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題名 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作者 陳朕疆 貢獻者 陳明吉
陳朕疆關鍵詞 研究支持債券
新藥研發
金融創新
Research backed obligation
drug development
financial innovation日期 2016 上傳時間 2-Aug-2016 16:00:32 (UTC+8) 摘要 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.參考文獻 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.pdfAbrantes-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.pdfFederal 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.pdfNanda, 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.pdfPaul, 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. 描述 碩士
國立政治大學
財務管理研究所
103357031資料來源 http://thesis.lib.nccu.edu.tw/record/#G0103357031 資料類型 thesis dc.contributor.advisor 陳明吉 zh_TW dc.contributor.author (Authors) 陳朕疆 zh_TW dc.creator (作者) 陳朕疆 zh_TW dc.date (日期) 2016 en_US dc.date.accessioned 2-Aug-2016 16:00:32 (UTC+8) - dc.date.available 2-Aug-2016 16:00:32 (UTC+8) - dc.date.issued (上傳時間) 2-Aug-2016 16:00:32 (UTC+8) - dc.identifier (Other Identifiers) G0103357031 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/99545 - dc.description (描述) 碩士 zh_TW dc.description (描述) 國立政治大學 zh_TW dc.description (描述) 財務管理研究所 zh_TW dc.description (描述) 103357031 zh_TW dc.description.abstract (摘要) 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。 zh_TW dc.description.abstract (摘要) 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. en_US dc.description.tableofcontents 第一章 緒論 1第一節 研究背景 1第二節 研究目的 2第二章 理論探討 3第一節 藥物研發過程 3第二節 抵押擔保債券 8第三節 研究支持債券 9第三章 文獻回顧 12第一節 新藥研發能力與報酬率現況 12第二節 金融商品創新的應用 14第三節 RBO與其他募資工具的差異 15第四節 RBO應用舉例 16第五節 各種疾病與各類型藥物之研發成功機率 20第四章 研究方法 25第一節 資料來源 25第二節 模擬方法 25第五章 結果與討論 30第一節 Bond tranche風險 30第二節 Equity tranche報酬率與風險 32第三節 資金規模固定會錯失投資機會 37第六章 結論與建議 38參考文獻 40 zh_TW dc.format.extent 1066891 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0103357031 en_US dc.subject (關鍵詞) 研究支持債券 zh_TW dc.subject (關鍵詞) 新藥研發 zh_TW dc.subject (關鍵詞) 金融創新 zh_TW dc.subject (關鍵詞) Research backed obligation en_US dc.subject (關鍵詞) drug development en_US dc.subject (關鍵詞) financial innovation en_US dc.title (題名) 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 zh_TW dc.title (題名) A Model of the return and risk of various new drug development projects using Research Backed Obligations en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) 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.pdfAbrantes-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.pdfFederal 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.pdfNanda, 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.pdfPaul, 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. zh_TW
