地方政府债券违约风险问题研究

发布时间：2018-06-23 19:24

本文选题：地方政府债券 + 违约风险　；参考：《沈阳大学》2013年硕士论文

【摘要】：我国正在大力尝试发展地方政府债券市场，而在地方政府债券发行过程中，确定合理发行规模和度量违约风险是面临的重要问题。本文基于确定合理发债规模的视角，从定性分析和定量分析两方面对地方政府债券违约风险进行研究，并给出防范地方政府债券违约风险的建议。本文的定性研究是在现有的相关理论基础上，借鉴美国市政债券和日本地方公债的成熟经验，对我国地方政府债券违约风险的成因进行分析，得出影响我国地方政府债券违约的风险主要包括地方政府债务风险、地方政府财政收支失衡风险、地方政府信用缺失风险、地方政府债券市场不健全带来的风险。本文的定量研究选取地方财政收入这一普遍性的指标，利用引入Knight不确定性的KMV模型，以今年新增自行发债试点省之一的山东省为例，度量其发行的地方政府债券违约风险，证明了引入Knight不确定性的KMV模型的适用性和可行性，为其他省市度量其发行的地方政府债券违约风险提供参考。根据定量分析的结果得到了2013年山东省地方政府债券的安全发行规模，在安全发行规模内，违约风险对发行规模的变化不明显，但当发行规模高于安全发行规模时，违约风险对发行规模的变化特别敏感，随着发行规模的增加而迅速增大；证明了Knight不确定性对违约距离和违约概率有较大影响。因此，我国地方政府债券的违约风险是不容忽视的。根据定性分析和定量分析，本文给出了地方政府债券违约风险的防范建议：要改善地方政府债券的发行环境，建立以信用评级制度和信息披露制度为代表的约束机制，，配置地方政府债券的信用增级措施来降低其违约风险的发生。
[Abstract]:China is trying hard to develop the local government bond market. In the process of issuing local government bonds, it is an important problem to determine the reasonable issuance scale and measure the default risk. Based on the perspective of determining the reasonable bond issuance scale, this paper studies the default risk of local government bonds from qualitative analysis and quantitative analysis, and gives some suggestions on how to prevent the default risk of local government bonds. The qualitative research of this paper is to analyze the causes of default risk of local government bonds in China based on the existing relevant theories and the mature experience of American municipal bonds and Japanese local bonds. It is concluded that the risk of local government bond default mainly includes the risk of local government debt, the risk of local government fiscal imbalance, the risk of local government credit deficiency, and the risk of local government bond market unsoundness. Based on the KMV model with Knight uncertainty, the quantitative research of this paper selects the local fiscal revenue as a universal index and measures the default risk of local government bonds issued by Shandong Province, one of the newly self-issued pilot provinces, as an example. The applicability and feasibility of KMV model with Knight uncertainty are proved, which provides a reference for other provinces and cities to measure the default risk of local government bonds issued by Knight. According to the results of quantitative analysis, the security issuance scale of local government bonds in Shandong Province in 2013 is obtained. In the safe issuance scale, the default risk has no obvious change on the issuance scale, but when the issuance scale is higher than the safe issuance scale, Default risk is especially sensitive to the change of issuance scale and increases rapidly with the increase of issuance scale, which proves that Knight uncertainty has great influence on the distance of default and the probability of default. Therefore, the default risk of local government bonds can not be ignored. According to the qualitative analysis and quantitative analysis, this paper gives some suggestions on how to prevent the default risk of local government bonds: to improve the issuing environment of local government bonds, and to establish a constraint mechanism represented by credit rating system and information disclosure system. Allocate credit enhancement measures for local government bonds to reduce the risk of default.
【学位授予单位】：沈阳大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F812.5

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