本文選題：中期票據(jù) + 信用風(fēng)險(xiǎn)��； 參考：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文

【摘要】：中期票據(jù)作為我國(guó)企業(yè)中期融資的一種重要手段,自2008年首次發(fā)行以來(lái),已經(jīng)有近十年的發(fā)展歷史。中期票據(jù)相對(duì)其他融資手段來(lái)說(shuō),不僅成本低廉,而且在發(fā)行期限上相當(dāng)靈活,有效的填補(bǔ)了企業(yè)中期融資的空白。然而,從2015年開(kāi)始,我國(guó)債券市場(chǎng)打破“剛性?xún)陡丁?開(kāi)始出現(xiàn)違約事件。從2016年統(tǒng)計(jì)數(shù)據(jù)來(lái)看,中期票據(jù)市場(chǎng)違約事件數(shù)量逐漸增多,中期票據(jù)信用風(fēng)險(xiǎn)的量化與識(shí)別,成為金融市場(chǎng)所面臨的重大問(wèn)題。本文對(duì)比了幾種現(xiàn)代信用風(fēng)險(xiǎn)度量方法,并指出基于BSM期權(quán)定價(jià)模型建立的KMV模型較為適合我國(guó)中期票據(jù)市場(chǎng)的風(fēng)險(xiǎn)度量。目前利用KMV模型對(duì)我國(guó)中期票據(jù)進(jìn)行風(fēng)險(xiǎn)測(cè)量的研究尚且不多,本文以市場(chǎng)中的中期票據(jù)為樣本,檢驗(yàn)KMV模型是否適合用于度量我國(guó)中期票據(jù)的違約風(fēng)險(xiǎn)。實(shí)證主要分為兩部分:橫向?qū)Ρ葘?shí)證與縱向時(shí)間序列實(shí)證,橫向?qū)嵶C部分根據(jù)信用評(píng)級(jí)等級(jí)選取的三組不同評(píng)級(jí)的中期票據(jù),修正KMV模型參數(shù)計(jì)算方法,計(jì)算樣本參數(shù),利用KMV模型計(jì)算出樣本違約距離,最后使用SPSS對(duì)三組計(jì)算結(jié)果進(jìn)行差異顯著性分析,若三組之間存在顯著差異,則說(shuō)明KMV模型測(cè)定的違約距離能夠顯著區(qū)分不同信用評(píng)級(jí)的中期票據(jù)違約風(fēng)險(xiǎn)。在縱向?qū)嵶C檢驗(yàn)中,首先選取我國(guó)信用評(píng)級(jí)變化較為頻繁的一只中期票據(jù),其次計(jì)算模型所需參數(shù),并計(jì)算違約距離,最后將違約距離的變化與這段時(shí)間內(nèi)信用評(píng)級(jí)的變動(dòng)情況進(jìn)行對(duì)比,觀測(cè)兩者的符合程度。經(jīng)過(guò)實(shí)證研究,橫向上當(dāng)中期票據(jù)信用評(píng)級(jí)差距較大時(shí),KMV模型可以有效地區(qū)別不同評(píng)級(jí)中期票據(jù)的信用風(fēng)險(xiǎn)。縱向上,KMV模型可以有效的描繪中期票據(jù)的信用風(fēng)險(xiǎn)變動(dòng),并具有前瞻性。綜合來(lái)說(shuō),KMV模型適合用于我國(guó)中期票據(jù)市場(chǎng)的風(fēng)險(xiǎn)度量,有助于我國(guó)金融市場(chǎng)的穩(wěn)定與健康發(fā)展。
[Abstract]:As an important means of medium term financing of Chinese enterprises, mid-term bills have been developed for nearly ten years since they were issued for the first time in 2008. Compared with other financing methods, medium-term paper is not only cheap, but also flexible in the issue period, which effectively fills the gap of medium-term financing. However, starting from 2015, China's bond market broke the "rigid payment" and began to default. According to the statistical data of 2016, the number of default events in the medium-term bill market is increasing gradually, and the quantification and identification of credit risk of medium-term paper has become a major problem facing the financial market. This paper compares several modern credit risk measurement methods and points out that the KMV model based on BSM option pricing model is more suitable for risk measurement in China's medium-term paper market. At present, there are few studies on the risk measurement of medium-term notes in China by using KMV model. This paper takes the medium-term notes in the market as a sample to test whether the KMV model is suitable for measuring the default risk of medium-term notes in China. The empirical results are divided into two parts: horizontal contrast empirical and longitudinal time series empirical. In the horizontal empirical part, according to three groups of medium-term notes with different ratings selected by credit rating grade, the calculation method of KMV model parameters is revised and the sample parameters are calculated. The KMV model is used to calculate the default distance of the sample. Finally, the difference between the three groups is analyzed by using SPSS. If there is a significant difference between the three groups, It shows that the default distance measured by KMV model can significantly distinguish the default risk of medium-term notes with different credit ratings. In the longitudinal empirical test, first of all, a medium term note with frequent changes in credit rating is selected, then the parameters required by the model are calculated, and the distance of default is calculated. Finally, the variation of default distance is compared with the change of credit rating during this period, and the coincidence between them is observed. Through empirical research, the KMV model can effectively distinguish the credit risk of medium-term notes with different ratings when the credit rating gap is large. Vertical KMV model can effectively describe the credit risk changes of mid-term notes and is forward-looking. In a word, KMV model is suitable for the risk measurement of China's medium-term paper market, which is helpful to the stability and healthy development of China's financial market.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F224;F832.2

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本文編號(hào)：1800259