基于险企债务清偿结构的可转债定价研究  

The Convertible Bond Pricing based on Insurers' Debt Settlement Structure

作　　者：程志富[1] 

机构地区：[1]武汉大学经济与管理学院,湖北武汉430072

出　　处：《保险研究》2016年第1期30-42,共13页Insurance Studies

基　　金：教育部哲学社会科学研究重大攻关项目"欧美国家债务危机对我国的影响及其对策研究"(编号:12JZD029)的阶段性研究成果

摘　　要：保险公司作为一类特殊机构，在通过转债进行融资时，其自身的债务清偿结构会对转债的价值和内在风险产生影响。如果忽视这一因素，直接利用传统的普通公司转债定价方法来给保险公司转债估值，会由于无法捕捉到其债务结构所带来的风险而高估转债价值，造成对其真实价值的系统性偏离。本文构建一个包含债务清偿结构的转债模型，再利用该模型对平安转债2014—2015年期间的市场数据进行实证，结果表明平安公司确实存在着显著高于同行的债务清偿风险。这说明，在为险企转债定价时，考虑其债务清偿结构是很有必要的。As a special kind of entity, the insurance company＇ s debt settlement structure will have an impact on the value and the inherent risks of its own convertible bonds issued as a form of financing. If we ignore this factor and employ the traditional general pricing method for corporate convertible bonds to value the insurance company＇ s convertibles directly,we may fail to capture the risks posed by the insurance firm＇s debt structure and overvalue its convertible bond, and thus leading to a systematic deviation from its true value. Through building an insurance firm＇s convertible bond model containing debt settlement structure,we conducted an empirical analysis on the 2014 -2015 period market data of the convertible bonds issued by Ping An. The empirical results show the existence of a significantly higher debt settlement structure than its peers. This indicates that,when pricing insurers＇ convertible bonds, it is necessary to consider the risk of their debt settlement structure.

关 键 词：险企附属资本 次级可转债 清偿顺序 

分 类 号：F840[经济管理—保险]