简析含权债的会计核算方法

2008年以来，含权债逐渐成为银行间债券市场的热点，丰富了市场的投资品种。但目前，市场成员在含权债的会计处理上仍存在较大的分歧，不利于市场交易的活跃。该文根据新会计准则中关于嵌入衍生工具分类会计核算的总体原则，分不同资产类别对含权债会计处理的适用性进行了梳理，并根据分析结果给出了交易性金融资产项下含权债的具体会计核算方法。     

国开行新型含权债定价和投资简析

国开行近期发行的两只新型含投资人回售权的债券,受到市场热捧,不过其条款的复杂性也使市场对其定价出现了明显的分歧。该文从其条款入手,简单分析了这两期含权债的定价原理和思路,并结合目前债市的现状和趋势,对两只债券的投资策略和合理价值进行了探讨。     

IPO估值模型及其在我国的适用性分析

国际资本市场新股发行估值方法大致可分为三种,即现金流量贴现法、可比公司法和期权定价法。大部分IPO估值模型在我国并不适用,我国股市具有较显著的齐涨齐跌性,股价更多地反映由市场供求关系决定的相对投资价值。而不能真实反映由未来现金流贴现决定的绝对投资价值。目前,在我国证券市场IPO定价使用可比公司法与多因素定价模型相结合的估值方法较为现实。     

中债估值识别了债券信用风险吗？——基于跳跃视角的实证分析

本文以2011—2018年中国A股上市公司发行的一般公司债为样本,探究了中债估值跳跃对债券信用利差的影响及作用机制,以此说明中债估值对债券信用风险的识别作用。研究发现:中债估值跳跃能够显著提高债券信用利差,其中,中债估值上跳降低了信用利差,下跳提高了信用利差,且相对于上跳,下跳对信用利差的作用更大。异质性分析发现:中债估值跳跃对信用利差的作用在机构投资者中较大,同时在信息不对称性较严重、流动性较差及违约风险较高的债券中也较大。进一步研究发现:中债估值跳跃不仅包含了公共信息,还含有私有信息,并能改善股票分析师预测表现。本研究说明中债估值能够识别债券信用风险,具有信息含量,对于债券市场信息环境建设和系统性金融风险防范具有重要意义。     

引入期限利差分析的债券收益率曲线定价的实证研究——以利率债品种为例

估值定价是机构投资者参与债券市场投资过程中经常面临的重要问题。本文从Nelson-Siegel估值定价模型入手,在均值回归理念下尝试引入期限利差这一关键变量计算出更为贴合市场变化的债券合意估值水平合市场变化的债券合意估值水平,以寻求实际价格与合意估值水平产生的有效套利空间,在提升估值定价准确性的同时优化模型输出结果,优化模型输出结果,文章最后对估值定价的影响因素、背后原因、理论依据以及实现方法进行总结。     

新兴产业估值方法国际比较与实证

估值是定价的基础,新兴产业由于自身的特点,在估值和定价发行方面存在较大的困难。本文对新兴产业的估值与定价问题展开研究,对现在市场主流的估值方法进行了对比,结合新兴产业估值特点,在传统PEG模型基础上发展出风险调整PEG模型,也即PEGX。它比PEG指标更全面地反映新兴行业企业的成长性和风险性。文章结合国内外资本市场进行了案例分析,通过实证检验验证了模型的有效性,更适用于对我国的新兴产业进行估值。文章认为,可以通过与PE模型及其他绝对估值模型结合,使用该模型对新股上市定价的合理性进行评估。由于PEGX模型更加强调新兴产业的风险性,用该模型进行定价分析时,可以有效缓解对高增长企业给予盲目的高估值定价。     

期权调整价差模型及其运用

随着利率市场化改革的深入以及升息预期的加强，2004年中国的债券市场上出现了各种含权债券。期权的嵌入增加了债券的吸引力，但同时也改变了债券未来的现金流，使债券的定价与分析变得越来越复杂。该文介绍了国际市场比较流行的期权调整价差(OAS)方法，并选取国开行含权债券数据，对该理论的运用进行尝试。     

