基于弹性控制的或有可转债优化设计与定价研究

Contingent Convertible bonds(CoCos for short) have gotten more and more attentions both in financial industry and in academic research filed from the financial crisis of 2008. On the basis of reviewing the corresponding researches international and domestic, we pointed out some problems which should be further researched in the future, including that the risk measure method of CoCos has not been systematically studied, so that the optimal design of the thresholds and conversion mechanism of CoCos has not been realized based on quantative risk control results. The research about incentive compatibility between the issuer and investors should be further improved in order to get the situation of “earning co-sharing, risk co-taking”. The synthetic research on both the cross- effect of several earning-adjusted tools and the corresponding optimal design of CoCos have not been paid enough attention. Therefore, this project wants to make some innovations in the following aspects. Firstly, we plan to solve the optimal design and pricing problem under the condition of 3 thresholds which are conversion threshold, put-back threshold and callable threshold. Through the optimal designs of elasticity control, time-varied thresholds and other clauses, it is helpful not only to decrease the earning risks of issuer and investor, and to enhance the issuing success probability of CoCos as well. Secondly, the optimal design that aims at deducing the manipulation behavior and asset transfer, and getting the situation of incentive compatibility between the issuer and the investors, will be helpful to enhance the issuer’s loss-absorbing power when the insolvency incurred, and to obtain the win-win strategy as well. It is likely that the researches of this project will enhance the sustainability of the CoCos.

2008年金融危机后，或有可转债的设计与定价引起了金融界和学界的广泛关注。目前研究在某些方面尚待进一步深入：或有可转债的风险度量方法尚未取得系统性的研究进展，因而尚未出现基于风险控制的或有可转债相关阈值和权益转换方案的优化设计研究；关乎利益相关者的“利益共享-风险共担”激励相容方面的相关研究，尚待进一步深入；诸多影响或有可转债设计的权益调整条款，对或有可转债价值的综合或交互影响及其优化设计的研究，仍很不足。为此，本项目拟在下列几个方面进行创新：第一，基于弹性控制，考察具有转换、卖回和赎回三个阈值的或有可转债优化设计与定价问题，通过弹性控制、时变阈值和条款的优化设计，以期降低或有可转债利益相关者的收益风险。第二，对旨在尽量减少操纵行为、财富转移效应与促成激励相容局面的或有可转债进行优化设计，期望据此减弱利益相关者在权益方面的冲突，以提升或有可转债的损失吸收能力和市场吸引力。

项目研究紧密围绕拟创新的下列工作：第一，基于弹性控制，考察具有转换、卖回和赎回三个阈值的或有可转债优化设计与定价问题，以期降低或有可转债利益相关者的收益风险。第二，对旨在尽量减少操纵行为、财富转移效应与促成激励相容局面的或有可转债进行优化设计，期望据此减弱利益相关者在权益方面的冲突。发表论文28篇，其中在国际期刊发表10篇，在国内期刊发表17篇，国际会议发表1篇。学生培养19人，其中培养了国外博士留学生毕业生1人，国内博士毕业生4人，硕士毕业生8人，在读博士生5人，在读硕士生1人，其中Muhammad Arif Khan博士荣获2020年度中国政府优秀来华留学生奖学金。. 研究取得的成果主要包括如下几个方面：① 或有可转债的优化设计与定价：分别设计了包含重置条款的或有可转债、具有双重触发特征的或有可转债、逆周期缓冲机制下的双触发器或有可转债、关联发行银行财务困境成因的减记条款、含分层损失吸收型债务的新型银行资本结构、基于内部纾困机制的银行或有资本。② 设计并定价了具有或有结构的债券，以应对银行财务困境：利用ASEL III 和 TLAC准则设计分层或有资本、采用激励相容理论构建基于权益再融资和策略性债务支付的公司定价模型、采用永续债置换及权益再融资的施救策略构建了公司定价模型。③ 采用CoCos对企业债务悬空的应对策略进行研究：提出了股权和现金混合偿付的谈判式应对方法、提出了事后谈判、事前自动触发式应对方法，提出了以债务再谈判驱动的激励相容式的权益重置。④ 旨在改善或有可转债定价模型构建的期权定价方法研究：基于上证 50ETF 期权市场设计了基于 Hull－Wtite扩展模型的动态定价方法、采用混合分数布朗运动在模糊情境下的期权定价。⑤ CoCos在PPP中的应用研究：在交通PPP中的应用、在对冲 PPP项目资本短缺风险及抑制项目“大而不倒”负面效应中的应用、在缓释PPP项目建设期和运营期风险中的应用。⑥ 影响或有可转债定价模型构建的不确定性及其效应研究：不确定性、财务杠杆、商业信用对公司负面影响的缓释策略。