我国企业债券信用增进研究

发布时间：2018-06-24 04:29

本文选题：企业债券 + 信用增进　；参考：《湖南大学》2013年博士论文

【摘要】：自2005年短期融资券推出以来，我国企业债券市场进入快速发展阶段，然而，由于我国企业债券市场发展时间短，信用增进等风险管理制度安排并没有跟上其高速发展的步伐，债券市场开始出现信用等级向下迁移、信用风险加速积聚的局面。2012年，中国人民银行发布《信用增进机构业务规范》与《信用增进机构风险管理规范》（银发[2012]204号），正式将信用增进明确化、制度化和规范化。信用增进对我国企业债券市场发展具有重大而深远的影响，有利于提高债券债项信用等级、降低发行人融资成本，也有利于债券市场信用风险的科学计量、有效监测和全面监管，从而实现信用风险的分担机制、维护金融体系稳定。本文按“理论与现状剖析－基础性信用增进－信用衍生工具信用增进－结构化信用增进－国际比较－对策建议”的研究框架，综合运用信用增进的契约机制理论、激励机制理论和风险管理理论，借鉴国外企业债券信用增进的相关制度安排的经验，对我国企业债券基础性信用增进、信用衍生工具信用增进和结构化信用增进的方式、原理及其效用进行评价，并最终从信用增进方式优化与创新、信用衍生工具市场发展、信用增进配套制度完善等渠道提出促进我国企业债券市场信用增进发展的对策建议。首先，本文对企业债券信用增进相关概念进行界定。本文所指“企业债券”是指企业依照法定程序发行、约定在一定期限还本付息的有价证券，泛指非金融企业发行的债券，包括短期融资券、中期票据、企业债和公司债等。本文所指“信用增进”是指以保证、信用衍生工具、结构化金融产品或者法律、法规、政策以及行业自律规范文件明确的其他有效形式提高债项信用等级、增强债务履约保障水平，从而分散、转移信用风险的专业性金融服务。信用增进方式按信用增进的原理可分为基础性信用增进、信用衍生工具信用增进和结构化信用增进。其中基础性信用增进方式包括担保、抵质押等；信用衍生工具包括信用违约互换（CDS）、信用风险缓释工具（CRM）等；结构化信用增进方式包括优先/次级结构、优先/中间/次级结构、优先/中间/股权结构等。其次，本文对基础性信用增进的方式、原理和效用进行分析。研究发现，信用增进可以有效分散转移企业债券的信用风险、提升其信用等级、降低其信用利差和发行成本。信用增进将中小企业集合票据（SMECN）的平均信用等级从BBB提升到了AA+，共计8个等级，平均减少了298个基点的融资利率。通过对比分析短期融资券、中期票据、企业债等债券信用增进前后信用等级可知，企业债券信用增进效用显著，其中以短期融资券最为显著、中期票据次之、企业债最后。此次，信用增进对债券流动性的影响与理论并不完全一致，还有待进一步检验。再次，本文对信用衍生工具信用增进的方式、原理、成本和效用进行分析。基于Jarrow-Turnbull模型的信用衍生工具成本测算结果显示，在测算信用风险缓释凭证（CRMW）价格时，国债利率与政策性金融债利率充当无风险利率较为适合。CRMW创设价格≈CRMW成本测算价格（以政策性金融债利率为无风险利率）CRMW成本测算价格（以国债利率为无风险利率）CRMW标的债券交易利差。信用衍生工具成本测算结果与其信用等级和期限相匹配，成本测算较为合理有效。另外，信用衍生工具的使用能够使商业银行在维持风险加权资产不变的情况下，增加贷款供给，通过计量这部分增加的贷款额来衡量信用衍生工具的信用增进效用，结果表明，CDS可以在风险加权资产不变的情况下增加约62%的目标贷款额。最后，本文对结构化信用增进的方式、原理和效用进行分析。通过运用不完全信息静态博弈模型对优先/次级结构引入中间层级债券进行研究发现，增设中间层级债券提高了联合发行人和投资者效用。一方面，对联合发行人而言，，由于增设的中间层级债券由中介机构购买，这在一定程度上起到了信号传递和减少信息不对称的作用，因此，投资者会降低自身对债券收益率的要求，从而降低联合发行人总的发行成本。另一方面，对次级债券和优先级债券投资者来说，由于结构化信用增进改变了债券违约风险的风险承担渠道，中介机构购买中间层级债券，从而分担了部分债券违约风险，因而投资者承担债券违约风险有所降低。尤其对于优先级债券投资者，债券违约风险基本被次级债券和中间层级债券吸收，其承担违约风险大大降低。本文试图建立完整的企业债券信用增进体系，在现有研究的基础上，还需要进一步研究的方面有：第一，依据我国企业债券市场的实际发展状况，创新信用增进方式的设计，探寻适合我国企业债券发展现状的有效信用增进路径；第二，完善信用衍生工具的运行机制，建立合理的成本测算模型，准确反映信用衍生工具的信用风险转移；第三，在全面认识到信用增进过程中的操作缺陷及隐含风险的基础上，对有效的监管体系构建进行探讨，以充分发挥信用增进的风险管理功能。
[Abstract]:Since the introduction of short-term financing vouchers in 2005, China's corporate bond market has entered a rapid development stage. However, due to the short development time of the corporate bond market in China, the arrangement of the risk management system, such as credit enhancement, has not kept pace with its rapid development. The bond market has begun to move down the credit rating, and the credit risk has been accelerated to accumulate. In.2012, the people's Bank of China issued the regulations of the credit enhancing institutions and the standards for the risk management of the credit enhancing institutions ([2012]204), and formally defined, institutionalized and standardized the credit enhancement. The credit enhancement has a profound and far-reaching impact on the development of the bond market in our country, and is beneficial to the improvement of the credit rating of bond debt. Reducing the cost of the issuer's financing is also beneficial to the scientific measurement of the credit risk of the bond market, effective monitoring and comprehensive supervision, so as to realize the sharing mechanism of credit risk and maintain the stability of the financial system.
According to the "theory and the present situation analysis - basic credit enhancement - credit derivatives credit enhancement - structured credit enhancement - International Comparison countermeasure proposal", this paper comprehensively uses the contract mechanism theory of credit enhancement, incentive mechanism theory and risk management theory, and draws lessons from the related system of foreign corporate bond promotion. The experience of the degree arrangement is to evaluate the way, the principle and the utility of the fundamental credit of our corporate bonds, the credit and the structural credit enhancement, and finally to promote our enterprises from the channels of credit enhancement and innovation, the development of the credit derivatives market and the perfect supporting system of credit. Countermeasures and suggestions for the promotion and development of credit market credit.
