中国短期融资券市场探析短融券的发行定价、参与者间的博弈及短融券信用评级分析 学位论文.doc

中国短期融资券市场探析——短融券的发行定价、参与者间的博弈及短融券信用评级分析 摘 要 企业短期融资券的用途是弥补企业短期经营支出，本文从短期融资券的发行定价、参与者间的博弈及短融券信用评级分析三方面浅析了中国短期融资券市场。 本文结构如下： 第一章介绍了我国短期融资券的现状，比较了企业短期融资券与美国融资性商业票据的区别；第二章分析了短期融资券发行利率的走势，进而对短期融资券一级市场和二级市场进行定价分析。第三章指出短期融资券促进了直接融资与间接融资的融合，企业与银行，银行与银行间展开了新的动态博弈。第四至六章通过对短期融资券信用评级中的现金流分析和违约率计算方法的探讨，对短期融资券的信用评级、我国当前市场的实际状况、信用价差以及已发行企业的财务指标进行了分析。 结论：短期融资券的发行价格要视当时市场的供求关系、资金状况、政策导向以及发债主体与主承销商的议价等各种情况而定；短期融资券的二级市场定价则可以从风险溢价角度分析，即其合理收益水平为无风险产品利率加上信用风险溢价及流动性风险溢价。短期融资券的长期信用价差不明显，但信用价差初具分化趋势，各评级机构同一信用等级之间的信用价差存在一定的差异，绝大多数发行企业具备按时还本付息和持续发行短期融资券的能力ABSTRACT The main purpose of issuing short-term bill is for corporate liquidity. This paper analyzes the Chinese short-term financing bonds market from the aspects of pricing, game theories of participants and credit rating. Chapter One introduce the actuality of Chinese short-term financing bonds market and compare the difference between shot-term financing bonds and American Commercial papers； Chapter Two analyzes the movements of short-term bonds’ price, the issuing price and the prices in the secondary market；Chapter Three point out that Short-term bills connect the direct financing and indirect financing. New competitions arise between corporations and banks, and also among banks. Chapter Four to Six talk about the cash flow analysis ,default rate analysis, credit risk and financial index of current issuers. We can make a conclusion that the issuing price will be determined by the money demand and supply, money policy and the asking power of the underwriters, and that the prices in the secondary market will be impacted by the movement of the risk-free rate, credit risk premium and liquidity risk premium. It is also concluded that the credit risk premium is not enough in current market pricing, and there is a trend of differentiating among issues in different financial shapes. It is also believed that most of current issuers do not have solvency problems. KEYWORDS：short-term financing bonds, commercial bank，pricing，game theory