企业债券信用风险有关问题研究

发布时间：2018-04-30 21:07

本文选题：企业债券 + 信用风险　；参考：《武汉大学》2014年博士论文

【摘要】：企业融资优势理论认为,发行企业债券是企业直接融资的理想方式,发行债券是银行贷款的替代,可规避过度依赖银行带来的不良贷款危机,因此在降低银行系统风险,保持稳定的国家融资结构方面起着十分重要的作用。从发行主体企业角度看,发行企业债券能使企业迅速获得扩大生产的资金,调整改善企业的财务结构状况,负债率得到提高,从而使企业财务杠杆效应得到有效发挥；发行成本低,避免企业控制权分散；债券具有抵税功能。从投资企业债券投资者角度看,债券利率高于无风险利率(储蓄、国债等),到期本息偿还有限制性条款保证,相比股票投资风险小,安全性高,收益稳定。我国债券市场发展滞后,债券总量只占GDP的24%,相比发达国家95%的比例,比重很小。一方面企业债券发行、交易受到政策严格限制,另一方面企业和中介机构信用缺失、信用评级不规范、债券流动性差。信用风险是企业债券市场的主要风险,然而发展企业债券融资,在优化企业融资结构、释放金融系统风险、促进资本市场健康发展方面具有十分重要的作用。论文从我国企业债券市场现状分析开始,剖析了企业债券的风险特征,明确信用风险主要指发债企业不能按照契约到期还本付息的违约风险,主要用信用价差进行度量。信用价差指剩余期限相同的企业债券与国债到期收益率之差,一般地,信用价差越大,信用风险越大。信用价差与其他风险紧密联系不可分割,如流动性风险、利率风险、再投资风险、通货膨胀风险、经营风险等。论文从宏观与微观角度探究不确定和非对称信息情形下我国企业债券信用风险形成机理,分析信用风险影响因素,理论与实证相结合,通过数学模型的构造求解,有效地设计风险防范机制,完善我国企业债券的市场化路径。第一章绪论部分对研究背景意义进行了介绍,回顾了国内外企业债券的研究文献。从企业债券信用价差影响因素分解到信用风险估价理论,非确定与非对称信息都是企业债券研究的出发点。同时对全文的研究技术路线、方法和结构进行了安排。第二章证明了逐步回归分析的一个命题；应用数理统计的方法研究探讨了我国企业债券信用风险影响因素。从宏观经济环境、微观企业价值信息不确定性及信息非对称性出发,选取相关宏观经济指标(利率、汇率、CPI、股指波动率等)、微观企业财务数据(负债率、利润率、流动比率、资产周转率等),首先应用逐步回归分析方法筛选变量,接着用回归分析方法研究了信用价差的显著性影响因素,经过统计检验得出非对称信息非确定信息导致信用风险。对于指标变量结构分析、分类分别使用因子分析、聚类分析方法进行了实证。第三章分析了企业债券市场非对称信息导致逆向选择与道德风险问题,利用博弈论、委托代理激励理论、贝叶斯决策等思想方法寻求减少信息不对称进行合理决策的机制。通过信号传递,企业经理用负债率一定程度上显示企业的经营能力、可靠质量,吸引投资者购买相应企业债券,解决融资过程中事前信息不对称的逆向选择问题。进一步引入声誉博弈,传递真实有效的信息。本章也考虑使用贝叶斯统计决策思想进行非对称信息加工处理,在二次损失下获得了具有最小贝叶斯风险的企业类型参数的贝叶斯估计,同时经过假设检验来科学判断说明命题的真假。事后信息不对称导致企业债券道德风险问题,本章应用委托代理方法进行机制设计,引入外生变量,研究了企业在两个任务情形下如何同时激励代理人努力工作,分析了努力报酬的影响因素。结论是最优业绩报酬是绝对风险规避度、边际激励成本变化率和可观测变量方差的递减函数,同时还受外生信号变量的相应影响。本章最后分析了企业债券市场中的串谋问题,得出信息不对称是企业债券市场存在串谋的根本原因。政府应加强监管,建立规范的信息披露制度,依法规范中介机构、信用评级机构的市场行为。第四章首先分析了企业债券的信用风险影响因素—宏观经济环境和微观企业内在价值具有不确定性。本章通过分析企业债券影响因素,选择合适的指标评价体系,建立了证据理论评价模型。从证据冲突程度出发,提出以可信率作为证据的权重重新分配基本概率,对不同证据来源的指标信息采用一种改进的证据理论合成方法,有效地利用证据冲突的部分有用信息得到信用风险的基本概率分配值,为企业债券信用风险管理决策提供了科学依据。