中国商品挂钩债券定价设计研究

Design the Financing and Pricing of Commodity-linked Bonds in China

针对中国企业债券融资违约频发、政府担保风险累积、品种单一及政策约束不当等问题,探讨中国商品挂钩债券设计、定价与仿真的理论、方法及应用。与普通债券不同,围绕商品挂钩债券样本设计、价值确定、信息集成、仿真平台等问题,明确了中国商品挂钩债券定价的设计思路与实施步骤。结论为:第一,应从完全市场下多因素一般定价模型出发,推演考虑随机便利收益引致的不完全市场商品挂钩债券的价值方程;第二,应提出多变量间内在关系命题,并采用数据模拟将多维数值空间实施分组降维;第三,应在约束条件中考虑对不同商品价格的路径选择,模拟真实环境下商品挂钩债券的设计和定价。

By the purpose of solving the problem on government bond credit risk, including lack of corpo- rate bonds varieties and improper policy regularity, a research is conducted in this paper on the devising, pricing theories, methods and application of commodity-linked bonds in China. Conclusions obtained are as follows. Firstly the incomplete market commodity-linked bond valuation equation should be deduced with the stochastic convenience yield; Then, the intrinsic relationship among multi-variables and the processing of the multi-dimensional data-space should be proposed so as to indicate the valuation trajectories; Furthermore, the value expression of commodity-linked bonds under price control should be deduced so as to simu- late the real-world devising and pricing of commodity-linked bonds. As an example, the paper designs a general crude oil linked bond which related to the Daqing crude oil in China is designed in this paper. By the method mentioned above, the value sensitivity is analyzed with the variables, and the value changing track is described. Key technical problems such as the sample design, valuation, information integration and simulation platform of commodity-linked bonds in China are addressed in this paper.