摘要
在2013年开始执行的《商业银行资本管理办法》中,中国银监会首次规定,合格二级资本必须含有减记或转股的条款。随后,各大银行纷纷提出了减记债发行计划。文章结合国外对减记债的研究情况,介绍了减记债的两种衍生品定价方法,并针对国内已成功发行的三支减记债,应用了文中介绍的定价方法来做分析。最后,描述了减记债在中国发行的前景和不足,指出了其改进方向。
In the "Methods for Commercial Banks' Capital Management" put into operation in 2013, the China Banking Regulatory Commission requires for the first time that qualified secondary capital contain write-down or conversion provisions. Subsequently, major banks in China have launched write-downs debt issuance programs. In this paper, based on current research on write-downs debt both home and abroad, we introduce two derivative pricing methods and apply these to the three successfully-issued debt write-downs for analysis. Finally, we describe the prospects and limitations of debt write-downs issuance in China, and point out the direction for improvement.
出处
《首都师范大学学报（社会科学版）》
CSSCI
北大核心
2015年第2期62-68,共7页
Journal of Capital Normal University：Social Science Edition
关键词
减记债
定价模型
商业银行
Write-down of debt
pricing model
commercial bank
