a国产,中文字幕久久波多野结衣AV,欧美粗大猛烈老熟妇,女人av天堂

中國(guó)能源類企業(yè)債券定價(jià)研究

發(fā)布時(shí)間:2018-01-01 03:23

  本文關(guān)鍵詞:中國(guó)能源類企業(yè)債券定價(jià)研究 出處:《中國(guó)地質(zhì)大學(xué)(北京)》2014年碩士論文 論文類型:學(xué)位論文


  更多相關(guān)文章: 企業(yè)債券 信用價(jià)差 能源行業(yè) 定價(jià)模型


【摘要】:債券定價(jià)研究的關(guān)鍵是確定債券收益率與同一到期日的無(wú)風(fēng)險(xiǎn)債券之間的利率差,也就是信用價(jià)差。無(wú)風(fēng)險(xiǎn)債券常由具有最高信用級(jí)別的國(guó)債來(lái)表示,信用價(jià)差的產(chǎn)生即是為了補(bǔ)償企業(yè)債券相對(duì)國(guó)債的信用風(fēng)險(xiǎn)的額外收益。 由于我國(guó)企業(yè)債券市場(chǎng)發(fā)展時(shí)間較短,市場(chǎng)成熟度低,債券定價(jià)和信用價(jià)差方面的研究多是以西方學(xué)者對(duì)國(guó)外成熟債券市場(chǎng)金融產(chǎn)品的定價(jià)模型為參考,沒有結(jié)合國(guó)內(nèi)市場(chǎng)形勢(shì)。而信用價(jià)差是各類債券及相關(guān)衍生品定價(jià)的基礎(chǔ),隨著我國(guó)企業(yè)債券市場(chǎng)的發(fā)展與成熟,信用價(jià)差研究的現(xiàn)實(shí)意義會(huì)進(jìn)一步凸顯出來(lái)。 在理論基礎(chǔ)部分,本文對(duì)比了國(guó)內(nèi)外常用的金融產(chǎn)品定價(jià)模型。從違約是否可具有預(yù)測(cè)性出發(fā),可分為結(jié)構(gòu)模型和簡(jiǎn)約模型。結(jié)構(gòu)模型認(rèn)為違約是可以預(yù)測(cè)的。簡(jiǎn)約模型的前提是違約事件是不可預(yù)測(cè)的。由于中國(guó)債券市場(chǎng)發(fā)展時(shí)間限制以及市場(chǎng)規(guī)模有限,市場(chǎng)數(shù)據(jù)較為缺乏,如違約率、回收率以及評(píng)級(jí)缺陷,所以采用簡(jiǎn)約模型作為研究定價(jià)的理論基礎(chǔ)有一定的操作性和可行性。 在實(shí)證部分,本文考慮到國(guó)內(nèi)債券市場(chǎng)存在流動(dòng)性低下等系統(tǒng)性缺陷,在NSS模型條件下擬合國(guó)債利率期限結(jié)構(gòu)曲線和能源類行業(yè)的企業(yè)債信用價(jià)差期限結(jié)構(gòu)曲線。在此基礎(chǔ)上,,對(duì)三個(gè)行業(yè),石化、電力和煤炭的企業(yè)債信用價(jià)差的影響因素進(jìn)行多元回歸模型建立。隨后,根據(jù)擬合得到的信用價(jià)差曲線和回歸模型變量樣本,對(duì)模型中的因變量和自變量進(jìn)行脈沖檢驗(yàn),確保變量的有效性。在最后的定價(jià)模型建立部分,依據(jù)簡(jiǎn)化定價(jià)模型和簿記建檔的發(fā)行模式進(jìn)行企業(yè)債定價(jià)模型的確定。 本文結(jié)合國(guó)內(nèi)債券市場(chǎng)發(fā)展情況對(duì)實(shí)證結(jié)果進(jìn)行分析,指出中國(guó)的債券市場(chǎng)還不完善、企業(yè)債券發(fā)行未完全實(shí)現(xiàn)市場(chǎng)化、新債上市時(shí)常常受到市場(chǎng)的追捧而導(dǎo)致價(jià)格偏高的情況存在,導(dǎo)致債券價(jià)格與價(jià)值的偏離。
[Abstract]:The key is to determine the pricing of bonds between risk-free bond yields on bonds with the same maturity of the interest rate differential is credit spreads. The risk-free bonds usually have the highest credit rating of the bonds that credit spreads have extra income is to compensate for the credit risk of corporate bonds relative to bonds.
The time of the development of corporate bond market in China is relatively short, the market maturity is low, research on bond pricing and credit spreads on more than is the western scholars on the foreign mature bond market financial products pricing model for reference, not with the domestic market situation. And the credit spread is the basis of all kinds of bonds and derivatives pricing, along with the development of China's corporate bond market and mature and practical significance of the research of credit spreads will be further highlighted.
In the theory part, this paper compares the commonly used at home and abroad financial product pricing model. From the default is predictive of view, can be divided into structure model and simple model. The structure model that defaults can be predicted. A simple model of the premise is an event of default is unpredictable. Due to the development of the bond market China time limit and the limited size of the market, the market is the lack of data, such as the default rate, recovery rate and rating defects, so the use of simple model as the theoretical basis for the study of pricing has certain feasibility and operability.
In the empirical part, considering the existence of defects in the domestic bond market liquidity conditions in the low system, NSS model structure curve fitting term and energy industry credit spread term structure curve. On the basis of three petrochemical industry, electricity and coal, factors affecting the credit spreads of corporate bonds the multivariate regression model is established. Then, according to the credit spread curve fitting and regression model variables in the model, the variables of pulse test, ensure the effectiveness of variables. In the part of the establishment of pricing model, determine the corporate bond pricing model based on the simplified pricing model and bookbuilding issue model.
In this paper, combined with the development of the domestic bond market to analyze the empirical results, pointed out that the China bond market is not perfect, not corporate bond issuance to the market, the new debt listed are often sought after by the market and leading to the existence of high prices, lead to deviations from the bond prices and value.

