Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/99545
|
| Title: | 以研究支持債券（Research Backed Obligation, RBO）為各類新藥研發計劃募資的風險與報酬
A Model of the return and risk of various new drug development projects using Research Backed Obligations |
| Authors: | 陳朕疆 |
| Contributors: | 陳明吉
陳朕疆 |
| Keywords: | 研究支持債券
新藥研發
金融創新
Research backed obligation
drug development
financial innovation |
| Date: | 2016 |
| Issue Date: | 2016-08-02 16:00:32 (UTC+8) |
| Abstract: | 新藥研發為一高風險、高報酬的產業，股票或債券投資人通常不願承擔那麼高的風險。本研究利用類似Mortgage Backed Securities的概念，發行RBO（Research Backed Obligation），募集50億美金的Megafunds，投資在200個藥物上。RBO包含了Senior bond、Junior bond，以及Equity三個tranche。Senior與Junior的利率分別為5%與8%，在4年與6年後到期，Equity不發利息或股利，而是於投資期間結束後，領回基金總額扣除Bond後的價值。
本研究使用2003-2011年共5820個新藥臨床實驗結果，依照藥物型式、對應疾病分為59類，將各種藥物於各階段臨床實驗的成功機率帶入模型。每種藥物模擬5000次。最後得到投資各種藥物時，Senior bond與Junior bond的違約機率與違約時的期望損失，以及Equity報酬率的期望值與標準差。
分析模擬的結果，可得到除了其中三種藥物之外，Senior與Junior bond的違約機率皆分別在5 bp與2.5 %以下。至於Equity的部分，除了其中四種藥物的報酬率較低外，多數藥物年化報酬率的期望值在8-16%間、標準差在14-15.5%間。各藥物的風險並不會差太多，然而各種藥物報酬率的期望值彼此間有所差距。故以RBO投資新藥產業時，仍需注意投資的藥物種類。
Biomedical innovation has become riskier and more difficult to finance with traditional sources such as private and public equity. Here we propose a financial structure called RBO (Research Backed Obligations) which is similar to Mortgage Backed Securities. In RBO structure, a $5 billion ‘Megafunds’ is financed by issuing Senior bonds, Junior bonds, and Equity. Senior bond and Junior bond tranches yield 5% and 8% annually, due within 4 and 6 years, respectively. Equity tranche does not pay any interest and obtain the residual asset after all debt obligations have been satisfied. ‘Megafunds’ will be invested on the 200 biomedical programs at various development stage to reduce the portfolio’s risk.
We use the historical clinical trail data of 5820 new drug programs from 2003 to 2011. These drugs are classified into 59 groups by molecular type and disease area. Success rates of each development stage are imported into our simulation model, 5000 simulations for each drug group. The simulation result included the default rate of the Senior bonds and Junior bonds, loss of the bonds when the bonds default, and the expected value and standard deviation of the Equity return.
We show that except for 3 drug groups, the default rate of Senior bond and Junior bond are less than 5 bp and 2.5% respectively for all the drugs. The expected return of Equity are between 8-16% of almost all the drug, although 4 drug groups show poorer performance. The standard deviations are between 14-15.5% for all drug groups. Consequently, almost all the drug groups have similar risks, but the expected return of the Equity tranche of these drug groups are quite different. |
| Reference: | Abrantes-Metz, R. M., Adams, C., & Metz, A. D. (2004). Pharmaceutical development phases: a duration analysis. FTC, Bureau of Economics Working Paper, No. 274. Retrieved from http://www.ftc.gov/be/workpapers/wp274.pdf
Abrantes-Metz, R. M., Adams, C., & Metz, A. D. (2014). Determinants of Pharmaceutical Review, Success and Duration. Retrieved from http://ssrn. com/abstract=2529674.
Adams, C. P., & Brantner, V. V. (2006). Estimating the cost of new drug development: is it really $802 million?. Health Affairs, 25(2), 420-428.
Bluhm, C., & Wagner, C. (2011). Valuation and risk management of collateralized debt obligations and related securities. Annual Review of Financial Economics, 3, 193-222.
DiMasi, J. A., Feldman, L., Seckler, A., & Wilson, A. (2010). Trends in risks associated with new drug development: success rates for investigational drugs. Clinical Pharmacology & Therapeutics, 87(3), 272-277.
DiMasi, J. A., Hansen, R. W., & Grabowski, H. G. (2003). The price of innovation: new estimates of drug development costs. Journal of health economics, 22(2), 151-185.
Evaluate Pharma (2010). World Preview 2016. Retrieved from http://download. bioon.com.cn/view/upload/201108/17173040_4488.pdf
Federal Reserve Board of Governors. (2016) Selected Interest Rates (Weekly) - H.15 Retrieved from http://www.federalreserve.gov/releases/h15/20160627/
Fernandez, J. M., Stein, R. M., & Lo, A. W. (2012). Commercializing biomedical research through securitization techniques. Nature biotechnology, 30(10), 964-975.
Harrington, S. E. (2009). Cost of capital for pharmaceutical, biotechnology, and medical device firms. Biotechnology, and Medical Device Firms. Retrieved from http://ssrn.com/abstract=1512938.
Hay, M., Thomas, D. W., Craighead, J. L., Economides, C., & Rosenthal, J. (2014). Clinical development success rates for investigational drugs. Nature biotechnology, 32(1), 40-51.
Huggett, B. (2012). Biotech`s wellspring: a survey of the health of the private sector. Nature biotechnology, 30(5), 395-400.
Kola, I., & Landis, J. (2004). Can the pharmaceutical industry reduce attrition rates? Nature reviews Drug discovery, 3(8), 711-716.
Merton, R. C. (1990). Continuous-time finance. Oxford, UK: Blackwell Publishing Ltd.
Milken Institute. (2012). Financial Innovations Lab. Fixes in financing: financial innovation for translational research. Retrieved from http://assets1b. milkeninstitute.org/assets/Publication/InnovationLab/PDF/FixesInFinancing.pdf
Nanda, R., & Rhodes-Kropf, M. (2011). Financing risk and innovation. Retrieved from http://ssrn.com/abstract=1657937.
Neftci, S. N. (2008). Principles of financial engineering. Burlington, MA: Elsevier.
Ou, S. Corporate Default and Recovery Rates, 1920-2010 Retrieved from http:// efinance.org.cn/cn/FEben/Corporate%20Default%20and%20Recovery%20Rates,1920-2010.pdf
Paul, S. M., Mytelka, D. S., Dunwiddie, C. T., Persinger, C. C., Munos, B. H., Lindborg, S. R., & Schacht, A. L. (2010). How to improve R&D productivity: the pharmaceutical industry`s grand challenge. Nature reviews Drug discovery, 9(3), 203-214.
Thomson Reuters. (2011). National Venture Capital Association Yearbook 2011. New York, NY: Author. |
| Description: | 碩士
國立政治大學
財務管理研究所
103357031 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0103357031 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Size | Format | |
|---|
| 703101.pdf | 1041Kb | Adobe PDF2 | 81 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
