發(fā)布時(shí)間：2018-04-30 21:07

  本文選題：企業(yè)債券 + 信用風(fēng)險(xiǎn)��； 參考：《武漢大學(xué)》2014年博士論文

【摘要】：企業(yè)融資優(yōu)勢(shì)理論認(rèn)為,發(fā)行企業(yè)債券是企業(yè)直接融資的理想方式,發(fā)行債券是銀行貸款的替代,可規(guī)避過度依賴銀行帶來的不良貸款危機(jī),因此在降低銀行系統(tǒng)風(fēng)險(xiǎn),保持穩(wěn)定的國家融資結(jié)構(gòu)方面起著十分重要的作用。從發(fā)行主體企業(yè)角度看,發(fā)行企業(yè)債券能使企業(yè)迅速獲得擴(kuò)大生產(chǎn)的資金,調(diào)整改善企業(yè)的財(cái)務(wù)結(jié)構(gòu)狀況,負(fù)債率得到提高,從而使企業(yè)財(cái)務(wù)杠桿效應(yīng)得到有效發(fā)揮；發(fā)行成本低,避免企業(yè)控制權(quán)分散；債券具有抵稅功能。從投資企業(yè)債券投資者角度看,債券利率高于無風(fēng)險(xiǎn)利率(儲(chǔ)蓄、國債等),到期本息償還有限制性條款保證,相比股票投資風(fēng)險(xiǎn)小,安全性高,收益穩(wěn)定。 我國債券市場(chǎng)發(fā)展滯后,債券總量只占GDP的24%,相比發(fā)達(dá)國家95%的比例,比重很小。一方面企業(yè)債券發(fā)行、交易受到政策嚴(yán)格限制,另一方面企業(yè)和中介機(jī)構(gòu)信用缺失、信用評(píng)級(jí)不規(guī)范、債券流動(dòng)性差。信用風(fēng)險(xiǎn)是企業(yè)債券市場(chǎng)的主要風(fēng)險(xiǎn),然而發(fā)展企業(yè)債券融資,在優(yōu)化企業(yè)融資結(jié)構(gòu)、釋放金融系統(tǒng)風(fēng)險(xiǎn)、促進(jìn)資本市場(chǎng)健康發(fā)展方面具有十分重要的作用。 論文從我國企業(yè)債券市場(chǎng)現(xiàn)狀分析開始,剖析了企業(yè)債券的風(fēng)險(xiǎn)特征,明確信用風(fēng)險(xiǎn)主要指發(fā)債企業(yè)不能按照契約到期還本付息的違約風(fēng)險(xiǎn),主要用信用價(jià)差進(jìn)行度量。信用價(jià)差指剩余期限相同的企業(yè)債券與國債到期收益率之差,一般地,信用價(jià)差越大,信用風(fēng)險(xiǎn)越大。信用價(jià)差與其他風(fēng)險(xiǎn)緊密聯(lián)系不可分割,如流動(dòng)性風(fēng)險(xiǎn)、利率風(fēng)險(xiǎn)、再投資風(fēng)險(xiǎn)、通貨膨脹風(fēng)險(xiǎn)、經(jīng)營風(fēng)險(xiǎn)等。論文從宏觀與微觀角度探究不確定和非對(duì)稱信息情形下我國企業(yè)債券信用風(fēng)險(xiǎn)形成機(jī)理,分析信用風(fēng)險(xiǎn)影響因素,理論與實(shí)證相結(jié)合,通過數(shù)學(xué)模型的構(gòu)造求解,有效地設(shè)計(jì)風(fēng)險(xiǎn)防范機(jī)制,完善我國企業(yè)債券的市場(chǎng)化路徑。 第一章緒論部分對(duì)研究背景意義進(jìn)行了介紹,回顧了國內(nèi)外企業(yè)債券的研究文獻(xiàn)。從企業(yè)債券信用價(jià)差影響因素分解到信用風(fēng)險(xiǎn)估價(jià)理論,非確定與非對(duì)稱信息都是企業(yè)債券研究的出發(fā)點(diǎn)。同時(shí)對(duì)全文的研究技術(shù)路線、方法和結(jié)構(gòu)進(jìn)行了安排。 第二章證明了逐步回歸分析的一個(gè)命題；應(yīng)用數(shù)理統(tǒng)計(jì)的方法研究探討了我國企業(yè)債券信用風(fēng)險(xiǎn)影響因素。從宏觀經(jīng)濟(jì)環(huán)境、微觀企業(yè)價(jià)值信息不確定性及信息非對(duì)稱性出發(fā),選取相關(guān)宏觀經(jīng)濟(jì)指標(biāo)(利率、匯率、CPI、股指波動(dòng)率等)、微觀企業(yè)財(cái)務(wù)數(shù)據(jù)(負(fù)債率、利潤率、流動(dòng)比率、資產(chǎn)周轉(zhuǎn)率等),首先應(yīng)用逐步回歸分析方法篩選變量,接著用回歸分析方法研究了信用價(jià)差的顯著性影響因素,經(jīng)過統(tǒng)計(jì)檢驗(yàn)得出非對(duì)稱信息非確定信息導(dǎo)致信用風(fēng)險(xiǎn)。