First, this article defines the concept of the credit enhancement of corporate bonds. This article refers to the "corporate bond" refers to the securities issued by the enterprise in accordance with the legal procedure, and stipulate that the securities which have been paid in a certain period of repayment, refer to the bonds issued by non financial enterprises, including short term financing vouchers, medium term bills, corporate bonds and corporate bonds. "Promotion" means to guarantee, credit derivatives, structured financial products or laws, regulations, policies and other effective forms of self-discipline of the industry to improve the credit rating of debt, enhance the level of debt performance guarantee, and thus decentralization and transfer of credit risk of professional financial services. It can be divided into basic credit enhancement, credit derivatives credit enhancement and structured credit enhancement. The basic ways of credit enhancement include guarantee, collateral and so on; credit derivatives include credit default swap (CDS), credit risk release tool (CRM) and so on; structural credit promotion includes priority / secondary structure, priority / middle / secondary structure, priority / intermediate / equity structure, etc.
Secondly, this paper analyzes the way, principle and utility of basic credit promotion. It is found that credit enhancement can effectively decentralize the credit risk of corporate bonds, improve their credit rating, reduce their credit spreads and issuing costs. The credit promotion has promoted the average credit rating of SMECN from BBB to AA+ A total of 8 grades, with an average reduction of 298 basis points in financing interest rates. By comparing and analyzing the credit grades of short-term financing vouchers, medium-term bills, and corporate bonds, the credit enhancement of corporate bonds is obvious. The impact of coupon liquidity is not entirely consistent with theory, and needs further examination.
Thirdly, this paper analyzes the way, principle, cost and utility of credit derivatives credit enhancement. The result of the cost calculation of credit derivatives based on Jarrow-Turnbull model shows that the interest rate and the interest rate of the policy based golden thaw are more suitable for the creation price of.CRMW when the price of the credit risk release voucher (CRMW) is calculated. CRMW cost calculation price (with policy oriented financial debt interest rate as risk-free interest rate) CRMW cost estimate price (with treasury bond interest rate as risk free interest rate) bond trading margin. The cost calculation results of credit derivatives match their credit rating and maturity, and the cost calculation is more reasonable and effective. In addition, the use of credit derivatives In the case of maintaining the risk weighted assets, the commercial banks can increase the loan supply by measuring the amount of loans increased to measure the credit enhancement utility of the credit derivatives. The result shows that CDS can increase the amount of the target loan by about 62% in the case of the risk weighted assets.
Finally, this paper analyzes the way, principle and utility of structured credit enhancement. Through the application of incomplete information static game model to the introduction of intermediate level bonds in priority / secondary structure, it is found that the addition of intermediate level bonds improves the efficiency of joint issuers and investors. On the one hand, for the joint issuer, the increase is added to the joint issuer. The intermediate level bonds are purchased by intermediary agencies, which, to some extent, plays a role in signaling and reducing information asymmetry. Therefore, investors will reduce their own demand for bond yields and reduce the total issuing cost of joint issuers. On the other hand, for secondary and priority bond investors, the structure is due to the structure. Enhanced credit increases the risk of debt default risk taking channels, intermediaries buy intermediate level bonds, thus sharing part of the bond default risk, so the risk of bond default is reduced by investors. The risk of default is greatly reduced.
This paper tries to establish a complete credit enhancement system for corporate bonds. On the basis of the existing research, it also needs further research. Firstly, according to the actual development situation of the corporate bond market in China, the design of innovative credit enhancement mode, and explore the effective credit promotion path suitable for the current situation of the development of China's corporate bond coupons; second, Perfecting the operating mechanism of credit derivatives, establishing a reasonable cost calculation model, accurately reflecting the credit risk transfer of credit derivatives; third, on the basis of fully understanding the operation defects and hidden risks in the process of credit promotion, the construction of effective supervision system is discussed in order to give full play to the risk management of credit enhancement. Function.
【学位授予单位】：湖南大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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