我国农业巨灾债券多期定价的实证研究——基于海南省天然橡胶产量数据

An empirical research on multi-period pricing of agricultural CAT bonds in China —Based on the statistics of rubber production in Hainan

以巨灾债券定价理论为基础,从风险管理的角度出发,将农业巨灾生产风险与债券利率期限结构相结合,并以海南省1992—2012年橡胶产量数据为样本进行实证分析,结合样条回归模型、核密度估计方法,通过债券参数的不同变化和组合得出多年期农业巨灾风险债券价格,并模拟设计了相应的农业巨灾债券产品。结果表明:农业巨灾债券是当下弥补我国农业在重大灾害下所遭受损失的有效手段和重要金融创新;巨灾债券合同设计的触发值、必要收益率水平与债券价格呈负相关关系,面值偿还比例与债券价格为正相关。因此,为保证农业巨灾债券的顺利发行、提高产品的市场吸引力,在发行初期需要政府的大力扶植和培育,债券的合同要素和参数水平也需要根据投资者的偏好程度和行为特征进行相应的设计和规定。

Based on the catastrophe（CAT）bond pricing theory,from the perspective of risk management,this paper combined the agricultural CAT risk production and bond term structure of interest rate,empirically analyzed the data of rubber production in Hainan province in 1992-2012,then by spline regression model and kernel density estimation,obtained the multi-period agricultural CAT risk bond prices and designed the corresponding agricultural CAT bond products according to the bond parameter variations and combinations. The results showed that agricultural CAT bond was both an effective method and important financial innovation against the huge losses caused by catastrophes in the agricultural sector;the bond price had negative correlation with the trigger value and yield of CAT bond,but had positive correlation with the repayment of nominal value. Therefore,it was suggested that to increase the market popularity of agricultural CAT bonds,at the initial issuing stage,strong policy support was urgently needed from the government,while the contractual details and parameters of bond should be carefully designed and regulated to meet up individual preferences and behaviors for investment.