基于或有可转债的债务悬空应对方法及其定价研究  

The design and pricing research of the method for dealing with the debt overhang based on contingent convertible bonds

作　　者：秦学志 宋宇 QIN Xuezhi;SONG Yu(Faculty of Management and Economics,Dalian University of Technology,Dalian 116024,China)

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《管理工程学报》2020年第3期160-168,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(71471026);国家自然科学基金资助重点项目(71731003);中央高校基本科研业务费联合资助(DUT17RW210)。

摘　　要：债务悬空(Debt Overhang)会导致公司陷入财务困境,阻滞其开展正常的投融资活动。现有研究表明,发行或有可转债(Contingent Convertible Bonds,简称CoCos)有望成为一种应对债务悬空的有效方法。本文以债务悬空应对方法及其定价为研究主题,通过改进CoCos债转股的触发阈值,即以债务悬空发生时公司资产账面价值作为触发阈值,以解决现有CoCos产品在债务悬空应对的适配性方面的不足。具体地,结合债务悬空发生时公司资本结构的特征,考虑转股后的破产清算,基于结构化信用衍生品定价方法进行建模,进而得到CoCos债转股及破产清算时公司资产账面价值的触发阈值,并给出了公司资产、普通债、CoCos、股权价值的解析解,据此进一步计算CoCos和普通债的信用价差及公司的财务杠杆。最后,通过数值模拟,探析了波动率、发行期限以及息票支付的税盾效应对CoCos和普通债信用价差的影响,及CoCos和普通债的发行期限和数量对财务杠杆的影响;得到了通过适当提高CoCos合约的债转股比例,可以有效降低债务悬空发生可能性的结论。Myers first put forward the concept of debt overhang in the year of 1977.Debt overhang is the phenomenon that the existing debt is so great that the corporation cannot borrow more,which makes the corporation’s intention to invest in new projects unfavorable.It may even make the corporations fall into financial distress and make it hard for them to finance or invest in the market.Existing studies show that the issuance of the contingent convertible bonds(CoCos)can provide an effective method to deal with the debt overhang.However,in the existing studies,the designs of the CoCos conversion trigger condition in dealing with the debt overhang are still incompatible,and it may bring negative influences on the stakeholders:On the one hand,if the conversion trigger value is too low,it may lead to the situation that the CoCos conversion cannot help the corporation in time that has issued the CoCos to get out of the financial distress caused by the debt overhang.As a result,the hedging function of the CoCos becomes weakened accordingly.On the other hand,if the conversion trigger value is too high,when the CoCos start to convert to equity,the corporation hasn’t fallen into the financial distress caused by the debt overhang yet.As a result,the conversion is unnecessary,and the unnecessary equity dilution may lead the additional losses to the stakeholders.This paper focuses on the design of the method to deal with the debt overhang and its pricing problems.It mainly improves the selection method of the CoCos conversion trigger value.The design in this paper can make the conversion trigger value reflect the critical state of the corporation asset book value when the corporation is just falling into the financial distress caused by debt overhang,and it is hopeful of solving the“suitability insufficient”problem in the existing studies about the CoCos contracts.In a detailed way,firstly,the pricing models are built based on the structural credit derivatives pricing method.The characteristics of the capital structure are

关 键 词：债务悬空 或有可转债 触发阈值设计 结构化定价方法 信用衍生产品 

分 类 号：F830.91[经济管理—金融学]