本文選題：地方政府債券 + 違約風(fēng)險(xiǎn)�。� 參考：《沈陽(yáng)大學(xué)》2013年碩士論文

【摘要】：我國(guó)正在大力嘗試發(fā)展地方政府債券市場(chǎng)，而在地方政府債券發(fā)行過(guò)程中，確定合理發(fā)行規(guī)模和度量違約風(fēng)險(xiǎn)是面臨的重要問(wèn)題。本文基于確定合理發(fā)債規(guī)模的視角，從定性分析和定量分析兩方面對(duì)地方政府債券違約風(fēng)險(xiǎn)進(jìn)行研究，并給出防范地方政府債券違約風(fēng)險(xiǎn)的建議。 本文的定性研究是在現(xiàn)有的相關(guān)理論基礎(chǔ)上，借鑒美國(guó)市政債券和日本地方公債的成熟經(jīng)驗(yàn)，對(duì)我國(guó)地方政府債券違約風(fēng)險(xiǎn)的成因進(jìn)行分析，得出影響我國(guó)地方政府債券違約的風(fēng)險(xiǎn)主要包括地方政府債務(wù)風(fēng)險(xiǎn)、地方政府財(cái)政收支失衡風(fēng)險(xiǎn)、地方政府信用缺失風(fēng)險(xiǎn)、地方政府債券市場(chǎng)不健全帶來(lái)的風(fēng)險(xiǎn)。 本文的定量研究選取地方財(cái)政收入這一普遍性的指標(biāo)，利用引入Knight不確定性的KMV模型，以今年新增自行發(fā)債試點(diǎn)省之一的山東省為例，度量其發(fā)行的地方政府債券違約風(fēng)險(xiǎn)，證明了引入Knight不確定性的KMV模型的適用性和可行性，為其他省市度量其發(fā)行的地方政府債券違約風(fēng)險(xiǎn)提供參考。根據(jù)定量分析的結(jié)果得到了2013年山東省地方政府債券的安全發(fā)行規(guī)模，在安全發(fā)行規(guī)模內(nèi)，違約風(fēng)險(xiǎn)對(duì)發(fā)行規(guī)模的變化不明顯，但當(dāng)發(fā)行規(guī)模高于安全發(fā)行規(guī)模時(shí)，違約風(fēng)險(xiǎn)對(duì)發(fā)行規(guī)模的變化特別敏感，隨著發(fā)行規(guī)模的增加而迅速增大；證明了Knight不確定性對(duì)違約距離和違約概率有較大影響。因此，我國(guó)地方政府債券的違約風(fēng)險(xiǎn)是不容忽視的。 根據(jù)定性分析和定量分析，本文給出了地方政府債券違約風(fēng)險(xiǎn)的防范建議：要改善地方政府債券的發(fā)行環(huán)境，建立以信用評(píng)級(jí)制度和信息披露制度為代表的約束機(jī)制，，配置地方政府債券的信用增級(jí)措施來(lái)降低其違約風(fēng)險(xiǎn)的發(fā)生。
[Abstract]:China is trying hard to develop the local government bond market. In the process of issuing local government bonds, it is an important problem to determine the reasonable issuance scale and measure the default risk. Based on the perspective of determining the reasonable bond issuance scale, this paper studies the default risk of local government bonds from qualitative analysis and quantitative analysis, and gives some suggestions on how to prevent the default risk of local government bonds. The qualitative research of this paper is to analyze the causes of default risk of local government bonds in China based on the existing relevant theories and the mature experience of American municipal bonds and Japanese local bonds. It is concluded that the risk of local government bond default mainly includes the risk of local government debt, the risk of local government fiscal imbalance, the risk of local government credit deficiency, and the risk of local government bond market unsoundness. Based on the KMV model with Knight uncertainty, the quantitative research of this paper selects the local fiscal revenue as a universal index and measures the default risk of local government bonds issued by Shandong Province, one of the newly self-issued pilot provinces, as an example. The applicability and feasibility of KMV model with Knight uncertainty are proved, which provides a reference for other provinces and cities to measure the default risk of local government bonds issued by Knight. According to the results of quantitative analysis, the security issuance scale of local government bonds in Shandong Province in 2013 is obtained. In the safe issuance scale, the default risk has no obvious change on the issuance scale, but when the issuance scale is higher than the safe issuance scale, Default risk is especially sensitive to the change of issuance scale and increases rapidly with the increase of issuance scale, which proves that Knight uncertainty has great influence on the distance of default and the probability of default. Therefore, the default risk of local government bonds can not be ignored. According to the qualitative analysis and quantitative analysis, this paper gives some suggestions on how to prevent the default risk of local government bonds: to improve the issuing environment of local government bonds, and to establish a constraint mechanism represented by credit rating system and information disclosure system. Allocate credit enhancement measures for local government bonds to reduce the risk of default.
【學(xué)位授予單位】：沈陽(yáng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F812.5

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