本文關(guān)鍵詞：基于多元LOGIT模型的公司債券違約因素實(shí)證研究　出處：《華僑大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 公司債券 債券違約 多元LOGIT模型 債券市場(chǎng)改革

【摘要】：2014年3月7日,上�！�11超日債”被迫對(duì)外宣告違約,這標(biāo)志著我國(guó)債券剛性兌付首次被打破。違約事件發(fā)生之后,我國(guó)債券市場(chǎng)面臨著嚴(yán)重的信用風(fēng)險(xiǎn)問(wèn)題。截止2017年3月30日底,還有29家債券發(fā)行主體未完成債券本息兌付。債券商協(xié)會(huì)于2016年9月23日對(duì)外公告發(fā)布修訂后的規(guī)則,此舉措被業(yè)界看成是中國(guó)版的信用違約互換推出。目前我國(guó)債券市場(chǎng)信用違約問(wèn)題,已經(jīng)引起國(guó)家監(jiān)管部門的高度重視。本文旨在了解影響債券違約因素,以便更好對(duì)我國(guó)債券市場(chǎng)風(fēng)險(xiǎn)管控提出更有針對(duì)性的措施。為此,本文將違約情況分成沒(méi)有違約、債券利息違約、債券本金違約和債券利息本金均違約四種,選取了債券利率、擔(dān)保方式、信用評(píng)級(jí)和行業(yè)性質(zhì)等違約指標(biāo)變量,使用2014到2016年發(fā)行或存續(xù)的5016支公司債券數(shù)據(jù)樣本,構(gòu)建了多元LOGIT模型進(jìn)行實(shí)證研究。實(shí)證結(jié)果表明:第一,不可撤銷連帶責(zé)任擔(dān)保,對(duì)于債券持有者保護(hù)力度更強(qiáng);第二,中長(zhǎng)期債券產(chǎn)生債券風(fēng)險(xiǎn)相對(duì)比較高;第三,債券信用主體評(píng)級(jí)越低越容易違約,信用評(píng)級(jí)的下降,同樣會(huì)增加債券違約的風(fēng)險(xiǎn)。因此,完善債券市場(chǎng)信用評(píng)級(jí)制度,使用不可撤銷連帶責(zé)任擔(dān)保加大債券持有者的保護(hù)力度,管控信用風(fēng)險(xiǎn)高發(fā)行業(yè),從而更好地完善債券信用風(fēng)險(xiǎn)市場(chǎng)。本文創(chuàng)新之處在于更加詳細(xì)地對(duì)違約狀況進(jìn)行分類,債券違約指標(biāo)選取更加全面;對(duì)于本文中提出的中國(guó)版信用違約互換如何實(shí)施以及如何更好的進(jìn)行風(fēng)險(xiǎn)管控問(wèn)題,未來(lái)有待進(jìn)一步研究。
[Abstract]:In March 7th 2014, Shanghai "11 super Japanese bonds" was forced to declare default, which marked the first time that the rigid payment of bonds in China was broken. China's bond market is faced with serious credit risk problems. Until the end of March 30th 2017. There are also 29 bond issuers who have not fulfilled the principal and interest payment of bonds. The bond dealers' association issued the revised rules in a public announcement on September 23rd 2016. This measure is regarded by the industry as a Chinese version of credit default swaps. At present, the issue of credit default in China's bond market has attracted great attention of the national regulatory authorities. This paper aims to understand the factors affecting bond default. In order to better our bond market risk management and control measures. For this reason, the default is divided into four types: no default, bond interest default, bond principal default and bond interest principal default. The default index variables, such as bond interest rate, guarantee mode, credit rating and industry nature, are selected to sample 5,016 corporate bonds issued or maintained from 2014 to 2016. The empirical results show that: first, irrevocable joint and several liability guarantees are more strongly protected for bondholders; Second, the bond risk of medium and long term bonds is relatively high; Third, the lower the credit rating, the easier it is to default, and the lower the credit rating, the higher the risk of bond default. Therefore, improve the credit rating system of the bond market. The use of irrevocable joint and several liability guarantees increases the protection of bondholders and controls the industry with high credit risk. In order to improve the bond credit risk market better. The innovation of this paper lies in the more detailed classification of default conditions, the selection of bond default indicators more comprehensive; How to implement the Chinese version of credit default swaps and how to control the risk better, which is proposed in this paper, need further study in the future.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51;F275

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