行业视角下的企业债券违约风险度量与投资选择研究

发布时间：2018-03-08 23:21

本文选题：违约风险　切入点：行业比较　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来中国企业的发债规模不断扩大，虽然还没有发生违约事件，但企业债券潜在的违约风险愈来愈引人关注。海外的历史经验往往对研究中国问题具备借鉴意义，通过梳理国外企业的违约历史，发现企业违约风险的变化不仅受宏观经济因素的影响，而且还受中观层面的因素干扰，产能过剩与税负过重则是违约企业的重要特征。针对中国企业的实际情况，考虑到不同行业具备不同的特点，将企业按照行业分类。针对不同行业内中国企业的特点建立量化模型，并度量了不同行业的风险特征。同时在模型建立过程中，借鉴国外违约企业的历史经验，对模型中的相关参数进行了相应修正，，使其更具现实意义。此外，以模型结论为基础，从产业链的角度对其进行分类研究。比较了不同行业之间的违约风险特征，分析并解读了理论与实务的差异所在。与此同时，将这些行业近年来的收益特点与模型度量出的违约风险特征综合起来考虑，认为行业之间存在风险收益的趋势性分化，进而为投资者确定债券投资标的提供有益参考。同时，在探讨违约风险的基础上，讨论了由企业债券违约风险延伸出的后续问题，提醒投资者注意金融创新中的传导效应。
[Abstract]:In recent years, the scale of bond issuance by Chinese enterprises has been increasing. Although there has been no default, the potential default risk of corporate bonds has attracted more and more attention. By combing the default history of foreign enterprises, it is found that the change of default risk is not only influenced by macroeconomic factors, but also interfered by meso-level factors. Overcapacity and excessive tax burden are the important characteristics of defaulting enterprises. According to the actual situation of Chinese enterprises and considering the different characteristics of different industries, the enterprises are classified according to the industry, and a quantitative model is established according to the characteristics of Chinese enterprises in different industries. It also measures the risk characteristics of different industries. At the same time, in the process of establishing the model, using the historical experience of foreign defaulting enterprises for reference, the relevant parameters in the model are revised accordingly to make it more practical. In addition, based on the conclusion of the model, From the angle of industrial chain, this paper studies its classification, compares the characteristics of default risk between different industries, analyzes and interprets the differences between theory and practice. At the same time, Considering the characteristics of these industries' returns in recent years and the default risk characteristics measured by the model, it is considered that there exists a trend differentiation of risk returns among industries, which provides a useful reference for investors to determine the investment target of bonds. Based on the discussion of default risk, this paper discusses the follow-up problems extended by corporate bond default risk, and reminds investors to pay attention to the conduction effect in financial innovation.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F275;F832.51

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