging since a basket of bonds is deliverable in default. By using a constant recovery rate standard models assume equal recoveries for all bonds and hence zero value for the delivery option. Contradicting this common assumption, case studies of Chapter 11 filings presented in the paper show that corporate bonds do not necessarily trade at equal levels following default. Our extension models the implied expected recovery rate of the cheapest-to-deliver bond and, applied to data, largely eliminates the mispricing. Calibrated recovery values lie between 8% and 47% for different obligors, exhibiting strong variation among rating classes and industries. A cross-sectional analysis reveals that the implied recovery parameter depends on proxies for the delivery option, primarily the number of available bonds and bond pricing errors. No evidence is found for a direct influence of the bid-ask spread, notional amount, coupon, or rating used as proxies for bond market liquidity.     

巨灾风险债券溢价之谜的行为金融学解释

作为一种新型金融工具,巨灾风险债券自发行以来所附带的风险收益就远高于同等级传统债券的收益.尽管均值方差分析方法已证明"溢价之谜"确实存在,但从传统理论角度出发的研究并不能充分解释巨灾风险债券高溢价的成因.本文尝试用行为金融理论分析以获得较合理的解释补充.通过探讨投资者的心理、行为因素在巨灾风险债券溢价之谜中所起的重要作用,得出结论:风险厌恶、固定教育成本、模糊厌恶和羊群效应等行为导致了溢价之谜的出现.这些影响因素的发现不仅是对国际巨灾风险债券市场中的高溢价现象进行解释的重要依据,同时也为我国科学发行巨灾风险债券提供了思路.