The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates . On the basis of stochastic interest rate, the model of firm's bond with default corr...The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates . On the basis of stochastic interest rate, the model of firm's bond with default correlation was established by means of reduced form and partial differential equations (PDE). Also, the close form formula for the pricing of the firm's bond was obtained. Finally, some numerical examples were given to illustrate how our models work.展开更多
We apply the methods of principle component analysis (PCA) and Wilcoxon’s signed rank test (WSRT) to study influence of conversion of convertible bonds on corporate performance of different industries in China. In th...We apply the methods of principle component analysis (PCA) and Wilcoxon’s signed rank test (WSRT) to study influence of conversion of convertible bonds on corporate performance of different industries in China. In this paper, 33 convertible bonds that were issued by non-financial sectors from 2002 to 2009 in China with the convertible rate more than 50% within a year were selected as a research sample. In order to provide a reference for the parties concerned, the influence of conversion of convertible bonds on corporate performance in different industries was studied from the industrial properties point of review.展开更多
Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering d...Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.展开更多
At present, the research on the relationship of corporate social responsibility and economic performance mostly adopts the method of large-scale sampling, but does not distinguish the sample industries and regions, so...At present, the research on the relationship of corporate social responsibility and economic performance mostly adopts the method of large-scale sampling, but does not distinguish the sample industries and regions, so the relevant research needs to be further analyzed. Based on the 2008-2017 data of 78 listed enterprises in Henan province, the relationship between corporate social responsibility and economic performance in 7 industries is measured by 8 indexes through Arellano-Bond dynamic panel data model. The research shows that the social responsibility of listed enterprises in Henan Province has a lagging impact on the economic performance of enterprises, which has a negative impact on the short-term and a positive impact on the long-term. The common point is that the responsibility of the investor has a positive impact on the economic performance of the enterprise, and other aspects vary greatly due to industry categories. In general, the degree of corporate social responsibility of listed enterprises in Henan Province is relatively low.展开更多
This study uses the difference-in differences method to test the impact of a high-speed rail(HSR)service on the issuance of municipal corporate bonds(MCB)based on panel data for prefecture-level cities in China from 2...This study uses the difference-in differences method to test the impact of a high-speed rail(HSR)service on the issuance of municipal corporate bonds(MCB)based on panel data for prefecture-level cities in China from 2003 to 2016.The study has three findings.First,HSR increased the scale of the issuance of MCB significantly.After conducting a series of robustness tests,the above conclusion remained robust.Second,HSR affected the issuance of MCB by increasing the city's financing demands and improving the city's financing capacity.Third,the effect of HSR on the issuance of MCB varied from city to city.Specifically,the promotion of the opening of HSR to the issuance of MCB was concentrated in remote and fast growing cities.High-speed rail can also effectively reduce the cost and shrink credit spreads of the MCB.This paper shows that it is necessary to further optimize the layout of HSR,release and exploit the financial resource reallocation effect of HSR,and provide financial support to the high-quality development of cities.展开更多
基金National Key Basic Research Program of China (973 program) (No. 2007CB814903)Shanghai Leading Academic Discipline Project,China ( No. S30405)the Research Program of Shanghai Normal University,China (No. SK201211)
文摘The pricing of corporate bond with the default correlation was studied when the corporate holded the share of other corporates . On the basis of stochastic interest rate, the model of firm's bond with default correlation was established by means of reduced form and partial differential equations (PDE). Also, the close form formula for the pricing of the firm's bond was obtained. Finally, some numerical examples were given to illustrate how our models work.
文摘We apply the methods of principle component analysis (PCA) and Wilcoxon’s signed rank test (WSRT) to study influence of conversion of convertible bonds on corporate performance of different industries in China. In this paper, 33 convertible bonds that were issued by non-financial sectors from 2002 to 2009 in China with the convertible rate more than 50% within a year were selected as a research sample. In order to provide a reference for the parties concerned, the influence of conversion of convertible bonds on corporate performance in different industries was studied from the industrial properties point of review.
基金Supported by the National Basic Research Program of China(973 Program)(2007CB814903)
文摘Structural models of credit risk are known to present vanishing spreads at very short maturities. This shortcoming, which is due to the diffusive behavior assumed for asset values, can be circumvented by considering discontinuities of the jump type in their evolution over time. In this paper, we extend the pricing model for corporate bond and determine the default probability in jump-diffusion model to address this issue. To make the problem clearly, we first investigate the case that the firm value follows a geometric Brownian motion under similar assumptions to those in Black and Scholes（1973）, Briys and de Varenne（1997）, i.e, the default barrier is KD （t, T） and the recovery rate is （1 -w）, where D （t, T） is the price of zero coupon default free bond and w is a constant （0 〈 w 〈 1）. By changing the numeraire, we obtain the closed-form solution for both the price of bond and default probability. Further, we consider the case of jump-diffusion and suppose that a firm will go bankruptcy if its value Vt 〈 KD （t, T） and at the same time, the bondholder will receive （1 - w） vt/k By introducing the Green function of PDE with absorbing boundary and converting the problem to an II-type Volterra integral equation, we get the closed-form expressions in series form for bond price and corresponding default probability. Numerical results are presented to show the impact of different parameters to credit spread of bond.
文摘At present, the research on the relationship of corporate social responsibility and economic performance mostly adopts the method of large-scale sampling, but does not distinguish the sample industries and regions, so the relevant research needs to be further analyzed. Based on the 2008-2017 data of 78 listed enterprises in Henan province, the relationship between corporate social responsibility and economic performance in 7 industries is measured by 8 indexes through Arellano-Bond dynamic panel data model. The research shows that the social responsibility of listed enterprises in Henan Province has a lagging impact on the economic performance of enterprises, which has a negative impact on the short-term and a positive impact on the long-term. The common point is that the responsibility of the investor has a positive impact on the economic performance of the enterprise, and other aspects vary greatly due to industry categories. In general, the degree of corporate social responsibility of listed enterprises in Henan Province is relatively low.
基金the National Social Science Foundation of China(Nos.15AJY017 and 16BJY183).
文摘This study uses the difference-in differences method to test the impact of a high-speed rail(HSR)service on the issuance of municipal corporate bonds(MCB)based on panel data for prefecture-level cities in China from 2003 to 2016.The study has three findings.First,HSR increased the scale of the issuance of MCB significantly.After conducting a series of robustness tests,the above conclusion remained robust.Second,HSR affected the issuance of MCB by increasing the city's financing demands and improving the city's financing capacity.Third,the effect of HSR on the issuance of MCB varied from city to city.Specifically,the promotion of the opening of HSR to the issuance of MCB was concentrated in remote and fast growing cities.High-speed rail can also effectively reduce the cost and shrink credit spreads of the MCB.This paper shows that it is necessary to further optimize the layout of HSR,release and exploit the financial resource reallocation effect of HSR,and provide financial support to the high-quality development of cities.
