基于Credit Metrics类模型的城投债信用风险度量研究
发布时间：2018-03-31 14:43
本文选题：城投债 切入点：信用风险 出处：《东华大学》2017年硕士论文
【摘要】：2015年以来,国内债券市场风起云涌,各类违约事件频发,作为债券市场的重要组成部分,城投债近年来也风波不断。城投债的出现带有明显的中国特色经济发展印记,是由分税制改革、基建促经济的政策导向以及旧《预算法》和《担保法》等一系列政策法规所共同催生的融资工具,介于一般企业债(或公司债)和市政债之间的特殊债券品种。2014年新《预算法》和国发43号文出台,要求规范地方政府举债融资机制,剥离融资平台融资职能,一时间,城投债又成为了公众关注的焦点。此外,随着供给侧改革的加快,中央提出了去产能去库存的要求,城投企业所属产能过剩行业的经营不确定性越来越突出,企业现金流收紧,城投债的违约风险将继续加剧并越来越多地对外释放。在此改革背景之下,本文对中国城投债的信用风险进行了度量研究,旨在保护投资者的利益及为规范城投债市场发展提出合理的意见。首先,文章进行了城投债理论层面的分析,详细阐述了城投债的发展及未来趋势,总结出城投债仍具有较大的发展空间。在此基础上,揭示了城投债信用风险内涵及来源,指出城投债的信用风险源于融资主体、债券的特殊性以及实际控制人地方政府等的共同作用,也正是这些因素导致了城投债的信用风险度量困难重重。针对该特点,本文的第三部分对现有成熟的信用风险度量模型进行了比较和筛选,由此确定了研究将要采用的两种模型—JLT强度模型和Credit Metrics模型。同时根据2012年至2015年城投债的发行情况,计算出了中国2012至2015年的城投债信用评级转移矩阵,在比较矩阵稳定性和合理性的基础上,确定将穆迪近四十年的美国市政债转移矩阵作为本文研究的实证工具。其次,实证研究第一部分采用了JLT强度模型对样本债券进行风险度量,具体将无风险和风险两种条件下的城投债进行定价比较,测度了城投债的违约概率,初步确定了城投债的信用风险情况,即其信用风险大小与信用等级成反比,与期限成正比。在此基础上,实证的第二部分运用Credit Metrics模型测算了一年后城投债样本数据违约时可能发生的最大损失,得到95%置信水平下的VaR,进一步确定了城投债的信用风险。最后,针对中国城投债的实际情况以及分析结果,从地方融资平台、第三方中介、投资者等几个维度提出了中国城投债信用风险的防范体系建设的相关建议。
[Abstract]:Since 2015, the domestic bond market default raging like a storm, all kinds of incidents, as an important part of the bond market, the city voted debt in recent years also appeared controversy. The city voted bonds with economic development Chinese mark the obvious characteristics, is the reform of the tax system, promoting infrastructure economic policy and the old budget law > and < "guarantee law" and a series of policies and regulations of common birth financing tool between the general corporate bonds (or bonds) special varieties of bonds and municipal bonds between.2014 years of the new budget law > and < National Development No. 43 issued, the requirements specification of local government debt financing mechanism, stripping financing platform financing function, for a time the city voted debt, has become the focus of public attention. In addition, with the acceleration of the reform of the supply side, put forward the production went to the inventory requirements of the central authorities, the city voted enterprises industry overcapacity business uncertainty is more and more outstanding The enterprise cash flow, tightening, the default risk of the city voted debt will continue to increase and more and more foreign release. Under the background of the reform, the Chinese city investment bond credit risk measure research, aims to protect the interests of investors and to regulate the city investment bond market development put forward reasonable opinions. First of all, the article theoretical analysis of city investment bonds, detailed describes the development of the city voted debt and future trends, summed up the city voted debt still has a large space for development. On this basis, reveals the connotation of the city voted bonds and sources of credit risk, credit risk sources pointed out that the city voted bonds to finance subject, interaction of special bonds and the actual control of the local government, it is these factors lead to the credit risk measurement difficult. Aiming at this characteristic, the third part of the existing mature measurement model of credit risk 杩涜浜嗘瘮杈冨拰绛涢，
本文编号：1691182
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