At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the...At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the impact of credit rating migration risk on bond pricing,so as to adapt to the sustainable and healthy development of the bond market under the new normal of China's economy.The innovation point of this paper is to try to analyze the pricing of Convertible bonds in China from the perspective of credit rating migration risk.Tsiveriotis and Femandes(1998)model is selected,and the credit risk in the model is assumed to be caused by the credit rating migration risk,and the credit spread is used to measure the credit rating migration risk.The research conclusion of this paper is as follows:First,it is valid to consider the risk of credit rating migration in the TF(1998)model.The market price of convertible bonds is on average 1.22% higher 1han the theoretical value of the model.In general,the theoretical value obtained from the model has little deviation from the market price,and has a good fitting degree.Second,from the Angle of credit rating,the selection of 32 samples of convertible bonds only empirical research shows that the credit rating of AA-convertible bonds average deviation rate is negative,suggest that the credit rating of AA-the phenomenon of convertible bonds value is underestimated,and AAA credit rating to AA,AA+,the average deviation rate of convertible bonds is positive,that credit rating AA(containing AA)more convertible bond value is overrated phenomenon,and the higher the credit rating of the average deviation rate of convertible bond,the greater the overvalued levels.It has certain guiding significance for participants in the convertible bond market.展开更多
Using a sample of listed Chinese firms from 2007 to 2020,we investigate the governance implications of cross-ownership in corporate bond markets.We find that cross-ownership significantly reduces bond issuance spreads...Using a sample of listed Chinese firms from 2007 to 2020,we investigate the governance implications of cross-ownership in corporate bond markets.We find that cross-ownership significantly reduces bond issuance spreads,suggesting that synergistic governance effects outweigh potential collusion risks.This effect operates through two channels:reducing information asymmetry between shareholders and creditors and lowering firm risk.The effect is stronger when cross-owners hold shares in more peer firms and retain shares longer but weaker for state-owned enterprises,long-term bonds and firms with robust information intermediaries.Our findings contribute to the corporate governance literature by demonstrating how cross-ownership enhances creditor protection,providing insights into optimizing ownership structures for debt financing,particularly in emerging markets with inadequate institutional monitoring.展开更多
In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce t...In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce the frequency of credit rating changes. Mathematically, this model is a system of partial differential equations with overlapping area. The existence, uniqueness, regularity and asymptotic behavior of the solution are obtained. Furthermore, a numerical scheme and its stability, convergence and accuracy are discussed in detail. Calibration and analysis of the parameters are also suggested.展开更多
This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is ...This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds; (2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical error in the computation of the operator.展开更多
文摘At present,further research and exploration on credit risks are being carried out in the global field,and increasingly profound modem credit risks are exposed to the bond market.This requires that we cannot ignore the impact of credit rating migration risk on bond pricing,so as to adapt to the sustainable and healthy development of the bond market under the new normal of China's economy.The innovation point of this paper is to try to analyze the pricing of Convertible bonds in China from the perspective of credit rating migration risk.Tsiveriotis and Femandes(1998)model is selected,and the credit risk in the model is assumed to be caused by the credit rating migration risk,and the credit spread is used to measure the credit rating migration risk.The research conclusion of this paper is as follows:First,it is valid to consider the risk of credit rating migration in the TF(1998)model.The market price of convertible bonds is on average 1.22% higher 1han the theoretical value of the model.In general,the theoretical value obtained from the model has little deviation from the market price,and has a good fitting degree.Second,from the Angle of credit rating,the selection of 32 samples of convertible bonds only empirical research shows that the credit rating of AA-convertible bonds average deviation rate is negative,suggest that the credit rating of AA-the phenomenon of convertible bonds value is underestimated,and AAA credit rating to AA,AA+,the average deviation rate of convertible bonds is positive,that credit rating AA(containing AA)more convertible bond value is overrated phenomenon,and the higher the credit rating of the average deviation rate of convertible bond,the greater the overvalued levels.It has certain guiding significance for participants in the convertible bond market.
基金financial support from the National Natural Science Foundation of China(72272164 and 71872196)the National Social Science Foundation of China(23&ZD060,21&ZD145 and 19ZDA098).
文摘Using a sample of listed Chinese firms from 2007 to 2020,we investigate the governance implications of cross-ownership in corporate bond markets.We find that cross-ownership significantly reduces bond issuance spreads,suggesting that synergistic governance effects outweigh potential collusion risks.This effect operates through two channels:reducing information asymmetry between shareholders and creditors and lowering firm risk.The effect is stronger when cross-owners hold shares in more peer firms and retain shares longer but weaker for state-owned enterprises,long-term bonds and firms with robust information intermediaries.Our findings contribute to the corporate governance literature by demonstrating how cross-ownership enhances creditor protection,providing insights into optimizing ownership structures for debt financing,particularly in emerging markets with inadequate institutional monitoring.
基金the National Natural Science Foundation of China (Nos. 12071349)。
文摘In this paper, a new corporate bond pricing model with credit migration risk is proposed. This model sets different thresholds for the rising or falling of credit ratings, which forms a buffer zone that could reduce the frequency of credit rating changes. Mathematically, this model is a system of partial differential equations with overlapping area. The existence, uniqueness, regularity and asymptotic behavior of the solution are obtained. Furthermore, a numerical scheme and its stability, convergence and accuracy are discussed in detail. Calibration and analysis of the parameters are also suggested.
基金supported by US National Science Foundation (Grant No. SES-0631613)the Cowles Foundation for Research in Economics
文摘This paper considers the estimation of an unknown function h that can be characterized as a solution to a nonlinear operator equation mapping between two infinite dimensional Hilbert spaces. The nonlinear operator is unknown but can be consistently estimated, and its inverse is discontinuous, rendering the problem ill-posed. We establish the consistency for the class of estimators that are regularized using general lower semicompact penalty functions. We derive the optimal convergence rates of the estimators under the Hilbert scale norms. We apply our results to two important problems in economics and finance: (1) estimating the parameters of the pricing kernel of defaultable bonds; (2) recovering the volatility surface implied by option prices allowing for measurement error in the option prices and numerical error in the computation of the operator.
