信用风险模型在我国信用债市场的适用性研究

发布时间：2019-03-21 07:33

【摘要】：提高企业直接融资比例是我国金融市场最为重要的课题之一,而其中,作为债务融资工具的信用债则是发展中的重中之重。虽然开展时间较晚,但不可否认我国的债券市场已然进入了提速阶段；然而国内对于信用债的关键因素——信用风险度量的学术研究还相对较少。信用风险模型作为度量债务主体违约风险的数量工具,在信用债的发行定价、违约识别中均起到重要作用,并在国外已得到了广泛研究与应用。本文将利用我国短期融资券、中期票据以及公司债数据,对KMV、Z-Score、Z"-Score、ZETA等西方信用风险模型在我国的适用性进行研究。通过方差分析、多元线性回归以及案例分析等研究方法,本文发现：KMV与ZETA模型在我国信用债的评级与定价中均能较好适用；而Z-Score、Z"-Score与ZETA模型在发行主体违约识别中的效果较好;另外,通过比较信用风险模型、信用评级、发行规模以及承销商声誉等因素在信用债利差解释能力上的差异,本文认为我国信用债市场的发行规模受发行主体信用资质影响；信用评级较信用风险模型的信息含量更高；而承销商声誉效应则可能源于承销商在选择客户时的针对性。这些发现对于我国债券发行人及投资人在应用信用风险模型与进行投融资决策等方面均具有现实意义,也能够对学术界研究适用于国内市场的信用模型起到借鉴参考作用。
[Abstract]:Increasing the proportion of direct financing of enterprises is one of the most important issues in the financial market of our country. Among them, credit debt, as a debt financing tool, is the most important task in the process of development. Although the development time is late, there is no denying that the bond market of our country has entered the accelerated stage; however, the domestic academic research on credit risk measurement, the key factor of credit debt, is still relatively few. As a quantitative tool to measure the default risk of debt subject, credit risk model plays an important role in pricing and default identification of credit bonds, and has been widely studied and applied abroad. In this paper, the applicability of western credit risk models such as KMV,Z-Score,Z "- Score,ZETA" and other western credit risk models in China will be studied by using the data of short-term financing bonds, medium-term notes and corporate bonds in China. By means of ANOVA, multivariate linear regression and case analysis, this paper finds that the KMV and ZETA models are suitable for rating and pricing of credit bonds in China. Za Score, Z "- Score and ZETA model have a good effect in the issue subject default recognition; In addition, by comparing the differences of credit risk model, credit rating, issuing scale and underwriter reputation in the ability of explaining the spread of credit bond, this paper thinks that the issuing scale of credit bond market in China is affected by the credit qualification of issuing subjects. The information content of credit rating is higher than that of credit risk model, and the reputation effect of underwriters may be due to the pertinence of underwriters in selecting customers. These findings are of practical significance to Chinese bond issuers and investors in applying credit risk model and making investment and financing decisions, and can also play a reference role in academic research on credit models suitable for domestic market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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