我国上市公司债券信用风险溢价研究

发布时间：2019-06-13 07:41

【摘要】：随着全球经济的不断发展,全球金融业也变得越来越复杂,各种不确定性充斥着金融业的各个角落。尤其是进入二十一世纪,源于美国的次债危机,给全球经济带来了巨大的影响和损失,引起全球金融业对金融风险,尤其是信用风险管理的高度重视。我国早已经成为WTO的正式成员国,金融机构监管体系要与国际接轨,金融业将全面实施对外开放。因此,信用风险已经成为我国金融市场的主要风险之一。目前,我国公司债券市场面临着历史性的变革,行政管制已经逐步放松,市场将成为约束公司债券市场发展的重要力量。伴随着公司债券市场化发展,各类风险特别是信用风险将骤然放大,这就需要我们加强对公司债券信用风险的研究,确保风险和收益在投资者与企业之间能够合理分担,增强金融市场的有效性。对公司债券信用风险溢价的合理定价将逐渐成为各金融机构的难题。传统的定性方法目前在我国鉴别公司信用风险状况时仍有较好的实用性,但是其在公司债券信用风险溢价的定价方面却无能为力。而且随着将来我国信用衍生产品的出现,对信用风险研究的定性方法就更不能满足金融机构对信用风险的管理要求。债券信用风险溢价一般取决于该债券的预期违约率,而这点就需要用定量模型的方法来进行研究。所以,广泛的吸收国际成熟的定量技术方法,并将其应用于我国公司债券市场的规范和信用风险的防范已日益重要。此外掌握先进信用风险测算方法的外资金融机构正逐渐进入我国金融市场,他们将会与国内金融机构展开激烈的竞争,这些都要求我国的金融机构要加大力度对信用风险的测定和管理方法进行改进。作为资本市场上一种主要风险,信用风险来源于经济活动的不确定性。这些不确定性包括来自于金融体系之外,经济运行过程中偶然性的、随机性的变化或不可预知的趋势。也包括来源于金融体系之内,由人为主观决策或获取信息的不充分性等原因造成的,带有明显的个人特征。一般来说,外在不确定性对整个市场都会带来一定的影响,所以,外在不确定性所导致的风险又称为系统性风险；而内在的不确定性可以通过制定合理的规则,如企业的信息披露和市场交易规则等方式来降低其风险。所以,内在不确定性产生的风险又称为非系统性风险。国际上关于信用风险的研究主要是简化模型和结构模型。简化模型将违约事件看作一个随机过程,通过外生违约参数来研究信用风险。结构模型根据公司债务的微观结构,运用期权定价原理来研究违约行为的动因和分布,进而表述信用风险。结构模型认为违约风险债券可被当做一个关于公司资产价值的或有要求权,即由一个无违约风险债券减去一个关于公司市场价值的欧式看跌期权构成,从而有效地将期权定价理论运用到了债券违约风险定价模型。本文首先假定公司债券的发行利率等于同期限的无风险利率+信用溢价,运用贴现函数模型先后对我国的国债与公司债券构造其贴现函数,然后将对应期限的利率相减即得到信用风险溢价,从而就可以绘出公司债券高于无风险利率的溢价期限结构曲线。我国公司债券的溢价结构基本符合溢价随期限先上升,然后下降的理论基础。另一方面,相应期限的溢价大小,也说明经典的结构模型可以适用于我国公司债券的信用风险度量与定价。
[Abstract]:With the development of the global economy, the global financial industry becomes more and more complex, and various uncertainties are filled with the corners of the financial industry. Especially in the twenty-first century, the crisis of the subprime debt, which originated from the United States, has brought great influence and loss to the global economy, which caused the global financial industry to pay great attention to the financial risks, especially the credit risk management. As an official member of the WTO, the regulatory system of financial institutions should be in line with the international standards, and the financial industry will be fully opened to the outside world. Therefore, credit risk has become one of the main risks of our financial market. At present, the corporate bond market of our country faces a historic change, the administrative regulation has been gradually relaxed, the market will become an important force to restrain the development of the corporate bond market With the development of the market of corporate bonds, all kinds of risks, especially the credit risk, will be amplified suddenly. This will require us to strengthen the research on the credit risk of the corporate bonds, to ensure that the risks and the income can be reasonably shared between the investors and the enterprise, and enhance the effectiveness of the financial market The reasonable pricing of the credit risk premium of corporate bonds will gradually become the difficulty of each financial institution The traditional qualitative method still has good practicability in the identification of the credit risk in our country, but it is inept in the pricing of the credit risk premium of the corporate bonds. And with the emergence of our credit derivatives in the future, the qualitative method of the credit risk research can not meet the financial institution's management of the credit risk The bond credit risk premium is generally dependent on the expected default rate of the bond, which requires a quantitative model to be used for the study. Therefore, it has become more and more important to absorb the international mature quantitative technical method and apply it to the regulation of our company's bond market and the prevention of credit risk In addition, foreign financial institutions with advanced credit risk measurement methods are gradually entering the financial market of our country, and they will compete with the domestic financial institutions. These require the financial institutions of our country to increase their efforts to change the measurement and management of the credit risk As a major risk in the capital market, credit risk is derived from economic activity Deterministic. These uncertainties include, in addition to the financial system, the occasional, random, or unpredictable nature of the economic operation. Also included in the financial system, due to the lack of human-made subjective decision-making or the lack of access to information. People's characteristics. In general, the external uncertainty will have a certain impact on the whole market, so the risk that the outside is caused by the uncertainty is also called systemic risk; and the inherent uncertainty can be made through the development of reasonable The rules, such as the information disclosure and market transaction rules of the enterprise, are reduced It's at risk. So, the risks inherent in the inherent uncertainties are also called non-systems The study of credit risk in the world is mainly a simplified model. and the model is simplified, the default event is regarded as a random process, To study the credit risk. The structure model is based on the micro-structure of the company's debt, and uses the option pricing principle to study the motivation and distribution of the default behavior. The credit risk. The structural model is of the view that the default risk bond can be used as a value or claim on the value of the company's assets, that is, by a non-default risk bond minus a European view on the value of the company's market The option composition is used to effectively apply the option pricing theory to the bond default. The paper first assumes that the issue rate of corporate bonds is equal to the risk-free interest rate + credit premium of the same period, and the discount function model is applied to construct the discount function for the national debt and corporate bonds in China, and then the interest rate of the corresponding period is subtracted. To the credit risk premium, it can be drawn that the corporate bond is higher than the risk-free rate The price period structure curve. The premium structure of our company's corporate bonds is basically consistent with the premium over time, and then On the other hand, on the other hand, the premium size of the corresponding period and the classical structural model can be applied to the credit of our company's corporate bonds
【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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