基于Copula双变量模拟的CoCo债券定价  

CoCo bonds pricing based on Copulas bivariate simulation

作　　者：李平[1] 尹菁华 来娜[1] 黄光东[3] Li Ping Yin Jinghua Lai Na Huang Guangdong(School of Economics and Management, Beihang University, Beijing 100191, China Guangfa Securities, Guangzhou 510075, China School of Science, China University of Geosciences （Beijing）, Beijing 100191, China)

机构地区：[1]北京航空航天大学经管学院,北京100191 [2]广发证券,广东广州510075 [3]中国地质大学(北京)信息学院,北京100080

出　　处：《系统工程学报》2016年第6期772-782,共11页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71271015;71571008);中央高校基础科研业务费专项资金资助项目(2652013106)

摘　　要：用Copula函数刻画公司股价与核心一级资本比率(core tier 1 ratio,CTR)的相关性,然后通过模拟股价和CTR,建立了或有可转换债券(Co Co)以及带期权条款的或有可转换债券(Co Co Co)的定价模型.并将模型应用于塞浦路斯银行发行的CECS(convertible enhanced capital securities)债券,发现用Copula刻画股价与CTR相关性的定价结果与债券实际价格的差异优于假设两者独立时的结果.最后结合国际上已发行的Co Co和Co Co Co债券的相关条款以及我国银监会对于减记债的基本要求,以交通银行为例设计了中国版的Co Co债券和Co Co Co债券,并依据所给模型对它们进行了数值计算.The correlation of stock price and core tier 1 ratio（CTR） is described by using a copula function. By simulating the stock price and CTR, the pricing models of CoCo bonds and CoCoCo bonds are established. The empirical study on the CECS（converfible enhanced capital securities） issued by Bank of Cyprus shows that the pricing results under the copula dependence structure are better than those assuming independent. Finally, combining with the relevant provisions of existing international CoCo and CoCoCo bonds and the basic requirements of China Banking Regulatory Commission for write-down debts, the Chinese version of CoCo and CoCoCo bonds for the Bank of Communications are designed as exsamples, and the numerical calculation based on the given pricing model is implemented.

关 键 词：CoCo债券 CoCoCo债券 核心一级资本比率 Clayton COPULA 

分 类 号：TP273[自动化与计算机技术—检测技术与自动化装置]