系统性和非系统性风险因子对公司债券信用价差的影响程度研究

发布时间：2018-04-04 18:42

本文选题：公司债券　切入点：信用价差　出处：《浙江财经学院》2013年硕士论文

【摘要】：自我国首只公司债券——07长电债于2007年9月24日发行以来,我国公司债券市场发展势头良好,越来越受到关注。信用价差作为反映公司债券信用质量状况的重要指标,不仅有助于控制和管理公司债券的信用风险,还有助于投资者做出投资决策。和国外关于公司债券信用价差的众多研究成果相比,国内对公司债券信用价差的研究还相对较少。因此,对公司债券信用价差影响因素的研究具有重要的理论和实际意义。在对国内外相关研究进行总结的基础上,结合我国公司债券市场实际,本文从系统性和非系统性风险因子角度出发,以2011年12月30日前由上市公司发行并在上交所交易的公司债券(包括上市公司发行的企业债券)为样本,对我国公司债券信用价差的主要影响因素进行研究。首先,本文利用Nelson-Siegel-Svensson模型拟合出国债的收益率曲线作为无风险收益率曲线计算出各样本公司债券2008年1月4日至2011年12月30日共205周的零波动率信用价差序列。零波动率信用价差考虑了利率期限结构的影响,相较于名义信用价差更为准确。其次,本文选取两组系统性风险因子和三个非系统性风险因子作为公司债券信用价差的影响因素并计算出各风险因子序列。其中,选取利率期限调整的债券指数收益率作为债券市场系统性风险因子,选取股票市场Fama-French三因子作为股票市场系统性风险因子,选取非系统性股票波动率、非系统性债券波动率和非系统性债券VaR作为非系统性因子最后,以公司债券为横截面、以周数为时间截面建立面板数据,对公司债券信用价差序列和各风险因子序列进行固定效应模型回归以分析各风险因子与公司债券信用价差是否存在显著关系以及其对平均公司债券信用价差大小的贡献程度。通过上述研究过程,本文得出以下主要结论：2008年至2011年期间,我国公司债券信用价差的主要影响因素为债券市场系统性风险因子——利率期限调整的债券指数收益率,其能解释平均公司债券信用价差大小的10lbps；而股票市场系统性风险因子——股票市场Fama-French三因子对公司债券信用价差大小的解释力较弱,说明我国股票市场和公司债券的关联性较弱。同时,非系统性风险因子——非系统性股票波动率、非系统性债券波动率以及非系统性债券VaR也可以解释一部分公司债券信用价差的大小,分别为-10bps、34bps和10bps。其中一个有趣的结论是,与国外相关研究的结论相反,非系统性股票波动率与公司债券信用价差存在负向关系,这可能与我国股票市场投机性过高有关。非系统性债券波动率和非系统性债券VaR中分别包含了流动性风险和市场风险对信用价差的影响,这与国外相关研究结果一致。
[Abstract]:Since China's first corporate bond - 07 long debt issued in September 24, 2007, the momentum of development of China's corporate bond market is good, has attracted more and more attention. As an important index to reflect the credit spread of corporate bond credit quality, not only helps to control and manage the credit risk of corporate bond, and help investors to make investment decisions and compared. Many foreign research results on the corporate bond credit spreads, domestic research on corporate bond credit spreads is relatively small. Therefore, it has important theoretical and practical significance to study the influence factors of corporate bond credit spreads.
The thesis on the related research at home and abroad, combined with China's corporate bond market reality, from the systematic and idiosyncratic risk factor perspective, in December 30, 2011 issued by the listed company in Shanghai Stock Exchange Corporate Bonds (including listed companies to issue corporate bonds) as samples, makes a study of the factors the main effect on the credit spread of our company.
First of all, this paper using the fitted bond yield curve as the risk-free rate curve to calculate the zero volatility of the Sample Firms bonds from January 4, 2008 to 30 December 2011, 205 week rate credit spread series Nelson-Siegel-Svensson model. The zero volatility credit spread influence the term structure of interest rates, compared to nominal credit spread is more accurate.
Secondly, this paper selects two groups of risk factor system and three non systemic risk factors as the influencing factors of corporate bond credit spreads and calculate the risk factor sequence. The selection of interest rate adjusted bond index return as the systemic risk of the bond market for the stock market, select the Fama-French three factor as factor system the risk of the stock market, select the non systematic volatility, non systematic and unsystematic volatility of bond bond VaR as a non system factor
Finally, the corporate bonds for the cross section, the number of weeks for the time section of the establishment of panel data, the creditspread sequence and the sequence of each risk factor fixed effect model to analyze the bond credit spreads of various risk factors and whether there is relationship between the company and the average size of creditspread contribution degree.
Through the above research, this paper draws the following conclusions: during the period from 2008 to 2011, yields the main influencing factors of credit spreads of corporate bonds in China is a factor of systemic risk of the bond market interest rate term adjusted bond index, which can explain the average creditspread size of 10lbps; and the stock market systematic risk factor - stock Fama-French three market factors on the credit spread of corporate bond size explanation is weak, indicating a weak link in China's stock market and corporate bonds. At the same time, the non systemic risk factors -- the unsystematic volatility of stock volatility, bond rate of non system and non system VaR bond can also explain part of the corporate bond credit spreads the size were -10bps, 34bps and 10bps., one of the interesting conclusion is that contrary to foreign research results, non systematic The volatility of stock and corporate bond credit spreads have negative relationship, which may be related to the stock market of our country. The high speculative non systematic and unsystematic volatility of bond bond in VaR which included the impact of liquidity risk and market risk on credit spreads, this and foreign related research results.

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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