我国商业银行减记债的设计、定价及对银行资本结构的影响研究

本项目将在巴塞尔协议Ⅲ提高资本充足率要求和我国拟大力发展减记债以加强银行资本监管的实际背景下，研究我国商业银行CoCo和CoCoCo型减记债的设计、定价及对银行资本结构的影响问题。在产品设计中，我们将结合我国的监管要求、商业银行的实际情况及国外已发行的CoCo和CoCoCo型减记债的真实案例，考虑触发事情、转股比率及行权价格等的设定问题；在定价时，我们将应用动态Copula刻画银行股价与银行核心一级资本比率CTR之间的动态相关结构，并采用简约式模型、结构化模型和股权衍生品模型来对其进行定价；随后选择国外有代表性的CoCo债券和我国已发行的减记债进行实证比较研究，结合市场价格选择拟合效果较好的定价模型，并分析发行减记债对我国商业银行资本结构的影响；最后在实证研究结果的基础上为我国的监管者和发行者给出可操作的监管和发行建议。从而在理论和实践上为相关研究和管理提供新的思路和方法。

Under the practical setting that Basel Accord III increased the capital requirement for banks and that China will develop the write-off bonds to reinforce the capital regulation, in this project we will study Chinese write-off (CoCo or CoCoCo type) bonds' design, pricing and impact on the capital strucute of commercial banks. In the design of write-off bonds, we will consider the setting of trigger events, conversion ration and exercise price, combining with the regulating requirement of CBRC (China Bank Regulation Commision), the practice of Chinese commercial banks, and the real cases of oversea CoCo and CoCoCo bonds. In the pricing of write-off bonds, we will employ dynamical copulas to characterize the dependence structure between issuer’s stock price and their Core Tier 1 Ratio (CTR), and then give the pricing models using the reduced-form model, the structural model and the derivative pricing model. Then we will choose some typical oversea CoCo bonds (including CoCoCo bonds) and Chinese existed write-off bonds to do empirical comparative studies, to select better models fitting well with real prices, and to analyze the impact of CoCo bonds on banks’ capital structure. Finally, we will present some operable suggestions for CBRC and Chinese commercial banks based on the empirical results. Therefore, this project will provide some new aspects and approaches for theoretical research and practical management.