刚性兑付打破后我国信用债券违约风险分析

发布时间：2018-06-07 13:13

本文选题：信用债券 + 违约风险　；参考：《广西大学》2017年硕士论文

【摘要】：我国信用债券由于政府、银行等机构兜底风险,呈现出刚性兑付的特点,但自2014年超日债违约打破刚性兑付之后,我国信用债券市场违约事件频繁发生,2016年信用债违约数量远远超过2014年和2015年数量之和,在此背景下我国信用债违约风险研究变得尤为重要。本文首先对信用债、刚性兑付、实质性违约等相关概念进行了界定,介绍了信用风险形成理论、信用风险度量与管理理论,其次对信用债券市场总体情况、刚性兑付现象的成因、信用债违约的原因及影响因素进行了论述;采用定性方法与定量方法相结合的方式,引入违约因子对信用债券的违约风险进行分析,在样本选择上根据Wind信用债板块研究数据,选取了 2014年至2016年期间发行的信用债,筛选出其中可得的303个横截面数据作为研究样本。根据信用债券违约风险影响因素,先对影响因素进行主成分分析,然后利用Eviews软件对主成分影响因子进行回归分析,实证研究信用债违约的影响因素。分析结果表明,宏观经济、发债主体的财务指标、债券的特征等因素对信用债违约风险影响显著。基于上述实证结果,本文提出信用债券违约风险应对的策略和建议。一是完善发债企业信息披露,加强评级机构的监管;二是从违约预防制度、偿债基金制度、违约事件处理制度等方面完善信用债违约制度建设;三是建议投资者谨慎地进行风险投资。
[Abstract]:Our country's credit bonds are characterized by rigid repayment because of the risk of government, banks and other institutions. But since 2014, when the Japanese debt defaulted to break the rigid payment, China's credit bond market defaults frequently, and the number of credit bond defaults in 2016 far exceeds the sum of 2014 and 2015. In this context, the research on the risk of credit bond default becomes particularly important. This paper first defines the related concepts such as credit debt, rigid payment, substantial default and so on, introduces the theory of credit risk formation, the measurement and management of credit risk, and then introduces the general situation of credit bond market. The causes of the phenomenon of rigid payment, the causes of default of credit debt and the influencing factors are discussed, and the default risk of credit bonds is analyzed by the combination of qualitative method and quantitative method. According to the data of Wind credit debt research, the credit debt issued between 2014 and 2016 was selected and 303 cross-sectional data were selected as the research samples. According to the influencing factors of credit bond default risk, the influencing factors are analyzed by principal component analysis, and then the influencing factors of credit bond default are analyzed by Eviews software. The results show that the macro economy, the financial index of the bond issuer and the characteristics of the bond have significant influence on the default risk of the credit debt. Based on the above empirical results, this paper puts forward the strategies and suggestions to deal with the default risk of credit bonds. The first is to perfect the information disclosure of the bond issuing enterprises, to strengthen the supervision of the rating agencies, the second is to perfect the credit default system construction from the aspects of default prevention system, debt repayment fund system, default event handling system and so on. Third, it is recommended that investors carefully carry out venture capital.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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