我国农业慈善巨灾债券定价研究——以河南省洪灾慈善巨灾债券为例

我国农业巨灾损失的规模往往大大超过来自内部和外部的救灾资金,农业慈善巨灾债券给低概率高损失的农业巨灾风险分散到资本市场提供了机会。在探讨农业慈善巨灾债券的背景、性质和作用基础上,运用修正的Wang两因素模型,以河南省洪灾为例对农业慈善巨灾债券的定价问题进行了研究,认为农业慈善巨灾债券可以成为我国农业巨灾风险分散的一种有效替代工具。     

Methodological Considerations in the Statistical Modeling of Catastrophe Bond Prices

The problem of specifying and fitting a statistical model of the pricing of property catastrophe risk is addressed from a methodological perspective. Notable 21st century published efforts to do this are reviewed. The problem is framed in a business context and various strategic and tactical issues are investigated. A naïve application of ordinary least squares regression is seen to have undesirable consequences. Alternative approaches are offered, including weighted least squares with weights inversely proportional to capital requirements, and alternative functional forms. Recommendations are offered.     

Optimal Bond Portfolio for Investors with Long Time Horizons

We study the optimal bond portfolio for an investor with long time horizonusing Japanese interest rate data. A simple one-factor term structure modelis used for our numerical example. The optimal portfolio is computed using thetechnique of stochastic flows and Monte Carlo simulation. The hedgingportfolio is not negligible and the mean variance portfolio is very sensitiveto parameter values. The optimal portfolio is highly leveraged for a typicalparameter value. The investor holds a zero-coupon bond because of the lowerbound restriction on investor's wealth. The lower bound constraint may makethe optimal portfolio more realistic.     

Optimal Bond Refunding: A Practical Approach

Although there is substantial research on optimal bond refunding, an important real-life feature is missing from the existing literature: imperfect adjustment or 'stickiness' of bond yields to short term interest rate changes. Our model takes this behavior into account, and also has the ability to handle mean reverting interest rates. The results indicate that the former has a significant effect on the optimal refunding policy (especially for longer maturities), but the latter does not. By incorporating these features, our model will hopefully offer a fairly complete and easily implementable guide to managers with regard to the bond refunding decision.     

A Factor Allocation Approach to Optimal Bond Portfolio

This paper proposes a new method to a bond portfolio problem in a multi-period setting. In particular, we apply a factor allocation approach to constructing the optimal bond portfolio in a class of multi-factor Gaussian yield curve models. In other words, we consider a bond portfolio problem in terms of a factors’ allocation problem. Thus, we can obtain clear interpretation about the relation between the change in the shape of a yield curve and dynamic optimal strategy, which is usually hard to be obtained due to high correlations among individual bonds. We first present a closed form solution of the optimal bond portfolio in a class of the multi-factor Gaussian term structure model. Then, we investigate the effects of various changes in the term structure on the optimal portfolio strategy through series of comparative statics.     

Catastrophe Bonds,Reinsurance, and the Optimal Collateralization of Risk Transfer

Catastrophe bonds feature full collateralization of the underlying risk transfer and thus abandon the reinsurance principle of economizing on collateral through diversification of risk transfer. Our analysis demonstrates that this feature places limits on catastrophe bond penetration, even if the structure possesses frictional cost advantages over reinsurance. However, we also show that catastrophe bonds have important uses when buyers and reinsurers cannot contract over the division of assets in the event of insolvency and, more generally, cannot write contracts with a full menu of state‐contingent payments. In this environment, segregation of collateral—in the form of multiple reinsurance companies, as well as catastrophe bond vehicles—can ameliorate inefficiencies due to reinsurance contracting constraints by improving welfare for those exposed to default risk. Numerical simulation illustrates how catastrophe bonds improve efficiency in market niches with correlated risks, or with uneven exposure of buyers to reinsurer default.     

巨灾债券的运作原理及在我国的应用

随着保险公司承担越来越多的风险,巨灾债券逐渐发展成为其分散风险的又一种工具。本文将巨灾债券的运作过程分为三个阶段,对其运作原理进行了分析,并介绍了巨灾债券的定价模型,为巨灾债券的定价提供一种方案：一种金融产品能否顺利发行取决于其发展的前景。本文最后分析了我国发行巨灾债券的必要性和可行性,并提出构建我国巨灾债券的相关建议。     

Domestic Bond Market Development: The Arirang Bond Experience in Korea

This study contrasts the development of the Republic of Korea'smarket for won-denominated foreign bonds (Arirang) with similarmarkets in the Asia-Pacific region. It discusses the problems,concerns, and key issues related to the development of thismarket within the broader context of domestic, regional, andglobal bond market development. Korea's experience providesvaluable lessons for other emerging market economies also seekingto build bond markets for local and foreign issuers. The sophisticationof the local bond market is not enough to make it appealingto foreign borrowers. Market development demands ensuring anenabling infrastructure and a background of macroeconomic stability,nurturing local and international demand, deregulating capitalflows, and minimizing exchange restrictions. JEL codes: F34, G18     

1.5亿美元债券发行始末

1997年下半年,在严酷漫长的金融危机面前,我们感到了前所未有的压力. 难道就这样半年复半年地继续搭桥下去 经历了1997年到1998年的亚洲金融危机之后,来自亚洲的借款人在一段时间内从国际资本市场上消失了,中国的多家机构也纷纷取消了融资计划.原因是多方面的,但其中最重要的一个原因就是:融资成本过高.以中国银行为例:在金融危机爆发之前的1997年上半年,中国银行成功地发行了2亿美元5年期亚洲美元债券,综合总成本仅为LIBOR+0.375%.而在随后的一年里,市场对于5年期中国债券的报价始终维持在LIBOR+1.5%左右的价位上,这一成本是中国借款人所无法承受的.     

