本文關(guān)鍵詞： 城投債 信用風(fēng)險(xiǎn) KMV模型 Knight不確定　出處：《華東師范大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國城鎮(zhèn)化水平的快速提升,地方政府用于城市基礎(chǔ)設(shè)施建設(shè)的支出不斷增加。但是由于分稅制財(cái)政體制改革,我國地方政府的財(cái)政收入無法滿足財(cái)政支出的需求,而且《中國人民共和國預(yù)算法》的限制導(dǎo)致地方政府無法像國外地方政府一樣通過發(fā)行市政債券進(jìn)行融資。為解決財(cái)政資金缺口,地方政府融資平臺(tái)應(yīng)運(yùn)而生并逐漸繁榮。地方政府融資平臺(tái)通過發(fā)行城投債為地方政府進(jìn)行融資,所募集資金主要用于城市基礎(chǔ)設(shè)施建設(shè)和社會(huì)公益事業(yè),對(duì)地方經(jīng)濟(jì)發(fā)展和城市建設(shè)起到了至關(guān)重要的作用。但是隨著城投債規(guī)模不斷的增長,城投債質(zhì)量呈下降趨勢,城投債信用風(fēng)險(xiǎn)問題日益凸顯。本文正是在此背景下,探索如何通過引入Knight不確定性因子的KMV模型對(duì)城投債的信用風(fēng)險(xiǎn)和最大償債規(guī)模進(jìn)行判斷,具有較強(qiáng)的現(xiàn)實(shí)指導(dǎo)意義。 本文首先通過介紹市政債券和城投債的概念和特點(diǎn),發(fā)現(xiàn)城投債即是中國式的“市政債券”。然后對(duì)城投債產(chǎn)生的原因、發(fā)展過程以及現(xiàn)狀進(jìn)行了總結(jié),分析城投債信用風(fēng)險(xiǎn)產(chǎn)生的原因。為對(duì)城投債信用風(fēng)險(xiǎn)進(jìn)行度量,在對(duì)比分析四種信用風(fēng)險(xiǎn)度量模型的基礎(chǔ)上選擇KMV模型,并通過引入Knight不確定性因子,得到了Knight不確定下城投債KMV信用風(fēng)險(xiǎn)測量模型,使得模型更加符合現(xiàn)實(shí)中的金融市場,并對(duì)重慶市城投債信用風(fēng)險(xiǎn)進(jìn)行了實(shí)證研究。 在對(duì)重慶市城投債的實(shí)證研究中,首先介紹了重慶市政府性債務(wù)情況,接著對(duì)地方財(cái)政收入情況進(jìn)行了預(yù)測,根據(jù)預(yù)測結(jié)果運(yùn)用Knight不確定下KMV信用風(fēng)險(xiǎn)測量模型對(duì)城投債信用預(yù)期違約率進(jìn)行了檢驗(yàn),研究了Knight不確定性對(duì)城投債違約率的影響程度。并結(jié)合實(shí)證結(jié)果對(duì)當(dāng)前重慶市城投債信用風(fēng)險(xiǎn)進(jìn)行了探討。 最后,針對(duì)我國城投債的信用風(fēng)險(xiǎn)問題,本文從監(jiān)管層層面、地方政府層面以及地方融資平臺(tái)層面提出了城投債信用風(fēng)險(xiǎn)防范對(duì)策和建議。
[Abstract]:With the rapid development of urbanization in China, the expenditure of local governments on urban infrastructure is increasing. However, due to the reform of the fiscal system of tax sharing. The local government's fiscal revenue can not meet the needs of fiscal expenditure. Moreover, the restrictions on the Budget Law of the people's Republic of China make it impossible for local governments to raise funds by issuing municipal bonds in the same way as foreign local governments. Local government financing platform emerged as the times require and gradually flourished. Local government financing platform through the issuance of debt for local governments to finance the local government, the main funds raised for urban infrastructure construction and social welfare undertakings. It plays an important role in the development of local economy and urban construction. However, with the continuous growth of the scale of urban investment debt, the quality of urban investment debt shows a downward trend. The credit risk of city investment debt is becoming more and more prominent. This paper is under this background. It is of great practical significance to explore how to judge the credit risk and maximum debt repayment scale of city investment debt by introducing the KMV model of Knight uncertainty factor. This paper firstly introduces the concept and characteristics of municipal bond and city investment bond, and finds that city investment bond is Chinese type "municipal bond". Then, it summarizes the reason, development process and present situation of city investment debt. In order to measure the credit risk of city investment debt, KMV model is chosen on the basis of comparative analysis of four credit risk measurement models. And by introducing the Knight uncertainty factor, we get the Knight uncertainty KMV credit risk measurement model, which makes the model more in line with the real financial market. The paper also makes an empirical study on the credit risk of Chongqing City Investment debt. In the empirical study of Chongqing City Investment debt, this paper first introduces the situation of Chongqing municipal government debt, and then forecasts the local financial revenue. According to the forecast results, the paper uses the KMV credit risk measurement model under Knight uncertainty to test the expected default rate of city investment debt. This paper studies the influence of Knight uncertainty on the default rate of city investment debt, and discusses the credit risk of Chongqing city investment bond based on the empirical results. Finally, aiming at the credit risk of city investment debt in China, this paper puts forward the countermeasures and suggestions from the supervision level, the local government level and the local financing platform level.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F812.5

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