系统管理学报

Journal of Systems & Management ›› 2020, Vol. 29 ›› Issue (1): 92-99.DOI: 10.3969/j.issn.1005-2542.2020.01.010

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Pricing of Resetable CoCos Based on Path Decomposition

QIN Xuezhi, WANG Lin, SONG Yu   

  1. Faculty of Management and Economics, Dalian University of Technology, Dalian 116024, China
  • Online:2020-01-29 Published:2020-05-14

含重置条款的或有可转债路径分解式定价

秦学志，王麟，宋宇   

  1. 大连理工大学 管理与经济学部，辽宁 大连 116024
  • 作者简介:秦学志（1965-），男，教授，博士生导师。研究方向为金融工程。
  • 基金资助:

    国家自然科学基金资助项目(71471026，71871040)；

    国家自然科学基金重点项目(71731003)；

    中央高校基本科研业务费资助项目(DUT17RW210)

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Abstract:

If contingent convertible bonds  (CoCos) have not been changed to equity for a long time, the issuer may not be able to pay high coupons and will be forced to redeem the bond. In order to solve the problem, this paper designed a resetable CoCos (RCCst). First, it analyzed the path dependence characteristics of bond value through the decomposition of possible paths of the stock price. Then, it calculated the put-back boundary and bond value. The numerical analysis show that the value of RCCs is less than the that of CoCos under the same parameters and the usability of its clauses has certain advantages compared with the redeemable CoCos which are prevalent in the current market. The sensitivity analysis indicates that there is a negative correlation between the bond value and the annual volatility of the stock price, and a positive correlation between the bond value and the resetable date. Therefore, it is necessary to select the appropriate resetable date based on the prediction of future market risk.






Key words: contingent convertible bonds (CoCos), resetable provision, path decomposition

摘要： 为了解决或有可转债在长期没有进行债转股的情况下，可能会出现由于发行方无力支付高额息票而被迫对债券进行赎回的问题，设计了一种包含重置条款的或有可转债。通过对债券存续期内标的股票价格可能发生的路径进行分解，分析了此类条款下债券价值的路径依赖特征，在此基础上，进一步确定了回售边界以及债券价值。通过数值分析得出：本文设计的或有可转债的价值低于相同参数下不含任何附加条款的或有可转债的价值，并且条款的可用性与目前市场上普遍存在的可赎回或有可转债相比存在一定的优势；敏感度分析结果显示，债券价值与股价年波动率之间呈负相关关系，与修正条款执行日之间呈正相关关系，因而宜根据对未来市场风险的预测来选取适当的条款执行日。

关键词: 或在可转债, 重置条款, 路径分析

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