【摘要】：近年來(lái),信用債券市場(chǎng)得到大力發(fā)展,但是作為信用債券,由于缺乏國(guó)家信用做擔(dān)保,其價(jià)值和價(jià)格的變化幾乎完全取決于投資人對(duì)發(fā)行人資質(zhì)信息的掌握程度,以及在此基礎(chǔ)上做出的信用風(fēng)險(xiǎn)判斷。而目前投資者對(duì)信用債券信用風(fēng)險(xiǎn)的判斷,幾乎都來(lái)源于信用評(píng)級(jí)機(jī)構(gòu)給出的信用評(píng)級(jí)報(bào)告。而鑒于我國(guó)信用評(píng)級(jí)機(jī)構(gòu)成立較晚,信用評(píng)級(jí)方法不夠健全,各信用評(píng)級(jí)機(jī)構(gòu)之間的評(píng)級(jí)方法不盡相同,以及信用評(píng)級(jí)報(bào)告給出的信息、有限,甚至出現(xiàn)企業(yè)花錢(qián)買(mǎi)通評(píng)級(jí)機(jī)構(gòu)來(lái)?yè)Q取高評(píng)級(jí)的現(xiàn)象,導(dǎo)致評(píng)級(jí)機(jī)構(gòu)給出的評(píng)級(jí)結(jié)果和評(píng)級(jí)信息缺乏公信力,對(duì)投資者的投資而言意義不大,甚至在一定程度上還會(huì)影響投資者做出合理的投資決策。 雖然至今,我國(guó)還沒(méi)有出現(xiàn)真正意義上的信用風(fēng)險(xiǎn)事件,沒(méi)有哪只債券出現(xiàn)了無(wú)法還本付息的現(xiàn)象,但是伴隨著信用債券市場(chǎng)的迅速發(fā)展壯大,信用風(fēng)險(xiǎn)將是投資者投資時(shí)面臨的主要風(fēng)險(xiǎn)。企業(yè)的經(jīng)營(yíng)狀況出現(xiàn)問(wèn)題,債券的還本付息變得困難,信用事件的爆發(fā)是任何一個(gè)債券投資者不愿踩到的地雷。因此,如果對(duì)債券的信用風(fēng)險(xiǎn)有個(gè)完善的可操作的信用評(píng)級(jí)辦法來(lái)幫助投資者分析債券,努力避免踩到信用風(fēng)險(xiǎn)地雷,對(duì)投資者而言,將是一筆不小的財(cái)富。 本文就是從投資者的角度出發(fā),根據(jù)投資者對(duì)短期債券和長(zhǎng)期債券的不同的投資理念,努力構(gòu)建一套科學(xué)的、可實(shí)際操作的、包含信息充分債券評(píng)級(jí)方法,為投資者的投資保駕護(hù)航。 本文安排如下： 第一章導(dǎo)論部分,首先介紹了此次研究的選題背景,梳理了相關(guān)概念。 第二章介紹了債券信用評(píng)級(jí)方法在我國(guó)的缺陷,最后針對(duì)信用評(píng)級(jí)機(jī)構(gòu)給出的評(píng)級(jí)結(jié)果進(jìn)行了實(shí)證檢驗(yàn)。 第三章從信用風(fēng)險(xiǎn)的影響因素和信用評(píng)級(jí)的一般模型與方法兩個(gè)方面文梳理、回顧和總結(jié)相關(guān)文獻(xiàn)后提出了本文的分析框架。 第四章和第五依據(jù)債券投資者的投資理念,分別提出了短期債券信用評(píng)級(jí)方法和長(zhǎng)期債券信用評(píng)級(jí)方法。 第六章分別針對(duì)前兩章提出的債券信用評(píng)級(jí)方法做了實(shí)證分析,得出這整套信用評(píng)級(jí)方法有效的結(jié)論。 第七章總結(jié)本文的結(jié)論的同時(shí)也提出了一些相應(yīng)的政策建議,此外還弱弱提出了債券信用評(píng)級(jí)方法研究的展望。
[Abstract]:In recent years, the credit bond market has been greatly developed, but as credit bonds, due to the lack of state credit guarantee, the changes in value and price depend almost entirely on the degree to which investors have grasped the issuer's qualification information. And on the basis of credit risk judgment. At present, investors' judgment on credit risk of credit bonds comes from credit rating reports from credit rating agencies. In view of the late establishment of the credit rating agencies in China, the inadequate credit rating methods, the different rating methods among the credit rating agencies, and the limited information given by the credit rating reports, Even the phenomenon of companies buying out rating agencies in exchange for high ratings has led to a lack of credibility in the ratings results and rating information given by rating agencies, which is of little significance to investors' investments. Even to a certain extent, investors will be affected to make reasonable investment decisions. Although up to now, there has been no real credit risk event in our country, and no bond has been unable to service its principal and interest, but with the rapid development of the credit bond market, Credit risk will be the main risk that investors face when investing. Business is in trouble, debt servicing has become difficult, and the outbreak of credit events is a mine that any bond investor is unwilling to step on. So it would be a big asset for investors to have a sound operational credit rating approach to the credit risk of bonds to help investors analyze bonds and try to avoid stepping on the credit risk mines. This article is from the investor's angle, according to the investor's different investment idea to the short-term bond and the long-term bond, tries hard to construct a set of scientific, practical, including information sufficient bond rating method. To protect the investment of investors. The thesis is arranged as follows: the first chapter introduces the background of this research and combs the related concepts. The second chapter introduces the defects of the bond credit rating method in China, and finally makes an empirical test on the rating results given by the credit rating agencies. The third chapter reviews the influencing factors of credit risk and the general models and methods of credit rating, then reviews and summarizes the relevant literature and puts forward the analysis framework of this paper. Chapter four and five put forward short-term bond credit rating method and long-term bond credit rating method according to bond investors' investment idea. Chapter 6 makes empirical analysis on the bond credit rating method proposed in the first two chapters, and draws the conclusion that the whole credit rating method is effective. The seventh chapter summarizes the conclusions of this paper and puts forward some corresponding policy recommendations, in addition, the weak and weak put forward the prospects of the study of bond credit rating methods.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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