基于债务协商视角的债转股定量研究

针对我国政府、企业和银行等金融机构共同关注的债转股问题，基于债务协商谈判思想，建立部分债务股权互换模型，计算公司证券价格，探讨了债转股对公司价值、破产概率、破产损失成本和资本结构的影响，给出了银行等债权人愿意债转股的充分条件。结果表明：在事先破产清算协议贷款下，事后全部债转股总能提高公司股权价值，但并不一定能提高债券价值。只有其协商谈判能力满足一定条件，公司债权人才愿意事后选择债转股，实现帕累托改进、提高社会福利水平。其次，在公司股东协商谈判能力的一定范围内，部分债转股能提高公司价值，其最优转股债息比例随着公司资产风险的增大而增加。再次，债转股能降低公司破产风险和破产损失成本，但同时也提高了债券风险溢价。最后，随着股东谈判能力增强，最优协商转股债务比例、杠杆率都减少，而债券风险溢价增大。本文所得结果对我国政府、企业和银行如何实施债转股提供理论参考和实践指导。

Quantitative Study for Debt-to-equity Swaps Based on Debt Renegotiation

In order to lower corporate leverage, decrease high cost of bond, reduce banks' non-performing loan ratio and dissolve the risk of financial institutions, the debt-to-equity problem has caused wide concern for the government, companies and banks. Basing on the idea of debt renegotiations, partial debt-to-equity swaps model is built. All contingent claim is first priced by using risk neutral pricing method, and then the effects of debt-to-equity on the firm's value, bankruptcy probability, bankruptcy loss costs and capital structure are mainly examined. More interesting, a sufficient condition is obtained that the creditors are willing to change the way of debt restructuring to select debt-to-equity ex post.
It is found that, under predetermined bankruptcy liquidation contract, the all debt-to-equity swaps can always improve the equity value. But the value of the creditor is not always established. However, only if renegotiation ability between the shareholders and creditors satisfy some certain conditions, the creditors has an incentive to choose debt-to-equity swaps ex post so that truly achieve Pareto improvement and improve the level of social welfare. By numerical simulations, it is found that debt-to-equity are able to reduce the risk of bankruptcy and bankruptcy loss costs, but the risk premium of bond is raised; Moreover, the partial debt-to-equity can improve the firm's value within a certain range of equityholders' renegotiation capacity, which optimal convertible coupon ratio increases with the assets' volatility rising. Finally, as shareholders' bargaining power risee, the optimal firm value, convertible coupon ratio and leverage decrease, and while the credit spread of bond increase. Theoretical reference and practical guidance for the government, enterprises and banks on how to implement debt-to-equity swaps are provided in our paper.