B-S模型下政治风险定价的研究--以中国数据为例

Study on the Pricing of Political Risk Under the B-S Model--Taking Chinese Data as an Example

在对外投资所面临的风险中,政治风险是一项特殊风险,其高风险往往并不意味着高回报,且它造成的影响比市场风险影响力更大。故识别以及量化政治风险是一项急需探索的事情。对于政治风险的定价,目前主流的方式是采用因子分析法对国际机构相关指标进行分析最终得出评估值,但这种方法往往并非那么精确。对此本文基于现有对于Black-Scholes模型在公司债券上的应用,将此方法应用到国家层面的政治风险分析,计算出政治风险溢价值。最终以我国近几年的数据作为实证分析,对比因子分析法所得评估值证明本文模型的可行性。

Among the risks faced by foreign investment,political risk is a special risk that its high risk does not always mean high return,and its impact is greater than market risk.So identifying and quantifying political risk is something that needs to be explored.For the pricing of political risk,the current mainstream method is to use factor analysis to analyze the relevant indicators of international institutions and finally get the evaluation value,but this method is often not that precise.Based on the existing application of Black-Sholes model in corporate bonds,this paper applies this method to the analysis of political risk at the national level and calculates the overflow value of political risk.Finally,taking the data of recent years in China as the empirical analysis,the evaluation value obtained by the comparative factor analysis proves the feasibility of this model.