考虑展期风险的可赎回CoCo债券定价

Pricing of callable contingent convertible bonds with extension risk

始于2007年的次贷危机结束之后,CoCo债券(contingent convertible bond)因为其能够在金融危机时迅速提高银行资本充足率而受到关注.本文考虑了展期风险对CoCo债券价格的影响,用Copula函数刻画股票价格与核心一级资本比率(Core Tier 1 Ratio,CTR)的相关性,用CIR模型刻画利率期限结构,并对CoCo债券的赎回进行判定,采用蒙特卡罗模拟法为带有可赎回条款的CoCo债券定价.将此模型应用于巴克莱银行发行的可赎回CoCo债券验证模型的有效性.最后,结合国际上已发行的CoCo债券的相关条款和我国银监会对于减记债(中国版CoCo债券)的基本要求,设计了中国版的CoCo债券,并在数值计算的基础上进行了股价冲击和银行业监管要求对CoCo债券价格影响的敏感性分析.

The financial crisis since 2007 has highlighted the fragility of the banking system.CoCo bonds have been a hot topic as both a solution to the“too big to fail”problem and a measure by which financial institutions can raise the capital adequacy ratio and save themselves during crises.In this paper,CoCo bonds with extension risk are analyzed.Stock price and Core Tier 1 Ratio are simultaneously simulated and copula functions are introduced to measure the correlation between stock price and Core Tier 1 Ratio.CIR model is used to describe the term structure of interest rates,and Monte-Carlo simulation method is employed to price callable CoCo bonds.Further,callable CoCo bonds issued by Barclays bank are applied to test the performance of our model.Finally,the paper designs the Chinese version of CoCo bonds,and gives the numerical calculation and scenario analysis.