A Study On The Conversion Pricing Of Non-performing Assets Debts Into Shares Of Commercial Banks In China

In recent years,the balance of non-performing loans and the ratio of non-performing loans of commercial banks in China have been rising,and the phenomenon of high debts is common in enterprises,the debt-to-equity swap is considered to be a way to simultaneously solve the dual dilemma of banks with high non-performing loans and enterprises with high liabilities.Under the background of marketization,pricing directly affects the efficiency and fairness of debt-to-equity conversion,and then relates to the effectiveness of debt-to-equity swap.Therefore,this paper makes a study on the pricing of debt-to-equity swap,which can make the valuation value of debt-to-equity conversion more close to the real value,thus the research providing a certain quantitative reference for the market-oriented pricing of debt-to-equity swap in commercial banks.Firstly,Based on the theory of capital structure,the theory of random dependence of enterprise control right and the theory of asset securitization,this paper proves that the ratio of creditor's rights of commercial bank to stock should have one most advantage.Then,the paper probes into the development course of the conversion of non-performing assets debt into shares of commercial banks in China,and finds that pricing is the key link to effectively promote the market-oriented debt-to-equity swap of commercial banks.At the same time,commercial banks' creditor's rights are converted into enterprise equity,which is equivalent to the real call option that owns the enterprise's equity.Therefore,this paper chose the classic B-S option pricing model and analyzed synthetically debt before the commercial bank creditor value and debt after the creditor's rights and the equity value,then established the commercial bank profit function,then analyzed and derivated the profit function,the optimal ratio of debt and debt equity swap function and the stock price calculation equation were obtained.Finally,the debt-to-equity conversion project implemented by four commercial banks,including ICBC,to Chinalco Mining Co.,Ltd.,was used as an empirical sample.In order to test the rationality of the transfer stock price determined in this paper,five parameters such as the asset price which have been won the bid in the equation of calculating the converted stock price are determined.Then,the paper analyzed the influence of the volatility of stock,maturity time and risk-freeinterest rate on the stock price.The results show that the transfer of stock prices has a low sensitivity and a small impact to these three parameters,indicating the stability of the transfer of stock prices.It can be seen that it is reasonable to determine the conversion stock price of non-performing assets and debts into stocks of commercial banks based on B-S model combined with the established income function of commercial banks.