基于多元LOGIT模型的公司债券违约因素实证研究

发布时间：2018-01-05 09:54

本文关键词：基于多元LOGIT模型的公司债券违约因素实证研究　出处：《华侨大学》2017年硕士论文　论文类型：学位论文

【摘要】：2014年3月7日,上海“11超日债”被迫对外宣告违约,这标志着我国债券刚性兑付首次被打破。违约事件发生之后,我国债券市场面临着严重的信用风险问题。截止2017年3月30日底,还有29家债券发行主体未完成债券本息兑付。债券商协会于2016年9月23日对外公告发布修订后的规则,此举措被业界看成是中国版的信用违约互换推出。目前我国债券市场信用违约问题,已经引起国家监管部门的高度重视。本文旨在了解影响债券违约因素,以便更好对我国债券市场风险管控提出更有针对性的措施。为此,本文将违约情况分成没有违约、债券利息违约、债券本金违约和债券利息本金均违约四种,选取了债券利率、担保方式、信用评级和行业性质等违约指标变量,使用2014到2016年发行或存续的5016支公司债券数据样本,构建了多元LOGIT模型进行实证研究。实证结果表明:第一,不可撤销连带责任担保,对于债券持有者保护力度更强;第二,中长期债券产生债券风险相对比较高;第三,债券信用主体评级越低越容易违约,信用评级的下降,同样会增加债券违约的风险。因此,完善债券市场信用评级制度,使用不可撤销连带责任担保加大债券持有者的保护力度,管控信用风险高发行业,从而更好地完善债券信用风险市场。本文创新之处在于更加详细地对违约状况进行分类,债券违约指标选取更加全面;对于本文中提出的中国版信用违约互换如何实施以及如何更好的进行风险管控问题,未来有待进一步研究。
[Abstract]:In March 7th 2014, Shanghai "11 super Japanese bonds" was forced to declare default, which marked the first time that the rigid payment of bonds in China was broken. China's bond market is faced with serious credit risk problems. Until the end of March 30th 2017. There are also 29 bond issuers who have not fulfilled the principal and interest payment of bonds. The bond dealers' association issued the revised rules in a public announcement on September 23rd 2016. This measure is regarded by the industry as a Chinese version of credit default swaps. At present, the issue of credit default in China's bond market has attracted great attention of the national regulatory authorities. This paper aims to understand the factors affecting bond default. In order to better our bond market risk management and control measures. For this reason, the default is divided into four types: no default, bond interest default, bond principal default and bond interest principal default. The default index variables, such as bond interest rate, guarantee mode, credit rating and industry nature, are selected to sample 5,016 corporate bonds issued or maintained from 2014 to 2016. The empirical results show that: first, irrevocable joint and several liability guarantees are more strongly protected for bondholders; Second, the bond risk of medium and long term bonds is relatively high; Third, the lower the credit rating, the easier it is to default, and the lower the credit rating, the higher the risk of bond default. Therefore, improve the credit rating system of the bond market. The use of irrevocable joint and several liability guarantees increases the protection of bondholders and controls the industry with high credit risk. In order to improve the bond credit risk market better. The innovation of this paper lies in the more detailed classification of default conditions, the selection of bond default indicators more comprehensive; How to implement the Chinese version of credit default swaps and how to control the risk better, which is proposed in this paper, need further study in the future.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51;F275

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