Research On The Pricing Of Convertible Bonds Issued By Securities Companies In China

In recent years,under the implementation of the risk control and supervision system with net capital as the core,the CSRC has put forward higher requirements for the capital strength and capital quality of securities companies,and the capital scale greatly affects the development level,competitiveness and anti risk ability of securities companies.Since 2017,the CSRC has issued a number of new regulations,which have reduced the profit space of investors in private placement,tightened the fixed increase financing of the company,and issued policies to encourage the issuance of convertible bonds.In this context,securities companies have issued 9 convertible bonds after 2017,which is much larger than before.It is expected that there will still be a considerable number of convertible bonds issued and listed by securities companies in the future.However,the existing convertible bond pricing model does not fully consider the characteristics of securities companies,which makes the pricing of convertible bonds of domestic securities companies lack of effectiveness.Therefore,this paper will build a convertible bond pricing model based on the characteristics of securities companies,so as to provide reference for the issuance pricing of issuers and the investment pricing of investors.This paper discusses the background and theoretical basis of convertible bond pricing of securities companies,and then combs the literature on convertible bond pricing at home and abroad.Then,it compares and evaluates the current mainstream convertible bond pricing models,selects the binary tree pricing model and B-S model for pricing,and establishes the modified B-S model and binary tree model combined with the particularity of convertible bonds of securities companies.Finally,the pricing analysis of six selected securities companies’ convertible bonds is carried out,and an effective pricing model is finally obtained.This paper holds that the purpose of the issuers of convertible bonds of securities companies is to increase the net capital of the company after the conversion of shares.Based on this consideration,this paper combs the relationship between the subsidiary terms of convertible bonds of securities companies,and then modifies the subsidiary terms on the basis of the traditional model.After analyzing the pricing results of the four models in this paper,it is concluded that the modified binary tree model is obviously better than the other three models,and then this paper believes that the modified binary tree model is an effective pricing model.Although the theoretical result of the effective pricing model is close to the market value,there is still pricing deviation.This paper analyzes the reasons and puts forward the possible reasons caused by the parameter estimation deviation and the immaturity of China’s convertible bond market.Therefore,this paper puts forward the application suggestions of effective pricing model and corresponding policy suggestions.