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

中國能源類企業(yè)債券定價研究

發(fā)布時間:2018-01-01 03:23

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


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


【摘要】:債券定價研究的關(guān)鍵是確定債券收益率與同一到期日的無風險債券之間的利率差,也就是信用價差。無風險債券常由具有最高信用級別的國債來表示,信用價差的產(chǎn)生即是為了補償企業(yè)債券相對國債的信用風險的額外收益。 由于我國企業(yè)債券市場發(fā)展時間較短,市場成熟度低,債券定價和信用價差方面的研究多是以西方學者對國外成熟債券市場金融產(chǎn)品的定價模型為參考,沒有結(jié)合國內(nèi)市場形勢。而信用價差是各類債券及相關(guān)衍生品定價的基礎(chǔ),隨著我國企業(yè)債券市場的發(fā)展與成熟,信用價差研究的現(xiàn)實意義會進一步凸顯出來。 在理論基礎(chǔ)部分,本文對比了國內(nèi)外常用的金融產(chǎn)品定價模型。從違約是否可具有預測性出發(fā),可分為結(jié)構(gòu)模型和簡約模型。結(jié)構(gòu)模型認為違約是可以預測的。簡約模型的前提是違約事件是不可預測的。由于中國債券市場發(fā)展時間限制以及市場規(guī)模有限,市場數(shù)據(jù)較為缺乏,如違約率、回收率以及評級缺陷,所以采用簡約模型作為研究定價的理論基礎(chǔ)有一定的操作性和可行性。 在實證部分,本文考慮到國內(nèi)債券市場存在流動性低下等系統(tǒng)性缺陷,在NSS模型條件下擬合國債利率期限結(jié)構(gòu)曲線和能源類行業(yè)的企業(yè)債信用價差期限結(jié)構(gòu)曲線。在此基礎(chǔ)上,,對三個行業(yè),石化、電力和煤炭的企業(yè)債信用價差的影響因素進行多元回歸模型建立。隨后,根據(jù)擬合得到的信用價差曲線和回歸模型變量樣本,對模型中的因變量和自變量進行脈沖檢驗,確保變量的有效性。在最后的定價模型建立部分,依據(jù)簡化定價模型和簿記建檔的發(fā)行模式進行企業(yè)債定價模型的確定。 本文結(jié)合國內(nèi)債券市場發(fā)展情況對實證結(jié)果進行分析,指出中國的債券市場還不完善、企業(yè)債券發(fā)行未完全實現(xiàn)市場化、新債上市時常常受到市場的追捧而導致價格偏高的情況存在,導致債券價格與價值的偏離。
[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.

【學位授予單位】:中國地質(zhì)大學(北京)
【學位級別】:碩士
【學位授予年份】:2014
【分類號】:F426.2;F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 楊曉奇;陳冠華;;關(guān)于我國企業(yè)債券市場利差的實證研究[J];財會月刊;2010年11期

2 劉大巍;陳啟宏;張

本文編號: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,作者需要刪除請E-mail郵箱bigeng88@qq.com
久艹视频在线| 无码av大香线蕉伊人久久| 国产97色| 99久久久久| 九色丨熟女丨高潮| 91pornyⅰ九色| 精品综合久久久久久8888| 日本成本人片免费网站| 亚洲一区二区三区97| 亚洲欧美专区| 韩国三级伦在线观看久| 97SE狠狠狠狠狼鲁亚洲综合色 | 国产片aⅴ在线观看国语| 国内精品无码一区二区三区| 免费精品无码AV片在线观看 | 精品国产_亚洲人成在线| 玖玖在线视频| 久久国产99| 久久国产情侣露脸精品| 日本亲近相奷中文字幕| 国产成人午夜福利高清在线观看 | 电影天堂网| 欧美综合自拍亚洲综合图 | 国产精品嫩草影院av蜜臀| 中国女人被黑人巨大猛进| 久久久久亚洲国产AV麻豆| 亚洲日韩色在线影院性色| 国产精品对白刺激久久久| 噜噜噜亚洲色成人网站| www.xxav| 手机免费av片在线观看| 三级网站在线播放| 天堂中文最新版在线中文| 国产思思99re99在线观看| 四虎激情| 无码高潮少妇毛多水多水 | 久久不见久久见免费视频6无删减 亚洲精品国产肉丝袜久久 | 在线观看av片永久免费| 收藏| 99精品久久久久久久婷婷| 亚洲精品乱码久久久久久久久久久久|