中国银行次级债发行时的“风险定价”与市场约束臆想  

The Risk Pricing and Market Discipline Imagination When Banks Subordinated Debts Issued in China

作　　者：许友传[1] 杨骏[2] 

机构地区：[1]复旦大学经济学院,上海200433 [2]中国人民银行金融研究所,北京100800

出　　处：《金融研究》2012年第5期93-107,共15页Journal of Financial Research

基　　金：国家自然科学基金(70903012);教育部人文社会科学研究基金(09YJC790045);复旦大学金苗项目(09JM030)的资助

摘　　要：本文研究了银行次级债发行时的风险定价与市场约束情形。我们基于银行偿付结构中高级债、次级债、混合资本债和股权的优先清偿顺序,在银行资产价值的随机运动假设下,分别给出了银行对次级债债权人的违约概率、违约损失率、以及次级债风险溢价的测度公式,并基于我国上市银行可观测的股权价值序列估计了其资产价值及其波动性,测度了发债银行在相对违约和绝对违约情形下的风险指标。在控制次级债的债项特征和债项主体特征后,研究了次级债的违约风险与其发行时的实际风险溢价间的关系,发现两者之间存在不显著的负相关关系,表明次级债定价未能适当地对银行违约风险作出显著地逆向反应,其发行时的"风险定价"与市场约束要求不完全一致。为了增强次级债发行时风险定价的敏感性及其市场约束功能,监管当局可要求银行定期和小规模地发行次级债、限制银行同业对次级债的投资与持有、并尝试对发债银行的发行定价进行利率下限约束和上限规制。The paper studies the risk pricing and market discipline conditions of China＇s banks subordinated debts when new issues are launched. Based on the debt-servicing priorities of senior debts, subordinated debts, hybrid capital debts and equity and the stochastic movement hypothesis of bank asset value, we put forward the measurement formulas for default probability, loss given default and theoretic risk premium of subordinated debts under the conditions of absolute default and relative default respectively, and estimate them based on the observable equity value series of listed banks et al.. Then we empirically test the relationship between defaultrisk indicators and the real risk premium of subordinated debts after controlling their facility and issuer charac- teristics, but don＇t find significantly negative correlation between them. It indicates subordinated debts pricing doesn＇t significantly and appropriately reflects the default risk of issuer. In other words, the risk pricing of new- ly-issued subordinated debts is not completely consistent with the requirement of market discipline. In order to enhance the risk pricing sensitivity and market discipline function of newly-issued subordinated debts, the regu- latory authority should require banks to issue subordinated debts in the manner of regularity and small sizes, re- strict other peers＇ investment and holding, and introduce the floor constraint and ceiling control for the issue pri- cing of subordinated debts.

关 键 词：次级债 市场约束 风险定价 期权定价 

分 类 号：F832.51[经济管理—金融学] F832.2F224