中国地方政府城投债信用风险研究

发布时间：2018-01-22 14:09

本文关键词： 城投债信用风险 KMV模型 Knight不确定　出处：《华东师范大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国城镇化水平的快速提升,地方政府用于城市基础设施建设的支出不断增加。但是由于分税制财政体制改革,我国地方政府的财政收入无法满足财政支出的需求,而且《中国人民共和国预算法》的限制导致地方政府无法像国外地方政府一样通过发行市政债券进行融资。为解决财政资金缺口,地方政府融资平台应运而生并逐渐繁荣。地方政府融资平台通过发行城投债为地方政府进行融资,所募集资金主要用于城市基础设施建设和社会公益事业,对地方经济发展和城市建设起到了至关重要的作用。但是随着城投债规模不断的增长,城投债质量呈下降趋势,城投债信用风险问题日益凸显。本文正是在此背景下,探索如何通过引入Knight不确定性因子的KMV模型对城投债的信用风险和最大偿债规模进行判断,具有较强的现实指导意义。本文首先通过介绍市政债券和城投债的概念和特点,发现城投债即是中国式的“市政债券”。然后对城投债产生的原因、发展过程以及现状进行了总结,分析城投债信用风险产生的原因。为对城投债信用风险进行度量,在对比分析四种信用风险度量模型的基础上选择KMV模型,并通过引入Knight不确定性因子,得到了Knight不确定下城投债KMV信用风险测量模型,使得模型更加符合现实中的金融市场,并对重庆市城投债信用风险进行了实证研究。在对重庆市城投债的实证研究中,首先介绍了重庆市政府性债务情况,接着对地方财政收入情况进行了预测,根据预测结果运用Knight不确定下KMV信用风险测量模型对城投债信用预期违约率进行了检验,研究了Knight不确定性对城投债违约率的影响程度。并结合实证结果对当前重庆市城投债信用风险进行了探讨。最后,针对我国城投债的信用风险问题,本文从监管层层面、地方政府层面以及地方融资平台层面提出了城投债信用风险防范对策和建议。
[Abstract]:With the rapid development of urbanization in China, the expenditure of local governments on urban infrastructure is increasing. However, due to the reform of the fiscal system of tax sharing. The local government's fiscal revenue can not meet the needs of fiscal expenditure. Moreover, the restrictions on the Budget Law of the people's Republic of China make it impossible for local governments to raise funds by issuing municipal bonds in the same way as foreign local governments. Local government financing platform emerged as the times require and gradually flourished. Local government financing platform through the issuance of debt for local governments to finance the local government, the main funds raised for urban infrastructure construction and social welfare undertakings. It plays an important role in the development of local economy and urban construction. However, with the continuous growth of the scale of urban investment debt, the quality of urban investment debt shows a downward trend. The credit risk of city investment debt is becoming more and more prominent. This paper is under this background. It is of great practical significance to explore how to judge the credit risk and maximum debt repayment scale of city investment debt by introducing the KMV model of Knight uncertainty factor. This paper firstly introduces the concept and characteristics of municipal bond and city investment bond, and finds that city investment bond is Chinese type "municipal bond". Then, it summarizes the reason, development process and present situation of city investment debt. In order to measure the credit risk of city investment debt, KMV model is chosen on the basis of comparative analysis of four credit risk measurement models. And by introducing the Knight uncertainty factor, we get the Knight uncertainty KMV credit risk measurement model, which makes the model more in line with the real financial market. The paper also makes an empirical study on the credit risk of Chongqing City Investment debt. In the empirical study of Chongqing City Investment debt, this paper first introduces the situation of Chongqing municipal government debt, and then forecasts the local financial revenue. According to the forecast results, the paper uses the KMV credit risk measurement model under Knight uncertainty to test the expected default rate of city investment debt. This paper studies the influence of Knight uncertainty on the default rate of city investment debt, and discusses the credit risk of Chongqing city investment bond based on the empirical results. Finally, aiming at the credit risk of city investment debt in China, this paper puts forward the countermeasures and suggestions from the supervision level, the local government level and the local financing platform level.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5

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