【學(xué)位授予單位】:中國(guó)地質(zhì)大學(xué)(北京)
【學(xué)位級(jí)別】:碩士
【學(xué)位授予年份】:2014
【分類號(hào)】:F426.2;F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 楊曉奇;陳冠華;;關(guān)于我國(guó)企業(yè)債券市場(chǎng)利差的實(shí)證研究[J];財(cái)會(huì)月刊;2010年11期

2 劉大巍;陳啟宏;張

本文編號(hào):1362724


資料下載
論文發(fā)表

本文鏈接:http://www.wukwdryxk.cn/jingjilunwen/touziyanjiulunwen/1362724.html


Copyright(c)文論論文網(wǎng)All Rights Reserved | 網(wǎng)站地圖 |

版權(quán)申明:資料由用戶bf29e***提供,本站僅收錄摘要或目錄,作者需要?jiǎng)h除請(qǐng)E-mail郵箱bigeng88@qq.com
国产日韩在线观看| av中文字幕潮喷人妻系列| 女人被躁到高潮嗷嗷叫69视频| 欧美成天堂网地址| 四虎成人精品无码| 在线 | 一区二区三区| 久久久久无码国产精品一区| 香格里拉县| 夜色88v精品国产亚洲av| 老妇xxx| 国产av影片| 女性遭入室暴行av| 成熟的水蜜桃| 欧美亚洲精品一区二区三| 国产1区二区| 最新av在线| 亚洲精品成人一区| 日日干日日| free性丰满白嫩白嫩的hd| h动漫在线观看| 亚洲免费高清| 少妇AAA级久久久无码精品片| 欧美一区二区日韩国产| 7777精品久久久大香线蕉| 久热香蕉av在线爽青青| 国产精品无码专区观看| 色噜噜狠狠色综合日日| 国产精品久久久久婷婷五月色婷婷| 国产三级视频网站| 真人一进一出120秒试看| 亚洲AV成人无码网站…| 少妇性饥渴无码A区免费| 一区二区三区日本久久九 | 精品亚洲成A人在线观看青青| 专干老肥熟女视频网站| √8天堂资源地址中文在线| 日韩激情电影一区二区在线| 国产成人免费av片在线观看 | 日本一卡二卡四卡无卡乱码视频免费| 国产A∨天天免费观看美女| 午夜成人理论福利片|