Pricing Studies On Convertible Bonds Of Listed Banks

In recent years,the banking industry’s demand for capital has become more and more urgent.In particular,in February 2017,the relevant departments issued the "New Regulations on Refinancing",which led to the suffocation of corporate financing and the difficulty of financing.At this time,convertible bonds as a new type of financing tool and capital supplementary tool have attracted the attention of various enterprises.In 2021,a total of 282.2 billion yuan of convertible bonds will be issued,of which commercial banks will issue 110 billion yuan of convertible bonds.My country’s convertible bond market will start later,and it has only been 30 years of development.my country’s first bank convertible bond was issued in 2003.The full name of convertible bonds is convertible bonds,which combine the characteristics of bonds,stocks,and call options.Among them,the pricing of convertible bonds is the core issue in the study of convertible bonds.In 2019,Shanghai Pudong Development Bank issued 50 billion yuan of convertible bonds,which is also the largest bank convertible bond issued so far,in order to supplement the core capital.The first three chapters of this paper firstly give the relevant definitions of convertible bonds and their own characteristics,and compare them with other equity refinancing methods to draw their respective advantages and disadvantages.Next,we will analyze the factors affecting the value of convertible bonds from three aspects: bonds,options and additional terms.Secondly,it introduces the basic theory of three mainstream models for pricing convertible bonds,as well as the advantages and disadvantages of each model in pricing.Finally,according to the relevant literature,I understand the development process and current situation of the pricing of convertible bonds at home and abroad,and find that the foreign convertible bond market is much more mature than my country’s convertible bond market,and my country’s convertible bond market is still very long way to go.The last two chapters of this paper firstly analyze the development status of convertible bonds and the pricing of convertible bonds in my country’s commercial banks.It is found that in the past ten years,the scale of convertible bonds issued by commercial banks in China has developed rapidly,and the pricing model of convertible bonds needs to be improved.Then,it briefly introduces SPDB and SPDB convertible bonds,and uses event research method to analyze the impact of SPDB’s issuance of convertible bonds.When pricing the convertible bonds of Shanghai Pudong Development Bank,two mainstream models,the B-S model and the binary tree model were selected,and additional terms were introduced to revise the price.When using the binary tree model for pricing,the step size of one year and one day were selected for comparison,and it was found that the result of the binary tree pricing with the step size of one day was closer to the closing price of the Shanghai Pudong Development Bond convertible bond listing day.Finally,compare the theoretical price with the actual price,analyze the reasons for the difference,and give corresponding solutions.