完善信用债内部评级方法研究
发布时间：2018-09-10 10:27
【摘要】：我国债券市场已初成体系,信用债品种也成为了债券市场的重要组成部分。在以往“政府兜底”的预期下,债券市场营造了按期兑付、无违约的祥和假象,债券投资者也极易忽视潜在的信用风险,在自担风险方面意识薄弱,使得外部评级机构揭示风险的动力不足。在2014年初,超日债违约了。标准债务工具的实质违约对市场预期形成明显冲击,加剧了市场参与各方对债务融资的风险警惕和规避意识,信用风险防范被提上重要日程。在金融改革、增速放缓的时点,信用风险不断积聚,不排除违约案例的再次发生,投资者需要对信用风险重新定价,由此激发了投资机构内部构建信用评级模型的迫切需求。内部评级是从投资者的角度,揭示和预警自身承担信用风险的大小,在权衡风险与收益的基础上,调整资产组合,发现相对价值。但我国投资机构内部关于信用债的评级还不成熟,没有完善的系统分析框架,对外部评级依赖程度较大,且仍然以发行主体财务报表分析为主,过于片面滞后,不具备及时性、预警性和客观准确性。投资者应紧跟债券市场不断发展成熟的步伐,及时根除在风险控制方面’“搭便车”的态度,不能对外部评级结果过度依赖,树立起风险自担的投资理念,逐步建立并不断完善内部信评体系,提高对信用风险防范和管理的能力。本文研究的对象是——完善信用债内部评级方法。首先对于目前内部评级存在的问题进行分析,主要突出其依赖外部评级的弊端。通过对外部信用评级的有效性检验,说明了外部评级无法揭示出不同行业、不同公司性质信用资质的差异,评估可信度值得商榷。然后根据检验结果和分析,加入解释变量,用宏观经济形势、行业景气度、公司竞争力、公司财务指标、债券本身特征这5大类合成指标,去拟合信用债市场中期票据的信用利差。因为每一类合成指标涉及较多的参考因素,本文结合时间序列数据与截面数据,运用比较矩阵、因子分析、显著性检验和回归拟合等方法,探究出最能反映利差变化的指标。在此基础上,构建出一个对债券本身以及行业情况能够动态跟踪、及时预警、客观准确的,可操作性强的信用风险评估模型,最后为金融机构的投资服务,发现被高估或低估的债券。
[Abstract]:The bond market of our country has become a new system, and the variety of credit debt has become an important part of the bond market. Under the expectation of the "government" in the past, the bond market has created the false impression that there is no default on time. Bond investors are also prone to ignore the potential credit risk and have a weak sense of taking risks on their own. To make external rating agencies reveal a lack of incentive to risk. In early 2014, supra-Japanese debt defaulted. The substantial default of the standard debt instrument has an obvious impact on the market expectation, which intensifies the risk vigilance and evading consciousness of all parties involved in the market on debt financing, and the prevention of credit risk is put on the important agenda. At the time of financial reform and slow growth, the credit risk is accumulating continuously, and investors need to reprice the credit risk, which stimulates the urgent need to construct the credit rating model within the investment institution. From the perspective of investors, internal rating reveals and warns the size of credit risk, adjusts the portfolio of assets and finds the relative value on the basis of balancing risk and income. However, the internal credit rating of China's investment institutions is not mature, there is no perfect system analysis framework, the degree of dependence on external ratings is greater, and the financial statement analysis of the issuing body is still the main factor, which is too one-sided, and does not have timeliness. Early warning and objective accuracy. Investors should keep up with the maturing pace of the bond market, eradicate the "hitchhiking" attitude in risk control in a timely manner, and should not over-rely on the results of external ratings, and establish an investment philosophy of taking risks on their own. Gradually establish and improve the internal credit rating system, improve the ability to prevent and manage credit risk. The object of this paper is to perfect the internal rating method of credit debt. Firstly, the problems existing in internal rating are analyzed, and the disadvantages of relying on external rating are highlighted. Through the validity test of external credit rating, it is proved that external rating can not reveal the difference of credit qualification in different industries and different companies, and the evaluation credibility is open to question. Then according to the test results and analysis, adding explanatory variables, using macroeconomic situation, industry climate, corporate competitiveness, corporate financial indicators, bond itself characteristics of the five categories of composite indicators, To fit the credit market credit spreads of mid-term notes. Because more reference factors are involved in each kind of composite index, this paper combines time series data with cross section data, using comparison matrix, factor analysis, significance test and regression fitting to find out the index which can best reflect the variation of interest rate. On this basis, a dynamic tracking, timely early warning, objective and accurate credit risk assessment model for the bond itself as well as the industry situation is constructed. Finally, it serves for the investment of financial institutions. Bonds found to be overvalued or undervalued.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
本文编号：2234180
[Abstract]:The bond market of our country has become a new system, and the variety of credit debt has become an important part of the bond market. Under the expectation of the "government" in the past, the bond market has created the false impression that there is no default on time. Bond investors are also prone to ignore the potential credit risk and have a weak sense of taking risks on their own. To make external rating agencies reveal a lack of incentive to risk. In early 2014, supra-Japanese debt defaulted. The substantial default of the standard debt instrument has an obvious impact on the market expectation, which intensifies the risk vigilance and evading consciousness of all parties involved in the market on debt financing, and the prevention of credit risk is put on the important agenda. At the time of financial reform and slow growth, the credit risk is accumulating continuously, and investors need to reprice the credit risk, which stimulates the urgent need to construct the credit rating model within the investment institution. From the perspective of investors, internal rating reveals and warns the size of credit risk, adjusts the portfolio of assets and finds the relative value on the basis of balancing risk and income. However, the internal credit rating of China's investment institutions is not mature, there is no perfect system analysis framework, the degree of dependence on external ratings is greater, and the financial statement analysis of the issuing body is still the main factor, which is too one-sided, and does not have timeliness. Early warning and objective accuracy. Investors should keep up with the maturing pace of the bond market, eradicate the "hitchhiking" attitude in risk control in a timely manner, and should not over-rely on the results of external ratings, and establish an investment philosophy of taking risks on their own. Gradually establish and improve the internal credit rating system, improve the ability to prevent and manage credit risk. The object of this paper is to perfect the internal rating method of credit debt. Firstly, the problems existing in internal rating are analyzed, and the disadvantages of relying on external rating are highlighted. Through the validity test of external credit rating, it is proved that external rating can not reveal the difference of credit qualification in different industries and different companies, and the evaluation credibility is open to question. Then according to the test results and analysis, adding explanatory variables, using macroeconomic situation, industry climate, corporate competitiveness, corporate financial indicators, bond itself characteristics of the five categories of composite indicators, To fit the credit market credit spreads of mid-term notes. Because more reference factors are involved in each kind of composite index, this paper combines time series data with cross section data, using comparison matrix, factor analysis, significance test and regression fitting to find out the index which can best reflect the variation of interest rate. On this basis, a dynamic tracking, timely early warning, objective and accurate credit risk assessment model for the bond itself as well as the industry situation is constructed. Finally, it serves for the investment of financial institutions. Bonds found to be overvalued or undervalued.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51
【参考文献】
相关硕士学位论文 前1条
1 王攀攀;我国城投债发行利差影响因素分析[D];西南财经大学;2012年
，本文编号：2234180
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