我国公司债信用风险及与信用利差关系研究

发布时间：2018-03-10 10:50

本文选题：公司债　切入点：信用风险度量　出处：《上海社会科学院》2017年硕士论文　论文类型：学位论文

【摘要】：继2014年"超日债"违约之后,我国债券市场刚性兑付神话被打破,国内债券市场违约事件接踵而至,债务规模和影响程度与日俱增,因此警惕我国债券市场信用风险变得越发紧要。公司债作为我国信用债之一,品种繁多、结构多样,造成监管难度大,加之市场起步较晚,各项体制都处于探索阶段,市场内部风险较大,如此也使得监管在公司债市场设置了较高的门槛,然而这并不意味着投资者能够放心大胆的忽视风险。近年来,我国公司债市场规模不断扩大,发债公司所涉及的行业范围也在不断扩大,使得不同发债主体公司间状况参差不齐,警惕主体公司信用风险显得越发重要。本文以我国上市公司所发行的公司债为主体,选取2011年11月至2016年11月,发债主体为上市公司且尚在存续期内的公司债数据,利用修正的结构化模型度量公司债发行主体的信用风险,进一步以计算出的违约距离作为代理变量,分析公司债信用风险与信用利差的关系。研究发现,房地产业、建筑业以及租赁和商务服务业的违约距离较小,信用风险较高。而交通运输、仓储和邮政业以及信息传输、软件和信息技术服务业违约距离较大,说明信用风险较低。另一方面,我国公司债的信用评级主要集中于AA级,评级中枢较高,然评级质量并不容乐观。模型方面,对信用风险有一定的识别能力,对风险事件的发生也存在一定的敏感度。最后,通过对计算出的信用利差与违约距离构造面板模型,分析发现违约距离与信用利差总体上呈现一个负向关系,说明信用风险正向影响信用利差,但解释度较低存在较大敞口,且解释能力随着信用评级的降低而减少,可能是受到债券流动性因素的影响,因此信用风险是信用利差的影响因素之一,但不是唯一因素,进一步加入流动性因素分析后发现,模型解释度提高,流动性因素可以解释部分敞口,但仍存在其他因素作用于信用利差,未来可进行更为深入的研究。
[Abstract]:Following the 2014 "super day debt default, the rigid payment myth of China's bond market is broken, the domestic bond market defaults ensued, debt scale and influence grow with each passing day China's credit risk, therefore wary bond market becomes more and more important. As one of China's corporate bonds, credit debt variety, structure diversity, caused by the difficulty of monitoring in addition, the market started late, the system is at the exploratory stage, the internal market risk is bigger, so also makes regulators set a higher threshold in the corporate bond market, but this does not mean that investors can rest assured bold risk ignored. In recent years, the market scale of China's corporate bond issuance continues to expand, the company involved in the industry is also expanding, so that different issuers, the status of uneven, credit risk becomes more and more important to guard the main body of the company. This paper in China The issue of corporate bonds as the main body, from November 2011 to November 2016, the main issue bonds for listed companies and is still in the period of the corporate debt data, measure the corporate bond issuers using a structured modified model of credit risk, further to calculate the default distance as a proxy variable, analysis of the relationship between corporate bonds and credit risk credit spreads. The study found that the real estate industry, construction industry, leasing and business services default distance, higher credit risk. And the transportation, storage and postal industry, information transmission, software and information technology services industry default distance is large, indicating that the credit risk is relatively low. On the other hand, China's corporate bonds the credit rating is mainly concentrated in AA, central high quality rating rating, however, is not optimistic. The model, have a certain ability to identify the credit risk, the risk events are There is a certain sensitivity. Finally, based on the calculated credit spreads and default distance to construct panel model analysis found that the distance to default and credit spreads generally showed a negative correlation, indicating that the credit risk positively influence the credit spreads, but there is a big explanation of low exposure, and the ability to explain decreased with decreasing credit the rating, may be affected by the bond liquidity factors, so the credit risk is one of the factors affecting the credit risk, but it is not the only factor analysis, adding liquidity factors and found that the model to explain the increasing degree of liquidity factors can explain some exposure, but there are still other factors in credit spreads, the future can be for more in-depth research.

【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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