公司债券市场信用风险防范研究

发布时间：2018-05-31 10:39

本文选题：公司债券市场 + 信用违约风险　；参考：《河南财经政法大学》2017年硕士论文

【摘要】：近几年公司债券市场发展迅速,一改往日沉闷状态,其发行的范围和主体不断地扩大和深化。在丰富多层次资本市场、提高直接融资比重中都发挥着越来越重要的作用。但与此同时,由于宏观经济处于下行周期,政府积极推进供给侧结构性改革,公司经营出现诸多问题,信用风险日益凸显,呈现出违约常态化。截止2016年末,我国债券市场上已经出现80多起债券违约案例,伴随着信用违约潮的是信用评级下调潮,信用风险的传导效应愈加明显,市场风险偏好下降,而且还面临着即将到来的兑付高峰期,公司债券市场面临着严峻的发展形势。从不断爆发的信用违约事件中发现我国公司债券市场信用风险防范机制发展较为落后,完善信用风险防范机制刻不容缓,以避免诱发金融市场上的系统性风险。本文首先介绍公司债券市场信用风险相关理论,然后阐述了其国内发展概况,并在此基础上分析其信用风险状况,主要包括信用风险现状及凸显的原因,进而研究了现实中针对此风险的防范存在哪些不足之处,然后运用KMV模型对我国公司债券进行信用风险识别和衡量。主要是选取了33家上市公司债券样本,从同花顺数据库中获取样本公司的日收盘价、财务报表数据,并用Matlab软件计算,然后得出33家上市公司的的违约距离,并对违约距离均值的显著性进行实证检验,说明了KMV模型的适用性和有效性。最后针对以上分析提出相应的对策和建议。本文认为明确公司债券市场信用风险防范的原则是第一步,在此基础上提出具体的信用风险防范措施:在公司债券市场的风险预警体系的完善上,应深化改革信用评级体系,信用披露制度的建设,加强对市场参与主体的监管;在丰富信用风险分担渠道上,应积极发展违约衍生品市场,完善信用增信服务,强制实施偿债保障条款;在信用风险后续处置制度的建设上,应完善破产程序,加快去产能改革,强化债券持有人会议制度,建立债券保险制度等。
[Abstract]:In recent years, the corporate bond market has developed rapidly. It plays an increasingly important role in enriching multi-level capital markets and increasing the proportion of direct financing. But at the same time, because the macro-economy is in the downward cycle, the government actively promotes the supply-side structural reform, there are many problems in the management of the company, the credit risk is increasingly prominent, showing a norm of default. By the end of 2016, there had been more than 80 bond default cases in China's bond market. With the tide of credit default, the transmission effect of credit risk became more and more obvious, and the market risk preference decreased. But also facing the upcoming peak payment, corporate bond market is facing a grim development situation. In order to avoid the systemic risk in the financial market, it is found that the development of credit risk prevention mechanism in China's corporate bond market is relatively backward, and it is urgent to improve the credit risk prevention mechanism. This paper first introduces the theory of credit risk in corporate bond market, then expounds its domestic development situation, and then analyzes its credit risk situation, including the current situation of credit risk and the reasons why it is prominent. Then it studies the deficiency of preventing this risk in reality, and then uses KMV model to identify and measure the credit risk of our country's corporate bonds. It mainly selects 33 listed company bond sample, obtains the sample company's daily closing price, the financial statement data from Tonghuashun database, calculates with the Matlab software, then obtains 33 listed companies' default distance. The validity and applicability of the KMV model are demonstrated by the empirical test of the mean value of default distance. Finally, the corresponding countermeasures and suggestions are put forward in view of the above analysis. This paper holds that the principle of credit risk prevention in corporate bond market is the first step, and on this basis puts forward specific credit risk prevention measures: in order to perfect the risk warning system of corporate bond market, we should deepen the reform of credit rating system. In order to enrich the channel of credit risk sharing, we should actively develop the market of default derivatives, perfect the service of credit enhancement, and enforce the guarantee clause of debt service. In the construction of the system of the subsequent disposal of credit risk, we should perfect the bankruptcy procedure, speed up the reform of deproductivity, strengthen the meeting system of bondholders, and establish the bond insurance system.
【学位授予单位】：河南财经政法大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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