商业银行次级债定价研究

Pricing Subordinated Bonds Issued by Commercial Bank

次级债已成为中国商业银行拓展附属资本、增加资本充足率的重要手段,因此对其进行合理定价是一个非常重要的问题。利用B lack-Scholes的期权定价思想,把次级债券看成以银行资产为标的的期权组合,研究次级债的定价问题。模型给出了适用于两种不同优先级清偿规则的次级债定价方法,给出了信用利差的分析和实例研究。对建设银行和华夏银行的次级债分析表明,中国商业银行的次级债存在着价值普遍被高估、利率水平偏低的现象,未上市流通、金融机构对次级债的相互持有是商业银行次级债利率偏低的主要原因。

Subordinated bond has become one of the most important financial instruments for commercial banks to expand accessorial capital and increase capital adequacy. Using Black and Scholes＇ approach to price an option, the paper takes a subordinated bond as a combination of some options underlain by bank assets and proposes a pricing model. The model can be used to two different types of recovery orders. Also the paper gives the analysis of credit spread by illustrating two banks. By example of China Construction Bank and Huaxia Bank, the paper concludes that subordinated bonds issued by commercial banks in China are commonly overvalued and their interest rates are lower. The main reason of this phenomenon is that these bonds are not public in market and they are held only by financial institutions.