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被担保的保险公司在破产后,可能会伴随出现资不抵债的困境。此时,不同债权人对于保险公司剩余资产的清偿次序是不同的。依据《破产法(2007)》对清偿顺序的规定,将保险公司可转债担保分为拥有优先清偿权的普通转债担保和拥有次级优先清偿权的次级转债担保,并推导出展期视角下的两类担保定价公式。采用数值积分求得担保的近似解,并运用二叉树及蒙特卡洛模拟等方法对解的准确性进行检验;再比较分析其理论值和市场数据间的异同。最后,对资产负债比、波动率等重要因子相继进行静态、比较静态以及动态分析并给出了相应的结论。
After the insured insurance company goes bankrupt, it may be accompanied by a predicament of being insolvent. At this point, different creditors for insurance companies remaining assets repayment order is different. Pursuant to the provisions of the Bankruptcy Law (2007) on the sequence of liquidation, the guarantee for convertible bonds of insurance companies is divided into guarantee for ordinary convertible bonds with preemptive liquidation and subordinated bonds with subordinated preemptive liquidation, and the extension is derived Two Types of Guarantee Pricing Formulas from the Perspective of. The numerical solution is used to find the approximate solution of guarantee, and the method of binary tree and Monte Carlo simulation is used to test the accuracy of the solution. Then the similarities and differences between the theoretical data and the market data are analyzed. Finally, static, static and dynamic analysis of the important factors such as asset-liability ratio and volatility are given and the corresponding conclusions are given.