本章算例使用的是单元焦元,因此信度区间是零。在非单元焦元一般情形是可以计算信度区间,得出相应命题的不确定量。证据合成法则还可进一步完善,如考虑合成公式中的不同证据基本概率分配应有不同的权重,权重不应只体现在证据冲突部分。新改进方法要以保持证据合成的一些基本性质为前提(如交换律、结合律、归一性等)。本算例以专家意见对应全体影响因素作为证据,给出多维基本概率分配向量,难度偏大,对专家素质要求很严格。也可考虑部分专家对应某些指标作为证据进行信息合成,这样有利于发挥专家专业知识优势,证据合成时就以各指标变量对应的证据进行处理即可。企业债券作为企业外源融资的重要途径,我国要大力提倡发展。然而市场各利益主体—企业经理、投资者、监管机构和中介,由于信息不对称、不确定性因素存在着鲜明的利益冲突,这不仅需要市场机制来配置,更需要政府规范各方面制度和行为,以保障各方合法利益。从市场的准入、中介的监管,既不能过分干预控制也不能完全不管,要把握好宏观调控的分寸。各利益主体也要自律,利益风险共担。政府不能再为违约企业兜底,投资者也要正确认识投资风险,学会合理投资、分散控制风险。信用评级机构要规范操作,建立良好的声誉机制。企业要诚实经营、依法守信。这样才会有健康可持续发展的中国企业债券市场。第五章总结与展望,指出不足与今后努力方向。具体创新点如下： (1)探讨信息、风险本质属性,在不确定与非对称信息情形下,应用统计方法(回归分析、因子分析、聚类分析)实证研究企业债券信用风险的影响因素。应用计量经济学方法估计信用风险。证明了逐步回归筛选变量的一个命题：第一步、第二步引入变量,第三步不需考虑删除变量。 (2)研究企业债券市场发行需求、信用评级问题中的不确定性信息处理。应用证据理论方法刻划信息未知程度,进行信用评级。提出了一个新的基本概率分配合成公式。 (3)应用委托代理激励理论,研究非对称信息情形下,企业债券从发行到还本付息期间的逆向选择、道德风险防范机制设计。构造了一个贝叶斯估计检验模型；引入外生变量,设计了两任务情形下激励代理人努力工作的机制。 (4)应用博弈论方法研究企业债券市场信用评级机构与企业串谋问题。
[Abstract]:The theory of enterprise financing advantage holds that the issue of corporate bonds is the ideal way for the direct financing of enterprises . The issuance of bonds is an alternative to bank loans . Therefore , it plays an important role in reducing the risk of bank system and maintaining a stable state financing structure .
the issuing cost is low , and the control right of the enterprise is prevented from being dispersed ;
The bond interest rate is higher than the risk - free interest rate ( savings , national debt , etc . ) from the point of view of the investors of the investment enterprise , and the maturity principal - interest repayment has the restrictive clause guarantee , and the security is high and the income is stable compared with the stock investment risk .

