系统管理学报2024，Vol.33Issue(5)：1362-1372,11.DOI:10.3969/j.issn2097-4558.2024.05.018
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
摘要
Abstract
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.关键词
银行永续债/转股条款设计/风险补偿效应/激励相容Key words
bank perpetual bonds/design of conversion clauses/risk compensation effect/incentive compatibility分类
管理科学引用本文复制引用
刘洋,秦学志,尚勤,林先伟..基于风险补偿效应的银行转股型永续债优化设计与定价[J].系统管理学报,2024,33(5):1362-1372,11.基金项目
国家自然科学基金资助项目(71871040) （71871040）
国家社会科学基金重大项目(18ZDA095) （18ZDA095）
中央高校基本科研业务费专项项目(DUT22RW211) （DUT22RW211）
