企业债券品种设计与创新分析

Innovation in Product Design of Corporate Bonds

信用风险和价格风险是企业债券品种设计所需规避的基本风险。实证研究表明,信用风险是存在的,且具有一定周期性;它与融资成本、企业债券收益率是相关的;在信息不充分的市场上,它具有相当的信息价值,它的改变会对企业债券的价格产生冲击;违约债券估价模型是信用风险规避的基本创新方式。而价格风险加大是企业债券品种创新的重要驱动因素,在价格风险的压力下,可回购、可赎回债券,结构性、衍生性企业债券品种的设计日趋活跃。

Credit risk and pricing risk are the two key factors to be considered to design corporate bonds. Empirical studies revealed that credit risk in corporate bonds market is cyclical and is related to financing cost and yields of the bonds. Therefore, current financial instruments innovation attach great importance into avoid credit risk, and pricing model of default bonds has come into fashion to solve such problem. Similarly, many evidences have tested the correlation between price fluctuations and financial instruments innovation. To settle this problem, call bond, structure corporate bond and derivative corporate bond have been put into practice.