基于信用增级视角的中小企业集合票据定价研究  

The Research of the SMEs Collective Note’s Pricing Based on the Credit Enhancement

作　　者：潘永明[1] 李雪[1] 张婷婷[1] 

机构地区：[1]天津理工大学管理学院,天津300384

出　　处：《金融经济学研究》2013年第4期26-35,共10页Financial Economics Research

基　　金：国家社会科学基金资助项目(11BGL023)

摘　　要：信用增级能够提高中小企业发行集合票据的信用等级,提高市场认可程度,进而影响集合票据的定价。对集合票据信用增级的本质及信用增级过程中的利益均衡问题进行分析,得出最优增级费率;然后分析得出n个中小企业发行集合票据与无风险国债的信用利差小于单个企业发债的信用利差,使得集合票据的定价不能沿用公司债券的定价公式;在随机利率的Vasicek模型基础上,用结构和约化相结合的方法对有第三方增信机构担保的集合票据的定价公式进行了推导。Credit enhancement can improve the collective note ＇ s credit rating issued by the SMEs, increase the market recognition degree, and affect the pricing of the collective notes. This paper analyzes the nature of credit enhancement and the benefit equilibrium problem in the process of credit enhancement, then analyzes and obtains that credit spread between the collective notes issuing by N SMEs and the risk -free government bond is smaller than the single enterprise bond, so the collective note＇ s pricing can＇ t use the pricing formula of corporate bond. Further more, based on the Vasicek model of stochastic interest rate, this paper derives the pricing formulas of the collective note guaranteed by a third party credit agency with the structure form and the reduces form combined.

关 键 词：集合票据 信用增级 信用利差 

分 类 号：F830.5[经济管理—金融学]