政府在应对巨灾风险中的角色定位

当今世界,巨灾事故频发,各国政府为应对巨灾风险相继建立了巨灾风险保障制度,但是这些制度在运营过程中出现了一些问题,使得政府的投入与预想的效果相差甚远.本文重点分析了政府在参与应对巨灾风险组建巨灾保障制度的过程中,常用手段的利弊及遭遇的问题,以此来探讨政府在对应巨灾风险中应确立的合适角色定位.     

Optimal Bond Trading with Tax Clienteles: A Discrete-Time Dynamic Trading Model

This study develops a discrete-time dynamic trading model for bond pricing under differential taxation. The model incorporates both the tax-timing option effect and the tax-clientele effect. Investors from all tax brackets have a chance to bid for a bond, and the marginal investor is the one who is willing to pay the highest price. Simulation results show that inter-bracket trading occurs frequently as the interest rate changes, which enhances the value of the tax option. These results are shown to be robust to changes in interest rate process and tax regimes.     

债市“脱灰”

债市稽查风暴来袭,疏堵之间,一线之隔,政策层面接二连三的"表态"让市场变作惊弓之鸟。平复风暴的关键或许并不是"兵来将挡、水来土掩",监管层更需要的是理性的思索与更为科学的制度设计。     

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market

The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p .m . when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p .m . and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p .m ., the short has the option of settling the contract at a favorable 2:00 p .m . price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.     

中小企业集合债券融资机制的完善

中小企业集合债券是我国独有的一种新型融资方式,但其因发行主体复杂、集合企业筛选不规范、担保难等问题,暂时未能广泛推行。本文在对中小企业集合债券现状调研的基础上,通过分析当前集合债券融资机制存在的不足,提出加快制定相关政策法规、推动担保行业结构调整、降低准入门槛和优化发债企业的组合设计等措施,以完善中小企业集合债券的融资机制。     

我国巨灾保险立法模式探讨

巨灾保险制度的建立必须以巨灾保险法律制度为基础,探讨适合我国巨灾保险立法模式是巨灾保险法律制度建设首先必须解决的问题之一。本文通过考察世界各国巨灾保险立法模式的类型,借鉴巨灾保险先行国家和地区的成功经验,依据我国现阶段的国情和法治状况,总结出我国巨灾保险立法模式比较可行的选择是采专项型立法模式,首先针对地震风险制定《地震保险法》,在此基础上逐步建立针对其他灾种的巨灾保险法律制度。     

Catastrophe Bonds—Regulating a Growing Asset Class

As the severity of natural catastrophes continues to intensify, disaster risk management is becoming increasingly important. In order to expand the capacity of the insurance markets, insurers and reinsurers have utilized alternative risk financing mechanisms such as catastrophe (CAT) bonds. Although the CAT bond market has increased recently, past CAT bond defaults have demonstrated that there are still concerns relating to contract documentation and the collateral structure of the bonds. This article argues that additional regulation that addresses these contracting problems and financial risks would facilitate greater use of CAT bonds. Regulatory change should also include industry‐wide accounting and tax reforms that will further support risk management objectives and the growth of the market. If the CAT bond market continues to experience the growth that was witnessed in the past year and additional regulation is implemented, insurers, reinsurers and governments can benefit from the cost‐effective protection that the instruments may provide in the event of a mega‐catastrophe.     

云南:统一担保,“打包”发债

云南省推出由5家担保机构组成统一担保人,采取统一组织、统一冠名、统一担保、分别负债、集合发行的打包发债模式。     

Reaching for Yield in the Bond Market

This paper studies reaching for yield—investors’ propensity to buy riskier assets to achieve higher yields—in the corporate bond market. We show that insurance companies reach for yield in choosing their investments. Consistent with lower rated bonds bearing higher capital requirements, insurance firms prefer to hold higher rated bonds. However, conditional on credit ratings, insurance portfolios are systematically biased toward higher yield, higher CDS bonds. This behavior is related to the business cycle being most pronounced during economic expansions. It is also characteristic of firms with poor corporate governance and for which the regulatory capital requirement is more binding.     

Bond Selection for Managed Portfolios

Abstract:   Investors in coupon bonds evaluate them based upon financial considerations such as coupon rate, time‐to‐maturity, callability, convertibility, and financial condition of the issuer. These investors regard promised yield as only a rough measure of the reward a bond offers to compensate them for the pure time‐value‐of‐money and the financial risks to which they are exposed. Hence, they need a more meaningful measure of reward to facilitate comparisons among coupon bonds. The purpose of this paper is to describe an alternative heuristic approach to the task of making such comparisons. The approach produces a simple ordinal measure of reward, called the 'indifference spread,' that considers implicitly the potential sources of return to, as well as many of the risks associated with, investment in coupon bonds. For any coupon bond, the indifference spread method permits assessment of relative reward offered for the combined exposures to price and call risks, while also reasonably accommodating possible sale anytime prior to maturity. Once an investor (e.g., money manager) identifies indifference spreads for all bonds under consideration as of any moment in time, he/she can then draw conclusions regarding their relative values at that time based, in large part, on these spreads.