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公司债信用风险对其信用利差的影响研究

发布时间:2018-05-13 18:51

  本文选题:信用利差 + 信用风险 ; 参考:《东北师范大学》2017年硕士论文


【摘要】:近几年随着我国资本市场结构的不断完善,我国债券市场也迎来了更加广阔的发展空间,特别是公司债异军突起。为了进一步促进我国债券市场发展,减少债券市场与股票市场“跛足”问题,我国证监会颁布了一系列积极促进债市发展的新政策,特别放宽了公司债发行要求。从2014年开始,公司债在发行数量和规模上均不断扩大,呈现了井喷式发展。随着公司债发行规模的不断扩大,我们需要意识到其发行过程中出现的问题,特别是信用风险的不断扩大。过去我国债券需要保证刚性兑付,信用风险相对较小。但是2015年以来我国公司债出现了多起违约风波,很多公司债在发行过程中不重视信用风险,在定价过程中出现利率倒挂现象,低评级债券数量增多,其中从以下的公司债发行规模达到20%。特别是2016年,出现大量债券违约事件,有79只债券实质性违约,涉及34家发债主体,违约金额达403亿元,同比增长220%。这一问题不利于我国债券市场稳定发债,加大公司债的流动性风险。因此,我们有必要在公司债定价过程中合理考虑其信用风险。目前国内外学者在研究债券信用利差时多采用结构分析法、回归分析法等,本文将借鉴国内外的分析方式,利用回归分析法提出其他因素对公司债信用利差的影响,表现信用风险对其的影响作用。文共五个部分,第一部分主要介绍了本文的研究背景、文献综述以及相关的创新点;第二部分介绍了我国公司债目前的发展状况及出现的信用风险事件,简述衡量信用风险的基本度量方式;第三部分以信用风险对信用利差的理论分析为主,进一步介绍了信用风险对信用利差影响的传导渠道;第四部分通过分析实时数据,利用对比分析和回归分析法从多个角度阐释信用风险对于信用利差的影响;第五部分针对本文研究的结果,对当前公司债发展过程中存在的问题提出建议。因此,本文将重点分析公司债信用风险对信用利差的影响,利用信用风险来有效的解释信用利差。希望该问题的研究能够使我国公司债定价过程中更加合理化,防止信用风险危害,有效解决违约事件带来的影响,并进一步构建完善的公司债定价机制,使公司债市场能够健康发展。
[Abstract]:In recent years, with the continuous improvement of China's capital market structure, China's bond market has also ushered in a broader space for development, especially the corporate debt has risen. In order to further promote the development of the bond market and reduce the "lame" problem of the bond market and the stock market, China's Securities Regulatory Commission has issued a series of actively promoting the development of the bond market. The new policy, in particular, relaxed the demand for corporate debt issuance. Since 2014, corporate debt has expanded in number and scale, showing a blowout development. As the scale of the issuance of corporate bonds continues to expand, we need to be aware of the problems arising from the issuance process, especially the expansion of credit risk. It is necessary to guarantee the rigid cash payment, but the credit risk is relatively small. However, since 2015, there have been many default storms in our company debt. Many corporate bonds do not attach importance to credit risk in the process of issuing. In the process of pricing, the rate of interest rate upside down and the number of low rating bonds increase, from the following corporate debt issuance to 20%., especially 201 In the past 6 years, a large number of bond default events have occurred. There are 79 bonds in substantive default, involving 34 debt holders, and the amount of default amounts to 40 billion 300 million yuan. The increase of 220%. is not conducive to the stable debt issuance of the bond market in China and the liquidity risk of corporate bonds. Therefore, it is necessary for us to consider the credit risk reasonably in the process of pricing corporate bonds. The former domestic and foreign scholars use structural analysis and regression analysis in the study of bond credit spreads. This article will draw on the analysis methods at home and abroad, use the regression analysis method to put forward the influence of other factors on the credit spreads of corporate bonds, and show the effect of credit risk on it. The first part is five parts. The first part mainly introduces the article The research background, the literature review and the related innovation points. The second part introduces the current development of corporate debt in China and the occurrence of credit risk events, briefly describes the basic measure of credit risk; the third part is based on the theoretical analysis of credit spreads by credit risk, and further introduces credit risk to credit spreads. The fourth part explains the effect of credit risk on credit spreads by analyzing real-time data by analyzing real-time data and using comparative analysis and regression analysis. The fifth part puts forward some suggestions on the existing problems in the process of corporate debt development. The impact of risk on credit spreads and the use of credit risk to explain the credit spreads effectively. It is hoped that the study can make the pricing process of the company debt more reasonable, prevent the risk of credit risk, effectively solve the impact of the default event, and further build a good company debt pricing mechanism, so that the corporate debt market can be made possible. Healthy development.

【学位授予单位】:东北师范大学
【学位级别】:硕士
【学位授予年份】:2017
【分类号】:F832.51

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