本文選題：城投債　切入點：信用風險　出處：《東華大學》2017年碩士論文

【摘要】：2015年以來,國內債券市場風起云涌,各類違約事件頻發(fā),作為債券市場的重要組成部分,城投債近年來也風波不斷。城投債的出現(xiàn)帶有明顯的中國特色經(jīng)濟發(fā)展印記,是由分稅制改革、基建促經(jīng)濟的政策導向以及舊《預算法》和《擔保法》等一系列政策法規(guī)所共同催生的融資工具,介于一般企業(yè)債(或公司債)和市政債之間的特殊債券品種。2014年新《預算法》和國發(fā)43號文出臺,要求規(guī)范地方政府舉債融資機制,剝離融資平臺融資職能,一時間,城投債又成為了公眾關注的焦點。此外,隨著供給側改革的加快,中央提出了去產(chǎn)能去庫存的要求,城投企業(yè)所屬產(chǎn)能過剩行業(yè)的經(jīng)營不確定性越來越突出,企業(yè)現(xiàn)金流收緊,城投債的違約風險將繼續(xù)加劇并越來越多地對外釋放。在此改革背景之下,本文對中國城投債的信用風險進行了度量研究,旨在保護投資者的利益及為規(guī)范城投債市場發(fā)展提出合理的意見。首先,文章進行了城投債理論層面的分析,詳細闡述了城投債的發(fā)展及未來趨勢,總結出城投債仍具有較大的發(fā)展空間。在此基礎上,揭示了城投債信用風險內涵及來源,指出城投債的信用風險源于融資主體、債券的特殊性以及實際控制人地方政府等的共同作用,也正是這些因素導致了城投債的信用風險度量困難重重。針對該特點,本文的第三部分對現(xiàn)有成熟的信用風險度量模型進行了比較和篩選,由此確定了研究將要采用的兩種模型—JLT強度模型和Credit Metrics模型。同時根據(jù)2012年至2015年城投債的發(fā)行情況,計算出了中國2012至2015年的城投債信用評級轉移矩陣,在比較矩陣穩(wěn)定性和合理性的基礎上,確定將穆迪近四十年的美國市政債轉移矩陣作為本文研究的實證工具。其次,實證研究第一部分采用了JLT強度模型對樣本債券進行風險度量,具體將無風險和風險兩種條件下的城投債進行定價比較,測度了城投債的違約概率,初步確定了城投債的信用風險情況,即其信用風險大小與信用等級成反比,與期限成正比。在此基礎上,實證的第二部分運用Credit Metrics模型測算了一年后城投債樣本數(shù)據(jù)違約時可能發(fā)生的最大損失,得到95%置信水平下的VaR,進一步確定了城投債的信用風險。最后,針對中國城投債的實際情況以及分析結果,從地方融資平臺、第三方中介、投資者等幾個維度提出了中國城投債信用風險的防范體系建設的相關建議。
[Abstract]:Since 2015, the domestic bond market default raging like a storm, all kinds of incidents, as an important part of the bond market, the city voted debt in recent years also appeared controversy. The city voted bonds with economic development Chinese mark the obvious characteristics, is the reform of the tax system, promoting infrastructure economic policy and the old budget law > and < "guarantee law" and a series of policies and regulations of common birth financing tool between the general corporate bonds (or bonds) special varieties of bonds and municipal bonds between.2014 years of the new budget law > and < National Development No. 43 issued, the requirements specification of local government debt financing mechanism, stripping financing platform financing function, for a time the city voted debt, has become the focus of public attention. In addition, with the acceleration of the reform of the supply side, put forward the production went to the inventory requirements of the central authorities, the city voted enterprises industry overcapacity business uncertainty is more and more outstanding The enterprise cash flow, tightening, the default risk of the city voted debt will continue to increase and more and more foreign release. Under the background of the reform, the Chinese city investment bond credit risk measure research, aims to protect the interests of investors and to regulate the city investment bond market development put forward reasonable opinions. First of all, the article theoretical analysis of city investment bonds, detailed describes the development of the city voted debt and future trends, summed up the city voted debt still has a large space for development. On this basis, reveals the connotation of the city voted bonds and sources of credit risk, credit risk sources pointed out that the city voted bonds to finance subject, interaction of special bonds and the actual control of the local government, it is these factors lead to the credit risk measurement difficult. Aiming at this characteristic, the third part of the existing mature measurement model of credit risk 榪涜浜嗘瘮杈冨拰絳涢，

本文編號：1691182