基于多元有序Logistic模型的我国城投债信用风险评价研究

发布时间：2018-02-01 17:34

本文关键词： 城投债信用风险因子分析多元有序Logistic模型　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：在我国大规模的城市化进程中,财政分权制及我国《预算法》的限制,地方政府在经济建设中面临巨大资金压力,由此催生了地方政府投融资平台的兴起。城投公司通过发行城投债代地方政府进行融资,资金用以社会公益项目及城市基础设施建设,地方政府则以国有资产经营权及国有土地使用权的划拨等对其经营进行支持。2008年我国扩张性的经济政策出台后,城投债呈现了井喷式的发展态势,随之带来的信用风险也引起了广泛关注,科学有效的对其进行评价已刻不容缓。城投债的发行主体与通过自有资金运作达到利润最大化目的的企业有较大不同,且债券的偿债资金除部分来源于项目收益外,更多的依靠地方的财政支持。因此,对城投债的信用风险进行评价时,应更多的关注于区域经济发展水平、地方政府财政实力及地方政府支持力度及担保增信措施的影响。多元有序Logistic违约率测度模型假设条件较少,具有一定的实用性较强,而对评级指标进行因子分析,能在最大化的体现指标信息的同时,有效降低变量维度。因此,在考虑数据的准确性及可获得性情况下,选取统计口径较为一致的2010年至2011年发行的59只城投债进行实证分析。结果表明模型整体拟合度高,且一定的增信措施,较高的区域经济发展规模,较高的总体财务规模,较低的债务负担,能提高城投债的信用水平,债券违约概率越低；财务报表所反映的主营业务获利能力、盈利能力及财务成长能力指标对我国城投债券的信用评级没有显著的影响。整体来讲,基于多元有序Logistic我国城投债违约率测度模型操作简单,具有一定的实用性,可用于我国城投债的违约率测算。
[Abstract]:In the process of large-scale urbanization in China, local governments are faced with huge financial pressure in economic construction due to the restriction of fiscal decentralization and the "Budget Law". As a result, the emergence of local government investment and financing platform. The city investment company through the issuance of debt on behalf of the local government to finance, funds for social welfare projects and urban infrastructure construction. On the other hand, the local government supports its management with the right of management of state-owned assets and the allocation of the right to use state-owned land. In 2008, after the introduction of the expansionary economic policy of our country, the city investment debt showed a blowout development trend. The credit risk has caused widespread concern, and it is urgent to evaluate it scientifically and effectively. The main issuer of the city investment bond is different from the enterprise which achieves the profit maximization through the operation of its own capital, and the debt service fund of the bond comes from the project income in part. Therefore, more attention should be paid to the level of regional economic development when evaluating the credit risk of city investment debt. The financial strength of local government and the influence of local government support and guarantee credit enhancement measures. The multivariate ordered Logistic default rate measurement model assumes less conditions and has a strong practicability. The factor analysis of the rating index can effectively reduce the variable dimension while maximizing the index information. Therefore, considering the accuracy and availability of the data. Selected 59 city debt issued from 2010 to 2011 with consistent statistical caliber for empirical analysis. The results show that the model has a high overall fit and certain credit enhancement measures. The higher the scale of regional economic development, the higher the overall financial scale and the lower the debt burden, the higher the credit level and the lower the probability of bond default. The main business profitability, profitability and financial growth ability indicators reflected in the financial statements have no significant impact on the credit rating of China's city investment bond. Based on the multivariate ordered Logistic, the measurement model of default rate of city investment debt in China is simple and practical, and it can be used to measure the default rate of city investment debt in China.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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