信用风险溢价还是市场流动性溢价:基于中国信用债定价的实证研究

我国信用债定价与成熟市场国家信用债定价存在显著差异,并未随着经济周期运行中违约风险的变化而产生明显调整。研究发现,我国市场主体普遍存在对信用债刚性兑付的预期,且倾向于采用信用债进行套利交易,这种行为导致信用债信用利差更多体现的是市场流动性溢价,而非信用风险溢价,因而反映市场流动性状况的货币市场利率水平、波动性对信用债定价具有较为重要的影响,而模糊了对手方信用的中央对手方的质押回购制度安排进一步强化了这种影响。     

供给侧结构性改革下大型商业银行不良资产处置探究

在供给侧结构性改革背景下,大型商业银行不良资产处置已然成为改革的重要组成部分。在此基础上,银行通过不良资产证券化,对不良资产进行合理估值和定价、增加市场投资主体。在债转股方面,银行可采用债转优先股、完善股权退出机制等方式,结合压力测试来提高不良资产的处置效率。     

浅谈商业银行发行二级资本债的现状

在2008年金融危机之后被引入资本市场,受到了国外银行和监管机构的广泛关注。2013年1月1日起实施的《商业银行资本管理办法(试行)》,规定系统重要性银行的资本充足率监管要求为11.5%,对非系统性银行的资本充足率监管要求为10.5%。这个试行办法的实施促使各大商业银行需要创新型的资本工具来提高其资本充足率,这种资本工具就是市场上比较流行的二级资本债。减记二级资本债作为商业银行的应急救助资本,2014年之后开始市场上陆续出现大量的二级资本债。本文应用减记债的主流定价模型之一信用衍生品定价模型,对模型的基本参数进行合理设置,从而得出该减记债的最终定价。通过对根据模型定价出的减记债和市场上由于资金供应形成的价格对比,从而分析该减记债定价的合理与否,给监管者提供一个定量监管商业银行发行二级资本债提供有力的保证。     

CONVERTIBLE BOND VALUATION: AN EMPIRICAL TEST

This research applies the options pricing model to the valuation of convertible bonds. A numeric algorithm is used to obtain theoretical values for a sample of 103 convertible bond issues. When market prices are compared with model valuations, the means are not significantly different, and 90 percent of model predictions are within 10 percent of market values. As a further test, the sample is divided on the basis of whether the model prices are (1) greater or (2) less than market prices. Returns are compared over a subsequent three-year holding period. The results indicate that without risk adjustment, the returns for the subsample identified by the model as “undervalued” (model prices exceed market prices) are significantly greater than returns for the subsample identified by the model as “overvalued” (market prices exceed model prices).     

Forward-neutral valuation relationships for options on zero coupon bonds

This paper extends the literature on Risk-Neutral Valuation Relationships (RNVRs) to derive valuation formulae for options on zero coupon bonds when interest rates are stochastic. We develop Forward-Neutral Valuation Relationships (FNVRs) for the transformed-bounded random walk class. Our transformed-bounded random walk family of forward bond price processes implies that (i) the prices of the zero coupon bonds are bounded below at zero and above at one, and (ii) negative continuously compounded interest rates are ruled out. FNVRs are frameworks for option pricing, where the forward prices of the options are martingales independent of the market prices of risk. We illustrate the generality and flexibility of our approach with models that yield several new closed-form solutions for call and put options on discount bonds.     

An Empirical Investigation of Alternative Contingent Claims Models for Pricing Residential Mortgages

Researchers have employed option pricing techniques to analyze mortgage financing and valuation. Alternative models (one-, two-, and three-variable models) employing different variables (short- and long-term interest rates and building value) have been designed to price mortgage securities. No prior research has addressed the question of whether the pricing accuracy of these contingent claims models improves as states increase or whether contingent claims models' valuation abilities generate reasonable estimates of primary mortgage market prices. The articles investigates the relative efficiency of each of these alternative mortgage valuation models in predicting primary market mortgage values. Our results show that a two-variable model (short rate and building value) is the most efficient. Valuation results indicate a positive pricing spread between the primary market and the theoretically estimated value.     