對(duì)于指標(biāo)變量結(jié)構(gòu)分析、分類分別使用因子分析、聚類分析方法進(jìn)行了實(shí)證。 第三章分析了企業(yè)債券市場(chǎng)非對(duì)稱信息導(dǎo)致逆向選擇與道德風(fēng)險(xiǎn)問題,利用博弈論、委托代理激勵(lì)理論、貝葉斯決策等思想方法尋求減少信息不對(duì)稱進(jìn)行合理決策的機(jī)制。通過信號(hào)傳遞,企業(yè)經(jīng)理用負(fù)債率一定程度上顯示企業(yè)的經(jīng)營能力、可靠質(zhì)量,吸引投資者購買相應(yīng)企業(yè)債券,解決融資過程中事前信息不對(duì)稱的逆向選擇問題。進(jìn)一步引入聲譽(yù)博弈,傳遞真實(shí)有效的信息。本章也考慮使用貝葉斯統(tǒng)計(jì)決策思想進(jìn)行非對(duì)稱信息加工處理,在二次損失下獲得了具有最小貝葉斯風(fēng)險(xiǎn)的企業(yè)類型參數(shù)的貝葉斯估計(jì),同時(shí)經(jīng)過假設(shè)檢驗(yàn)來科學(xué)判斷說明命題的真假。事后信息不對(duì)稱導(dǎo)致企業(yè)債券道德風(fēng)險(xiǎn)問題,本章應(yīng)用委托代理方法進(jìn)行機(jī)制設(shè)計(jì),引入外生變量,研究了企業(yè)在兩個(gè)任務(wù)情形下如何同時(shí)激勵(lì)代理人努力工作,分析了努力報(bào)酬的影響因素。結(jié)論是最優(yōu)業(yè)績報(bào)酬是絕對(duì)風(fēng)險(xiǎn)規(guī)避度、邊際激勵(lì)成本變化率和可觀測(cè)變量方差的遞減函數(shù),同時(shí)還受外生信號(hào)變量的相應(yīng)影響。本章最后分析了企業(yè)債券市場(chǎng)中的串謀問題,得出信息不對(duì)稱是企業(yè)債券市場(chǎng)存在串謀的根本原因。政府應(yīng)加強(qiáng)監(jiān)管,建立規(guī)范的信息披露制度,依法規(guī)范中介機(jī)構(gòu)、信用評(píng)級(jí)機(jī)構(gòu)的市場(chǎng)行為。 第四章首先分析了企業(yè)債券的信用風(fēng)險(xiǎn)影響因素—宏觀經(jīng)濟(jì)環(huán)境和微觀企業(yè)內(nèi)在價(jià)值具有不確定性。本章通過分析企業(yè)債券影響因素,選擇合適的指標(biāo)評(píng)價(jià)體系,建立了證據(jù)理論評(píng)價(jià)模型。從證據(jù)沖突程度出發(fā),提出以可信率作為證據(jù)的權(quán)重重新分配基本概率,對(duì)不同證據(jù)來源的指標(biāo)信息采用一種改進(jìn)的證據(jù)理論合成方法,有效地利用證據(jù)沖突的部分有用信息得到信用風(fēng)險(xiǎn)的基本概率分配值,為企業(yè)債券信用風(fēng)險(xiǎn)管理決策提供了科學(xué)依據(jù)。 本章算例使用的是單元焦元,因此信度區(qū)間是零。在非單元焦元一般情形是可以計(jì)算信度區(qū)間,得出相應(yīng)命題的不確定量。證據(jù)合成法則還可進(jìn)一步完善,如考慮合成公式中的不同證據(jù)基本概率分配應(yīng)有不同的權(quán)重,權(quán)重不應(yīng)只體現(xiàn)在證據(jù)沖突部分。新改進(jìn)方法要以保持證據(jù)合成的一些基本性質(zhì)為前提(如交換律、結(jié)合律、歸一性等)。 本算例以專家意見對(duì)應(yīng)全體影響因素作為證據(jù),給出多維基本概率分配向量,難度偏大,對(duì)專家素質(zhì)要求很嚴(yán)格。也可考慮部分專家對(duì)應(yīng)某些指標(biāo)作為證據(jù)進(jìn)行信息合成,這樣有利于發(fā)揮專家專業(yè)知識(shí)優(yōu)勢(shì),證據(jù)合成時(shí)就以各指標(biāo)變量對(duì)應(yīng)的證據(jù)進(jìn)行處理即可。 企業(yè)債券作為企業(yè)外源融資的重要途徑,我國要大力提倡發(fā)展。