基于KMV模型的我国中期票据信用风险度量研究

发布时间：2018-04-25 07:03

本文选题：中期票据 + 信用风险　；参考：《首都经济贸易大学》2017年硕士论文

【摘要】：中期票据作为我国企业中期融资的一种重要手段,自2008年首次发行以来,已经有近十年的发展历史。中期票据相对其他融资手段来说,不仅成本低廉,而且在发行期限上相当灵活,有效的填补了企业中期融资的空白。然而,从2015年开始,我国债券市场打破“刚性兑付”,开始出现违约事件。从2016年统计数据来看,中期票据市场违约事件数量逐渐增多,中期票据信用风险的量化与识别,成为金融市场所面临的重大问题。本文对比了几种现代信用风险度量方法,并指出基于BSM期权定价模型建立的KMV模型较为适合我国中期票据市场的风险度量。目前利用KMV模型对我国中期票据进行风险测量的研究尚且不多,本文以市场中的中期票据为样本,检验KMV模型是否适合用于度量我国中期票据的违约风险。实证主要分为两部分:横向对比实证与纵向时间序列实证,横向实证部分根据信用评级等级选取的三组不同评级的中期票据,修正KMV模型参数计算方法,计算样本参数,利用KMV模型计算出样本违约距离,最后使用SPSS对三组计算结果进行差异显著性分析,若三组之间存在显著差异,则说明KMV模型测定的违约距离能够显著区分不同信用评级的中期票据违约风险。在纵向实证检验中,首先选取我国信用评级变化较为频繁的一只中期票据,其次计算模型所需参数,并计算违约距离,最后将违约距离的变化与这段时间内信用评级的变动情况进行对比,观测两者的符合程度。经过实证研究,横向上当中期票据信用评级差距较大时,KMV模型可以有效地区别不同评级中期票据的信用风险。纵向上,KMV模型可以有效的描绘中期票据的信用风险变动,并具有前瞻性。综合来说,KMV模型适合用于我国中期票据市场的风险度量,有助于我国金融市场的稳定与健康发展。
[Abstract]:As an important means of medium term financing of Chinese enterprises, mid-term bills have been developed for nearly ten years since they were issued for the first time in 2008. Compared with other financing methods, medium-term paper is not only cheap, but also flexible in the issue period, which effectively fills the gap of medium-term financing. However, starting from 2015, China's bond market broke the "rigid payment" and began to default. According to the statistical data of 2016, the number of default events in the medium-term bill market is increasing gradually, and the quantification and identification of credit risk of medium-term paper has become a major problem facing the financial market. This paper compares several modern credit risk measurement methods and points out that the KMV model based on BSM option pricing model is more suitable for risk measurement in China's medium-term paper market. At present, there are few studies on the risk measurement of medium-term notes in China by using KMV model. This paper takes the medium-term notes in the market as a sample to test whether the KMV model is suitable for measuring the default risk of medium-term notes in China. The empirical results are divided into two parts: horizontal contrast empirical and longitudinal time series empirical. In the horizontal empirical part, according to three groups of medium-term notes with different ratings selected by credit rating grade, the calculation method of KMV model parameters is revised and the sample parameters are calculated. The KMV model is used to calculate the default distance of the sample. Finally, the difference between the three groups is analyzed by using SPSS. If there is a significant difference between the three groups, It shows that the default distance measured by KMV model can significantly distinguish the default risk of medium-term notes with different credit ratings. In the longitudinal empirical test, first of all, a medium term note with frequent changes in credit rating is selected, then the parameters required by the model are calculated, and the distance of default is calculated. Finally, the variation of default distance is compared with the change of credit rating during this period, and the coincidence between them is observed. Through empirical research, the KMV model can effectively distinguish the credit risk of medium-term notes with different ratings when the credit rating gap is large. Vertical KMV model can effectively describe the credit risk changes of mid-term notes and is forward-looking. In a word, KMV model is suitable for the risk measurement of China's medium-term paper market, which is helpful to the stability and healthy development of China's financial market.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F224;F832.2

【参考文献】