中小企业集合债券定价模型  

The Pricing Model of Consolidated Bonds of SMEs

作　　者：谢文[1] 王雄[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《系统工程》2010年第5期117-121,共5页Systems Engineering

基　　金：国家自然科学基金资助项目(70873136);国家社科基金重点资助项目(08AJY040)

摘　　要：发行中小企业集合债券是解决当前中小企业融资难问题的新途径。本文采用简化法对中小企业集合债券进行定价分析:假定企业违约事件遵循一个泊松过程,并与企业资产无关,考虑国家开发银行对其提供担保,在利率服从CIR利率模型下,推导出中小企业集合债券的定价公式,并对其参数的意义进行分析。It is a new approach to issue Consolidated Bonds of SMEs for resolving the financing difficulty of SME at present. In this paper, we have priced the value of Consolidated Bonds of SMES using the simplified method： Assuming that the processes of default is Poission process and independent of the asset of SMEs, by considering guarantee provided by China Development Bank, we derive the formula of pricing Consolidated Bonds of SMEs when the interest rate obeys the CIR model and analyze the financial implication of its parameter.

关 键 词：中小企业 违约强度 集合债券 定价模型 

分 类 号：F811[经济管理—财政学]