行业视角下公司债券违约风险度量研究

发布时间：2018-06-16 05:56

本文选题：债券违约 + 风险度量　；参考：《中国科学技术大学》2017年硕士论文

【摘要】：债券是政府和企业非常重要的低成本融资工具,对于债券投资者来说债券具有"低风险、低收益"的特征,因而很少受关注。近三年来,债券的"刚性兑付"隐形规则被打破,债券违约事件频频发生,无不牵动着债券市场参与者的敏感神经。债券的违约风险是债券合理定价的基础、是投资者投资选择的重要参考、更是债券市场走向成熟必须考量的因素,未来我国宏观经济下行压力依然很大,随着供给侧结构性改革的持续推进,债券违约风险或将持续暴露,甚至呈现"违约常态化"的趋势。因此,违约风险的度量、防范与管理势在必行,违约债券的合理处置机制建设迫在眉睫。本文的主要内容有三部分,首先是我国债券违约的现状分析;其次在文献综述的基础上选取在我国适用性最强的KMV模型,并基于KMV模型进行实证研究,重点从企业属性和所属行业视角进行结果分析;最后,探究对于违约债券的市场化处置手段并提出相关的配套建议。违约债券现状分析部分,主要从发行人、行业、品种、违约债券的后续处理等方面对目前我国已经发生违约的债券进行了较为详细的梳理和分析,从而对于债券违约的现状和特征有一个清晰的认识。实证分析方面。目前尚没有专门研究单只债券违约风险的文献,而债券发行人的信用风险直接决定了债券是否违约,因此本文选取10家已经发生违约的上市公司和1738家经过筛选后的上市公司作为研究对象。运用matlab软件求解KMV模型,得出各个公司的违约距离,然后从公司属性和行业分类的角度对结果进行分析,并在此基础上进行违约风险预警线的设置,希望能够给债券投资者带来一定的风险提示和警醒的作用。最后,是债券违约的处置机制研究。在借鉴国外较为成熟的经验的基础上,针对造成债券违约的不同原因提出针对性地处置方法,简要概括为自主协商、债务重组、诉讼求偿和破产清算。然后提出了债券违约处置机制相关配套措施建议,包括完善发行人约束条款、强化中介机构职责、完善投资者保护机制、大力发展违约互换等债券衍生品市场等。
[Abstract]:Bond is a very important low-cost financing tool for governments and enterprises. For bond investors, bonds have the characteristics of "low risk and low yield", so they receive little attention. In the past three years, the invisible rules of "rigid payment" of bonds have been broken, and bond defaults have occurred frequently, all of which have affected the sensitive nerves of the participants in the bond market. The default risk of bonds is the basis for reasonable pricing of bonds, an important reference for investors' investment choices, and a factor that must be considered when the bond market matures. In the future, the downward pressure on China's macro economy is still very high. With the continuous development of supply-side structural reform, the risk of bond default will continue to be exposed, even showing a trend of "default normalization". Therefore, it is imperative to measure, prevent and manage default risk. The main contents of this paper are as follows: firstly, the current situation of bond default in China is analyzed; secondly, on the basis of literature review, the most applicable KMV model is selected, and the empirical research is carried out based on KMV model. Focus on the enterprise attributes and industry perspective to analyze the results; finally, explore the market-oriented disposal of defaulting bonds and put forward some related recommendations. In the part of the analysis of the current situation of defaulted bonds, mainly from the aspects of issuer, industry, variety, and follow-up treatment of defaulting bonds, the author makes a detailed analysis and analysis of the bonds that have been defaulted in our country at present. Thus there is a clear understanding of the current situation and characteristics of bond default. Empirical analysis. At present, there is no literature devoted to studying the default risk of a single bond, and the credit risk of the bond issuer directly determines whether the bond defaults. Therefore, this paper selects 10 listed companies that have already defaulted and 1738 listed companies after screening as the research object. Using matlab software to solve the matlab model, the default distance of each company is obtained, and then the results are analyzed from the angle of company attributes and industry classification, and on this basis, the default risk warning line is set up. The hope can bring certain risk prompt and alert function to bond investor. Finally, it is the bond default disposal mechanism research. Based on the more mature experience of foreign countries, this paper puts forward some methods to deal with the different causes of bond default, including independent negotiation, debt restructuring, litigation claims and bankruptcy liquidation. Then it puts forward some relevant measures for bond default disposal mechanism, including perfecting the binding clause of issuers, strengthening the responsibilities of intermediary organizations, perfecting investor protection mechanism, and vigorously developing bond derivatives market such as default swaps, and so on.
【学位授予单位】：中国科学技术大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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