【摘要】：提高企業(yè)直接融資比例是我國金融市場最為重要的課題之一,而其中,作為債務融資工具的信用債則是發(fā)展中的重中之重。雖然開展時間較晚,但不可否認我國的債券市場已然進入了提速階段；然而國內(nèi)對于信用債的關鍵因素——信用風險度量的學術研究還相對較少。 信用風險模型作為度量債務主體違約風險的數(shù)量工具,在信用債的發(fā)行定價、違約識別中均起到重要作用,并在國外已得到了廣泛研究與應用。本文將利用我國短期融資券、中期票據(jù)以及公司債數(shù)據(jù),對KMV、Z-Score、Z"-Score、ZETA等西方信用風險模型在我國的適用性進行研究。 通過方差分析、多元線性回歸以及案例分析等研究方法,本文發(fā)現(xiàn)：KMV與ZETA模型在我國信用債的評級與定價中均能較好適用；而Z-Score、Z"-Score與ZETA模型在發(fā)行主體違約識別中的效果較好;另外,通過比較信用風險模型、信用評級、發(fā)行規(guī)模以及承銷商聲譽等因素在信用債利差解釋能力上的差異,本文認為我國信用債市場的發(fā)行規(guī)模受發(fā)行主體信用資質(zhì)影響；信用評級較信用風險模型的信息含量更高；而承銷商聲譽效應則可能源于承銷商在選擇客戶時的針對性。這些發(fā)現(xiàn)對于我國債券發(fā)行人及投資人在應用信用風險模型與進行投融資決策等方面均具有現(xiàn)實意義,也能夠?qū)W術界研究適用于國內(nèi)市場的信用模型起到借鑒參考作用。
[Abstract]:Increasing the proportion of direct financing of enterprises is one of the most important issues in the financial market of our country. Among them, credit debt, as a debt financing tool, is the most important task in the process of development. Although the development time is late, there is no denying that the bond market of our country has entered the accelerated stage; however, the domestic academic research on credit risk measurement, the key factor of credit debt, is still relatively few. As a quantitative tool to measure the default risk of debt subject, credit risk model plays an important role in pricing and default identification of credit bonds, and has been widely studied and applied abroad. In this paper, the applicability of western credit risk models such as KMV,Z-Score,Z "- Score,ZETA" and other western credit risk models in China will be studied by using the data of short-term financing bonds, medium-term notes and corporate bonds in China. By means of ANOVA, multivariate linear regression and case analysis, this paper finds that the KMV and ZETA models are suitable for rating and pricing of credit bonds in China. Za Score, Z "- Score and ZETA model have a good effect in the issue subject default recognition; In addition, by comparing the differences of credit risk model, credit rating, issuing scale and underwriter reputation in the ability of explaining the spread of credit bond, this paper thinks that the issuing scale of credit bond market in China is affected by the credit qualification of issuing subjects. The information content of credit rating is higher than that of credit risk model, and the reputation effect of underwriters may be due to the pertinence of underwriters in selecting customers. These findings are of practical significance to Chinese bond issuers and investors in applying credit risk model and making investment and financing decisions, and can also play a reference role in academic research on credit models suitable for domestic market.
【學位授予單位】：復旦大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51;F224

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