文档介绍：中国短期融资券定价与利差分析研究 THE ANALYSIS ON PRICING AND SPREAD MERCIAL PAPER IN CHINA 学 校: 上海交通大学 学 院: 安泰经济与管理学院 专 业: 工商管理( MBA) 作 者: 胡红波 导 师: 吴文锋 学 号: 1051209579 班 级: M0512092 答辩日期: 2007 年 06 月 10 日中国短期融资券定价与利差分析研究摘要目前,我国金融体制改革正进入攻坚阶段,金融业的发展正处于重要的战略机遇期,一系列的金融创新产品迅速被推出。短期融资券作为商业银行中短期贷款的替代产品, 于2005 年5 月在银行间市场推出以来, 受到了众多发行企业和投资者的追捧。但在目前国内金融市场处于半市场化的情况下,如何对短期融资券定价,逐渐成为发行人、承销商和投资者所最为关注的问题。 本文首先介绍短期融资券的定义及发行、交易程序,通过与其他金融融资工具的对比,说明短期融资券在我国的适用发行企业范围。在国内外短期融资券发展情况对比的基础上,指出我国短期融资券的发展方向。 接着,在参考国外定价理论的同时,对影响短期融资券发展最为重要的因素——定价问题,进行了深入的定量分析。在进行大量数据处理的基础上,分别对一、二级市场短期融资券的定价影响因素进行分析, 并得出相应的回归模型,对短期融资券的定价起到了指导性意义。 各市场参与者在短期融资券的发行、交易中各自担负着不同的角色, 从而也会面临不同的风险。在本文的最后就各市场参与者所面临的信用风险、市场风险、流动性风险、评级风险及其他风险进行了详尽的分析, 并分别提出了相应规避、防范风险的具体办法。 关键词: 短期融资券, 定价, 利差,风险 THE ANALYSIS ON PRICING AND SPREAD OF COMMERCIAL PAPER IN CHINA ABSTRACT Nowadays, China is confronted with severe challenges in the financial reformation. Meanwhile, more and mo re financial products have been provided on the financial market. Comm ercial Paper has been launched in May 2005 in inter-bank market as the replacing product of middle or short-term loan. It is ing an attractive instrument for issuers and investors. However, how to Price co mmercial Paper in the no efficiency financial market is b ecoming the most important focus for issuer, under writer and investor. In this paper, we firstly introdu ce the definition mercial Paper, and state the process of release and tr ading. Furthermore, we display the advantages merc ial Paper paring with other financing instruments, therefore th e applicable enterprises to mercial Paper are available. In the followings, we find out the distance between domestic Commercial Paper a nd mercial Paper, and then discuss the direction of development about Commercial Paper in China. The pricing mercial Paper is rese arched carefully in 3rd chapter on the basis of lots of data analysis. Th e first step, we find out spread factors mercial Pa per