然而市場(chǎng)各利益主體—企業(yè)經(jīng)理、投資者、監(jiān)管機(jī)構(gòu)和中介,由于信息不對(duì)稱、不確定性因素存在著鮮明的利益沖突,這不僅需要市場(chǎng)機(jī)制來配置,更需要政府規(guī)范各方面制度和行為,以保障各方合法利益。從市場(chǎng)的準(zhǔn)入、中介的監(jiān)管,既不能過分干預(yù)控制也不能完全不管,要把握好宏觀調(diào)控的分寸。各利益主體也要自律,利益風(fēng)險(xiǎn)共擔(dān)。政府不能再為違約企業(yè)兜底,投資者也要正確認(rèn)識(shí)投資風(fēng)險(xiǎn),學(xué)會(huì)合理投資、分散控制風(fēng)險(xiǎn)。信用評(píng)級(jí)機(jī)構(gòu)要規(guī)范操作,建立良好的聲譽(yù)機(jī)制。企業(yè)要誠實(shí)經(jīng)營、依法守信。這樣才會(huì)有健康可持續(xù)發(fā)展的中國企業(yè)債券市場(chǎng)。 第五章總結(jié)與展望,指出不足與今后努力方向。 具體創(chuàng)新點(diǎn)如下： (1)探討信息、風(fēng)險(xiǎn)本質(zhì)屬性,在不確定與非對(duì)稱信息情形下,應(yīng)用統(tǒng)計(jì)方法(回歸分析、因子分析、聚類分析)實(shí)證研究企業(yè)債券信用風(fēng)險(xiǎn)的影響因素。應(yīng)用計(jì)量經(jīng)濟(jì)學(xué)方法估計(jì)信用風(fēng)險(xiǎn)。證明了逐步回歸篩選變量的一個(gè)命題：第一步、第二步引入變量,第三步不需考慮刪除變量。 (2)研究企業(yè)債券市場(chǎng)發(fā)行需求、信用評(píng)級(jí)問題中的不確定性信息處理。應(yīng)用證據(jù)理論方法刻劃信息未知程度,進(jìn)行信用評(píng)級(jí)。提出了一個(gè)新的基本概率分配合成公式。 (3)應(yīng)用委托代理激勵(lì)理論,研究非對(duì)稱信息情形下,企業(yè)債券從發(fā)行到還本付息期間的逆向選擇、道德風(fēng)險(xiǎn)防范機(jī)制設(shè)計(jì)。構(gòu)造了一個(gè)貝葉斯估計(jì)檢驗(yàn)?zāi)Ｐ�；引入外生變�?設(shè)計(jì)了兩任務(wù)情形下激勵(lì)代理人努力工作的機(jī)制。 (4)應(yīng)用博弈論方法研究企業(yè)債券市場(chǎng)信用評(píng)級(jí)機(jī)構(gòu)與企業(yè)串謀問題。
[Abstract]:The theory of enterprise financing advantage holds that the issue of corporate bonds is the ideal way for the direct financing of enterprises . The issuance of bonds is an alternative to bank loans . Therefore , it plays an important role in reducing the risk of bank system and maintaining a stable state financing structure .
the issuing cost is low , and the control right of the enterprise is prevented from being dispersed ;
The bond interest rate is higher than the risk - free interest rate ( savings , national debt , etc . ) from the point of view of the investors of the investment enterprise , and the maturity principal - interest repayment has the restrictive clause guarantee , and the security is high and the income is stable compared with the stock investment risk .