The development of bond market in our country lags behind , the total amount of bonds accounts for only 24 % of GDP , compared with the developed countries 95 % , the specific gravity is very small . On the one hand , corporate bonds are issued and the transactions are severely restricted by policies . On the other hand , the credit risk is the main risk of the enterprise bond market . However , the development of corporate bond financing plays an important role in optimizing the financing structure of the enterprise , releasing the financial system risk and promoting the healthy development of capital market .

This paper begins with the analysis of the present situation of corporate bond market in our country , analyzes the risk characteristics of corporate bonds , and makes clear that credit risk is mainly measured by credit spreads . Credit spreads refer to the differences between corporate bonds and government bonds due to maturity .

The first chapter introduces the significance of the research background , and reviews the research literatures of corporate bonds at home and abroad . From the influence factors of corporate bond credit spreads to credit risk valuation theory , the non - determination and the asymmetric information are the starting point of the research of corporate bonds . Meanwhile , the research technology route , method and structure of the full text are arranged .

The second chapter proves a proposition of stepwise regression analysis .
Based on the uncertainty of macro - economic environment and micro - enterprise value information and the information asymmetry , the paper selects relevant macro - economic indexes ( interest rate , exchange rate , CPI , stock index fluctuation rate , etc . ) , and selects relevant macro - economic indexes ( interest rate , exchange rate , CPI , index fluctuation rate , etc . ) , and then applies the stepwise regression analysis method to screen variables , and then uses regression analysis method to study the significance influence factors of credit price difference .

The third chapter analyzes the problem of reverse selection and moral hazard caused by asymmetric information of enterprise bond market , and seeks to reduce information asymmetry by means of game theory , principal agent incentive theory and Bayesian decision - making .

The fourth chapter first analyzes the factors of credit risk of corporate bonds , the macro - economic environment and the intrinsic value of micro - enterprises . This chapter analyzes the influencing factors of corporate bonds , selects the appropriate index evaluation system , and establishes the evidence theory evaluation model . Based on the degree of conflict of evidence , this chapter puts forward the basic probability distribution value of the credit risk based on the trust rate as evidence , and provides the scientific basis for the decision - making of the credit risk management of corporate bonds .

In this chapter , we use the unit focal element , so the reliability interval is zero . In the case of non - unit focal element , it is possible to calculate the reliability interval to obtain the uncertainty of the corresponding proposition . The evidence synthesis law can be further improved . If considering the different weights of different evidence in the synthesis formula , the weight should not only be reflected in the part of the conflict of evidence . The new improvement method should be based on some basic properties of the synthesis of evidence ( such as exchange law , binding law , return property , etc . ) .

In this example , the expert opinions correspond to all the influencing factors as evidence , and a multi - dimensional basic probability distribution vector is given , which is very difficult to meet the requirements of the experts . Some experts can also be considered as evidence for information synthesis , so that the expert knowledge advantage is brought into play , and the evidence corresponding to each index variable is processed when the evidence is synthesized .

As an important way for foreign financing of enterprises , corporate bonds should be vigorously advocated . However , there is a sharp conflict of interest between various stakeholders , such as managers , investors , regulators and intermediaries .

The fifth chapter summarizes and prospects , points out the shortage and the direction of future efforts .

Specific innovation points are as follows :

( 1 ) To explore the influencing factors of the credit risk of corporate bonds by using statistical methods ( regression analysis , factor analysis , cluster analysis ) in the case of uncertain and asymmetric information .

( 2 ) To study the uncertainty information processing in the issue of the issue demand and credit rating of the enterprise ' s bond market .

( 3 ) Applying principal - agent incentive theory to study the adverse selection of corporate bonds from issuance to debt service , and the design of moral hazard prevention mechanism . A Bayesian estimation test model is constructed .
The introduction of exogenous variable and the design of the mechanism to motivate agents to work under the circumstances of two tasks .

( 4 ) To apply game theory to study the problem of corporate bond market credit rating agencies and corporate collusion .

【学位授予单位】：武汉大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F275

【参考文献】