隐性担保下债券定价的结构化模型及实证分析

Structural Model and Empirical Analysis of Bond Pricing in Government Implicit Guarantee

摘要:

采取了模糊集的概念，将政府隐性担保作为参数引入结构化模型，利用偏微分方程方法得到适合中国市场的债券定价公式，并且利用债券市场的不同类型的公司债数据对政府隐性担保概率进行了实证分析。利用民企债的历史数据结合最小二乘法对违约损失率进行了合理估计，基于债券定价公式，利用央企债和普通国企债的数据分析政府隐性担保作用。研究结果表明：央企债相较于普通国企债的隐性担保概率更高；债券的信用评级越高，相应的政府隐性担保概率越高；与经济不发达的地区相比，经济较为发达地区的政府隐性担保概率更高。

Abstract:

In this paper， the idea of fuzzy sets was embedded into a structural model of bond pricing， in which government implicit guarantee was regarded as a parameter. A closed-form formula for bond pricing was obtain by using the PDE（partial differential equations） methods. With the formula in hand， an empirical analysis was implemented to estimate the probability of government implicit guarantee by using different types of corporate bonds data. The fraction of the firm’s value lost in bankruptcy was first estimated by combing the historical data of bonds issued by private enterprises using the least square method. The function of government implicit guarantee was then analyzed by using the data of bonds issued by local and central state-owned enterprises. Three results were obtained. First， the probability of government implicit guarantee is higher for bonds issued by central state-owned enterprises than those issued by local state-owned enterprises. Next， as the credit rating increases， the probability of government implicitly guarantee increases. Finally， the probability of government implicit guarantee in developed regions is higher than that in undeveloped regions.