基于结构化信用风险模型的长江电力债券定价分析.pdfVIP

基于结构化信用风险模型的长江电力债券定价分析 王安兴 张琛 上海财经大学金融学院1 太平洋证券股份有限公司2 国定路777 号，200433 淮海中路 8 号，200023 电子信箱：awang@ perfect_zc@ 摘要：2007年9月24日，我国内地第一只公司债券“长江电力2007年第一期公司债券”正式发行， 这标志着我国真正意义上的公司债券市场正式拉开序幕，无疑对我国债券市场未来的发展有着非常重要 的影响。公司债券的一个最重要特点就是存在信用风险。“次级债危机”再次凸现信用风险是影响金融 资产价格的一个重要因素。于是，如何对含信用风险的公司债券进行定价，成为投资者最为关心的问题。 本文，从经济学原理出发，选择结构化模型对长电债进行了详细的实证定价分析，研究发现运用结构化 模型所得到的长电债理论价格大于实际交易价格，产生这一价格差异的原因可能包括模型缺陷、流动性 风险、债券存在嵌入期权等。此外，本文还发现资产价值波动率、违约门槛值、相关系数、回收率等参 数估计值、无风险利率数据样本及回售期权对长电债的理论价格影响较小；而负债价值的估计值、利率 模型（无风险利率为常数利率）和担保条款对长电债的理论价格影响较大。 Abstract: In Sep. 24, 2007, the first domestic corporate bond- China Yangtze Power 1st Corporate Bond- made its public offering, which indicates Chinese corporate bonds market begins operating. It is also important to future development of Chinese bond market. One of the magnificent features of corporate bond is the credit risk. The “Subordinate Debt Crisis” reflected how largely credit risk affects asset pricing. Therefore, how to take credit risk into corporate bond valuation is an attractive question for market participants. This article makes analysis developed from basic economics principals and utilizes structural model to make careful empirical analysis on valuating the bond. We find that the estimated price of Yangtze Corporate Bond by structural model (which is the theoretical price) is higher than the actual market price. We suppose the reason behind this price gap is due to model deficiency, liquidity risk and embedded options. Moreover, we find that the parameters estimation such as, volatility of asset value, default threshold, the correlation coefficient and the sample of risk free rate, sales option have little influence on Yangtze Corporate Bond theoretical price. While