基于转换点生存概率的或有可转债定价研究  

Research on Pricing Contingent Convertible Bonds with Survival Probability-based Trigger

作　　者：秦学志[1] 胡友群[1] 尚勤[1] 李静一[1,2] 

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024 [2]中国民生银行零售管理部,北京100031

出　　处：《管理工程学报》2015年第2期182-189,共8页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金(71171032;71101015);留学回国人员科研启动基金(第43批)

摘　　要：首先利用二叉树模型及风险中性定价原理,给出了离散时间下或有可转债(Contingent Convertible Bonds,简称Co Cos)的估值方法;然后通过刻画Co Cos在各转换点的生存概率,扩展构建了一个连续时间下的Co Cos定价模型;最后以瑞信集团发行的或有可转债"BCN"为例,进行定价计算及敏感性分析。结果表明银行资产及资产波动率对Co Cos价值有显著的正向影响。另外,为弥补现有研究不足,本文以权益比率为触发器,避免了银行权益与Co Cos价值间的多重均衡问题,并通过建立权益比率与核心一级资本充足率的线性模型,使定价模型可推广适用于以资本充足率为触发器的债券。In the process of introspecting the subprime crisis, regulatory authorities and market participants in many countries have been trying to find some systematic tool, which can be designed in advance and absorbs risks by market-driven means when crisis happens, to improve the absorbability of bank losses and reduce the government＇s bailout stress. In this context, contingent convertible bonds （CoCos for short）, a fixed capital bond automatically converting debt to equity in the agreed trigger condition, emerges. As CoCos is countercyclical, it becomes possible for creditors of CoCos to share bank losses. With the enhancement of regulatory authorities and market＇s attention to CoCos, this bond＇s contract design, especially pricing, is becoming the hotspot in theoretical field. The pricing idea of this paper is valuing the debt and equity embodied by CoCos respectively, and than getting the final CoCos price by summing the two parts. At the same time, this paper presents three essential hypothesis： the capital of bank, regarded as the issuer, follows a geometric Brownian motion; compared with investors of general bonds, holders of COCUS will take more risks, so as compensations, the interest rate of CoCos on the risk nentral assumption should be higher than risk-flee interest rate; since CoCos already bean issued in the market all set equity or core Tier 1 capital ratio as the trigger, the two indexes will be assumed to have a linear relationship with each other, in order to make the pricing method of this paper applicable in the both two circumstances. Based on the above pricing idea and assumptions, this paper firstly offers a valuation method of contingent convertible bonds （CoCos for short） under discrete time, by using binomial model and risk neutral pricing theory; then as an extension, it describes the survival probability-based trigger of CoCos to builds a CoCos pricing model under continuous time, by considering the obsoleteness and discontinuity of bank publishing or disclosing financial in

关 键 词：或有可转债 权益比率 二叉树模型 生存概率 

分 类 号：F830.45[经济管理—金融学]