Research On The Joint Risk Pricing Of Enterprise Bonds In Inner Mongolia

With the increasing progress of the financial globalization, the bond market ofInner Mongolia has made a qualitative leap which is accompanied by “Opinions ofthe state council on further promotion for eco-social development of Inner Mongolia”.Enterprise bonds is the core composition of the bond market and the developmentlevel directly affect the development of financial market, so its pricing is the mostimportant sections of financial marketable operating mechanism. The pricing ofenterprise bonds related to interest rate risk, credit risk, liquidity risk, tax risk and soon, however the domestic existing literatures are mostly for only one risk to bondpricing, this paper tries to put the main risk factors into the same system to research.Ignoring the macro variable tax factors, the risk spreads of enterprise bond aredivided into two parts: term spread (including liquidity spread) and credit spread.Based on the static article style regression model and the KMV credit risk pricingmodel, and then be simultaneous combined with the development situation of InnerMongolia’s bond market, this paper make a joint venture pricing model and realize theempirical research for the enterprise bonds pricing of Inner Mongolia which under theSAS software programming and the2010-2011enterprise bonds’information of InnerMongolia. The empirical estimated price very closes to the actual price and has thesame trend which proves that the joint venture pricing model is practical and feasible,and then the model considered the joint influence of interest rate risk, liquidity riskand credit risk. On the other hand, there are still some deviations between thetheoretical price and the actual price which mainly caused by the following reasons:firstly the enterprise bonds pricing didn’t fully realize the marketization and couldn’treflect the real situations of the market; and then the financial market of InnerMongolia were not perfect and didn’t meet some assumptions of pricing model. In theend, this simple model still need more key factors involved in.