基于风险补偿效应的银行转股型永续债优化设计与定价

Optimal Design and Pricing of Bank Perpetual Bonds with Conversion Clauses Based on Risk Compensation Effect

效应是衡量金融产品设计成败的重要依据。研究对永续债内蕴的风险补偿效应进行剖析与量化,并以风险补偿效应的控制为依据对转股条款进行优化设计:特别考虑了“部分转股”的情景,即在轻度财务困境时可实施部分转股,弥补了现有条款“一刀切”式的全部转股方式的弊端。进一步,给出了与所设计的转股条款相适宜的各利益方权益价值的结构化定价方法,并构建了可体现各利益方激励相容性的确定转股比例的约束优化模型,以充分体现发行方与投资者之间的“共建共享”特征。数值分析结果表明:适宜的转股条款设计可较好地控制风险补偿效应,既兼顾了永续债投资者的利益,又保护了发行银行股东的权益,且有利于提高发行银行的价值;所设计的转股条款在多种情景下均具有良好的可实施性,进而有望为永续债市场的良性发展提供有益的决策参考。

Effect is an important criterion to measure the success or failure of product design.This paper innovatively analyzes and quantifies the risk compensation effect inherent in perpetual bonds,and optimizes the conversion clause based on the control of risk compensation effect.It especially considers the scenario of“partial conversion”,which means perpetual bonds held by each investor would be converted into equity in a certain proportion in times of mild financial distress,which compensates for the drawbacks of the existing“one-size-fits-all”mode.Furthermore,it proposes a structured pricing method for the equity value of each stakeholder that is suitable for the designed conversion clause,and constructs a constraint optimization model to determine the conversion ratio that reflects the incentive compatibility of each stakeholder,fully reflecting the“co construction and sharing”characteristics between the issuer and investors.The numerical analysis shows that the risk compensation effect can be well controlled by appropriate design.The conversion clause provided not only takes into account the interests of investors but also protects the interests of shareholders.Meanwhile,it increases the value of the issuing bank.In addition,the conversion clause provided is operable under various scenarios.It is expected to provide useful references for the benign development of perpetual bonds.