基于Black-Karasinski模型的我国城投债风险及定价研究

发布时间：2018-01-26 12:09

本文关键词： 城投债 Black-Karasinski模型 KMV模型信用风险　出处：《北方工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：分税制改革以来,地方政府的财政权和事权不相匹配,城镇化的推进加大了地方政府的资金负担,在此背景下地方融资平台成为了地方政府重要的融资渠道。在经历短暂的低迷之后,2012年城投债规模呈现一种爆发式的增长,全国各省市发行的绝对量及增长幅度都较大,平均每个月的新增发行量近1300亿左右的规模。2012年,地方政府融资平台发行的城投债规模急剧膨胀,截至到12月初,总城投债发行规模达到10015亿元,共848只。目前总城投债的存量规模已经超过2万亿,发行规模较上一年上涨了近124%,远远超过市场上的其他债券品种的增速。但是地方融资平台的城投债并不等同于发达国家的市政债,当地政府的信用对于城投债的支持并没有法律依据,在2013年6月份审计署发布的全国政府性债务报告中把城投债的20%计入地方政府债务,且近年来地方政府的财政缺口逐年加大,地方政府的隐形担保也呈现不确定性,评级机构给出的普遍较高的信用评级没有反应城投债的真实信用,因此城投债存在高估值的风险。本文尝试使用Black-Karasinski无套利模型研究中国银行间债券市场的利率期限结构,为我国的利率风险管理提供有利的补充。并改进KMV模型,通过模拟地方政府财政收支的变化、城投公司净资产价值的变化试图更准确地描述城投债的信用风险及溢价。最后在将无风险利率加入风险溢价的情况下为我国城投债进行定价,旨在为我国债券市场的合理定价提供一种理论方法,并依此规范债券市场的风险。利用本文所提理论方法,选取天津滨海新区建设投资集团有限公司、西宁城市投资管理有限公司所发行的城投债为研究对象,发现天津滨海新区建设投资集团有限公司的城投债的违约风险被高估,而西宁城市投资管理有限公司的城投债的信用风险被低估。可以得出的结论是,目前我国城投债的信用风险是局部的,并不存在系统性的风险,总体风险在可控范围之内。
[Abstract]:Since the reform of the tax sharing system, the local government's financial power and power do not match, the promotion of urbanization has increased the local government's financial burden. In this context, the local financing platform has become an important financing channel for local governments. After a brief downturn, in 2012, the scale of urban debt investment showed a explosive growth. In 2012, the local government financing platform issued a rapid expansion of the scale of the city investment debt issued by the local government financing platform. Up to the beginning of December, the total city investment bond issuance scale has reached one tillion one billion five hundred million yuan, a total of 848. At present, the stock size of the total city investment debt has exceeded 2 tillion, the issuance scale has increased nearly 124% compared with the previous year. Far more than the growth rate of other bond varieties in the market. But the LIFs' municipal debt is not the same as the developed country's municipal debt, and the credit of local government has no legal basis for supporting the city's debt. In June 2013, the National Government debt report issued by the Audit Office included 20% of the debt invested in the city into local government debt, and in recent years, the financial gap of the local government has been increasing year by year. Implicit guarantees from local governments are also uncertain, with ratings agencies offering generally higher credit ratings that do not reflect the true credit of city bonds, so there is a risk of high valuations. This paper attempts to use the Black-Karasinski no-arbitrage model to study the term structure of interest rate in China's interbank bond market. It also improves the KMV model and simulates the changes of local government's fiscal revenue and expenditure by providing a favorable supplement to the interest rate risk management in China. The change of the net asset value of CICC tries to describe more accurately the credit risk and premium of CICs. Finally, the pricing of CICC bonds is made by adding the risk-free interest rate to the risk premium. The purpose of this paper is to provide a theoretical method for the reasonable pricing of the bond market in China and to standardize the risk of the bond market. Using the theory and method proposed in this paper, Tianjin Binhai New area Construction Investment Group Co., Ltd. and Xining City Investment Management Co., Ltd. issued by the city investment debt as the research object. It is found that the default risk of city investment bond of Tianjin Binhai New area Construction Investment Group Co., Ltd. is overestimated, while the credit risk of Xining City Investment Management Co., Ltd is underestimated. At present, the credit risk of city investment debt in our country is partial, there is no systematic risk, and the overall risk is under control.
【学位授予单位】：北方工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F812.5

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