Truth and financial economics: A review and assessment

Truth is important in the theory and practice of finance. Asset valuation is based on models that calculate true asset values as distinct from observed market prices. In financial economics, truth is essential in theoretical and empirical work in market microstructure, corporate finance and asset pricing. The versatile use of “true values” in finance is reviewed and assessed in the context of those philosophical theories of truth which are most relevant to asset pricing debates: the correspondence theory of truth, the coherence theory as well as the pragmatist approach to truth. We find that truth, in asset valuation, is not external to the context of inquiry; it is always model-dependent. This finding motivates the argument that (the truth of propositions about a) theory-independent reality should be explored on the level of structures that trigger market outcomes, rather than the level of asset values. Our findings on the context-dependent character of true asset values also necessitate the exploration of the structure of scientific inquiry in which some contexts prevail over others and some valuation models are widely adopted as measures of truth.     

Simulation-based pricing of convertible bonds

We propose and empirically investigate a pricing model for convertible bonds based on Monte Carlo simulation. The method uses parametric representations of the early exercise decisions and consists of two stages. Pricing convertible bonds with the proposed Monte Carlo approach allows us to better capture both the dynamics of the underlying state variables and the rich set of real-world convertible bond specifications. Furthermore, using the simulation model proposed, we present an empirical pricing study of the US market, using 32 convertible bonds and 69 months of daily market prices. Our results do not confirm the evidence of previous studies that market prices of convertible bonds are on average lower than prices generated by a theoretical model. Similarly, our study is not supportive of a strong positive relationship between moneyness and mean pricing error, as argued in the literature.     

Market Pricing of Deposit Insurance

We provide an approach to the market valuation of deposit insurance that is based on reduced-form methods for the pricing of fixed-income securities under default risk. By reference to bank debt prices as well as qualitative-response models of the probability of bank failure, we suggest how a risk-neutral valuation model for deposit insurance can be applied both to the calculation of fair-market deposit insurance premia and to the valuation of long-term claims against the insurer.     

Valuation of American Futures Options: Theory and Empirical Tests

This paper reviews the theory of futures option pricing and tests the valuation principles on transaction prices from the S&P 500 equity futures option market. The American futures option valuation equations are shown to generate mispricing errors which are systematically related to the degree the option is in-the-money and to the option's time to expiration. The models are also shown to generate abnormal risk-adjusted rates of return after transaction costs. The joint hypothesis that the American futures option pricing models are correctly specified and that the S&P 500 futures option market is efficient is refuted, at least for the sample period January 28, 1983 through December 30, 1983.     

Arbitrage bounds in markets with noisy prices and the puzzle of negative option prices implicit in bonds

The term structure of interest rates has occupied economists for many years. This is testimony to the importance of the term structure (or, equivalently, valuation operator) and to the difficulty of obtaining reliable estimates of it. Until recently, it was not possible to reconcile the theoretical existence of a multiplicity of valuation operators in an incomplete bond market and the empirical nonexistence of even a single one. MacKay and Prisman [Estimating valuation operators in incomplete market with noises: Can noise complete the market. Working paper, 1996] tackle this problem. In this paper, an amendment to and a generalization of their methodology is presented. The amendment preserves the linearity of valuation operators and allows use of efficient linear programming techniques. Further, it facilitates an admissible consideration of the puzzle of negative option prices embedded in bonds. The empirical results presented in this paper were obtained using data on extendable Government of Canada bonds. The results indicate that although the gap between the lowest and the highest prices assigned to a cash flow by different valuation operators is significant, it is not sufficient to resolve the above-mentioned puzzle.     

Pricing Contingent Claims under Interest Rate and Asset Price Risk

This paper presents a general framework for pricing contingent claims under interest rate and asset price uncertainty. The framework extends Ho and Lee's (1986) valuation framework by allowing not only future interest rates but also future asset prices to depend on the current term structure of interest rates. The approach is shown to provide risk-neutral valuation relationships that are consistent with the initial term structure of interest rates and can be applied to valuation of a broad class of assets including stock options, convertible bonds, and junk bonds.     

A comprehensive structural model for defaultable fixed-income bonds

An exact valuation formula for defaultable corporate coupon bonds is proved. The model incorporates discrete coupons, bankruptcy costs, taxes and the market risk generated by a stochastic risk-free structure. The aim of this paper is twofold: first, we generalise previous pricing models for corporate bonds; second, we provide a comprehensive formula in order to properly disentangle the contribution of several risk factors to credit spreads.