The development of bond market in our country lags behind , the total amount of bonds accounts for only 24 % of GDP , compared with the developed countries 95 % , the specific gravity is very small . On the one hand , corporate bonds are issued and the transactions are severely restricted by policies . On the other hand , the credit risk is the main risk of the enterprise bond market . However , the development of corporate bond financing plays an important role in optimizing the financing structure of the enterprise , releasing the financial system risk and promoting the healthy development of capital market .

This paper begins with the analysis of the present situation of corporate bond market in our country , analyzes the risk characteristics of corporate bonds , and makes clear that credit risk is mainly measured by credit spreads . Credit spreads refer to the differences between corporate bonds and government bonds due to maturity .

The first chapter introduces the significance of the research background , and reviews the research literatures of corporate bonds at home and abroad . From the influence factors of corporate bond credit spreads to credit risk valuation theory , the non - determination and the asymmetric information are the starting point of the research of corporate bonds . Meanwhile , the research technology route , method and structure of the full text are arranged .

The second chapter proves a proposition of stepwise regression analysis .
Based on the uncertainty of macro - economic environment and micro - enterprise value information and the information asymmetry , the paper selects relevant macro - economic indexes ( interest rate , exchange rate , CPI , stock index fluctuation rate , etc . ) , and selects relevant macro - economic indexes ( interest rate , exchange rate , CPI , index fluctuation rate , etc . ) , and then applies the stepwise regression analysis method to screen variables , and then uses regression analysis method to study the significance influence factors of credit price difference .

The third chapter analyzes the problem of reverse selection and moral hazard caused by asymmetric information of enterprise bond market , and seeks to reduce information asymmetry by means of game theory , principal agent incentive theory and Bayesian decision - making .

The fourth chapter first analyzes the factors of credit risk of corporate bonds , the macro - economic environment and the intrinsic value of micro - enterprises . This chapter analyzes the influencing factors of corporate bonds , selects the appropriate index evaluation system , and establishes the evidence theory evaluation model . Based on the degree of conflict of evidence , this chapter puts forward the basic probability distribution value of the credit risk based on the trust rate as evidence , and provides the scientific basis for the decision - making of the credit risk management of corporate bonds .

In this chapter , we use the unit focal element , so the reliability interval is zero . In the case of non - unit focal element , it is possible to calculate the reliability interval to obtain the uncertainty of the corresponding proposition . The evidence synthesis law can be further improved . If considering the different weights of different evidence in the synthesis formula , the weight should not only be reflected in the part of the conflict of evidence . The new improvement method should be based on some basic properties of the synthesis of evidence ( such as exchange law , binding law , return property , etc . ) .

In this example , the expert opinions correspond to all the influencing factors as evidence , and a multi - dimensional basic probability distribution vector is given , which is very difficult to meet the requirements of the experts . Some experts can also be considered as evidence for information synthesis , so that the expert knowledge advantage is brought into play , and the evidence corresponding to each index variable is processed when the evidence is synthesized .

As an important way for foreign financing of enterprises , corporate bonds should be vigorously advocated . However , there is a sharp conflict of interest between various stakeholders , such as managers , investors , regulators and intermediaries .

The fifth chapter summarizes and prospects , points out the shortage and the direction of future efforts .

Specific innovation points are as follows :

( 1 ) To explore the influencing factors of the credit risk of corporate bonds by using statistical methods ( regression analysis , factor analysis , cluster analysis ) in the case of uncertain and asymmetric information .

( 2 ) To study the uncertainty information processing in the issue of the issue demand and credit rating of the enterprise ' s bond market .

( 3 ) Applying principal - agent incentive theory to study the adverse selection of corporate bonds from issuance to debt service , and the design of moral hazard prevention mechanism . A Bayesian estimation test model is constructed .
The introduction of exogenous variable and the design of the mechanism to motivate agents to work under the circumstances of two tasks .

( 4 ) To apply game theory to study the problem of corporate bond market credit rating agencies and corporate collusion .

【學(xué)位授予單位】：武漢大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

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