具有一般关联结构母子公司担保债券的定价和风险分析  

The guarantee bond pricing for parent-subsidiary company with general structure and risk analysis

作　　者：林建伟 宋丽平 LIN Jianwei;SONG Liping(Mathematics and Finance College,Putian University,Putian 351100,Fujian Province,China)

机构地区：[1]莆田学院数学与金融学院,福建莆田351100

出　　处：《浙江大学学报（理学版）》2021年第6期668-675,699,共9页Journal of Zhejiang University（Science Edition）

基　　金：国家自然科学基金资助项目(11471175);福建省自然科学基金资助项目(2020J01909,2019J01807);福建省社会科学规划项目(FJ2016B235);福建省教育厅科技重点资助项目(jy2016xsj01);莆田市科技计划项目(2019RP001).

摘　　要：为更好地处理母子公司担保条款对公司债券估值的影响,在随机利率服从CIR模型下,分析了一家母公司同时为n家子公司提供担保的公司债券定价问题。通过一家母公司与n家子公司违约强度的关联结构描述因担保而形成的母子公司违约关联结构,采用约化方法,建立了具有一般结构母子公司担保债券定价的数学模型,得到了定价公式。分析了母公司为n家子公司提供担保所体现的担保价值和可能引发的违约传染性风险。结果表明,母子公司担保条款提升了子公司的信用等级,但同时也可能引发违约传染,导致母公司违约概率增加。In order to better deal with the impact of parent-subsidiary guarantee clause on the valuation of corporate bonds,this paper analyses the pricing problem of corporate bonds with one parent company guaranteeing n subsidiary companies under the CIR model of stochastic interest rate.It describes the correlation structure of parent-subsidiary company defaults by the correlation structure of the corresponding default intensities.Moreover,it establishes a mathematical model of guarantee bond pricing for parent-subsidiary company with general structure by using reduction method,and obtains the pricing analytical expression.The guarantee value and contagious risk triggered by the guarantee contract of parent-subsidiary company are considered.The numerical results show that:the parent-subsidiary guarantee clause improves the credit rating of the subsidiary,but at the same time,it may also lead to the contagion of default,leading to the increase of the default probability of the parent company.

关 键 词：约化方法 违约强度 母子公司担保 公司债券定价 传染性风险 

分 类 号：F830[经济管理—金融学]