本文關鍵詞： 城投債 Black-Karasinski模型 KMV模型 信用風險　出處：《北方工業(yè)大學》2014年碩士論文　論文類型：學位論文

【摘要】：分稅制改革以來,地方政府的財政權和事權不相匹配,城鎮(zhèn)化的推進加大了地方政府的資金負擔,在此背景下地方融資平臺成為了地方政府重要的融資渠道。在經歷短暫的低迷之后,2012年城投債規(guī)模呈現(xiàn)一種爆發(fā)式的增長,全國各省市發(fā)行的絕對量及增長幅度都較大,平均每個月的新增發(fā)行量近1300億左右的規(guī)模。2012年,地方政府融資平臺發(fā)行的城投債規(guī)模急劇膨脹,截至到12月初,總城投債發(fā)行規(guī)模達到10015億元,共848只。目前總城投債的存量規(guī)模已經超過2萬億,發(fā)行規(guī)模較上一年上漲了近124%,遠遠超過市場上的其他債券品種的增速。但是地方融資平臺的城投債并不等同于發(fā)達國家的市政債,當?shù)卣男庞脤τ诔峭秱闹С植]有法律依據,在2013年6月份審計署發(fā)布的全國政府性債務報告中把城投債的20%計入地方政府債務,且近年來地方政府的財政缺口逐年加大,地方政府的隱形擔保也呈現(xiàn)不確定性,評級機構給出的普遍較高的信用評級沒有反應城投債的真實信用,因此城投債存在高估值的風險。 本文嘗試使用Black-Karasinski無套利模型研究中國銀行間債券市場的利率期限結構,為我國的利率風險管理提供有利的補充。并改進KMV模型,通過模擬地方政府財政收支的變化、城投公司凈資產價值的變化試圖更準確地描述城投債的信用風險及溢價。最后在將無風險利率加入風險溢價的情況下為我國城投債進行定價,旨在為我國債券市場的合理定價提供一種理論方法,并依此規(guī)范債券市場的風險。 利用本文所提理論方法,選取天津濱海新區(qū)建設投資集團有限公司、西寧城市投資管理有限公司所發(fā)行的城投債為研究對象,發(fā)現(xiàn)天津濱海新區(qū)建設投資集團有限公司的城投債的違約風險被高估,而西寧城市投資管理有限公司的城投債的信用風險被低估。可以得出的結論是,目前我國城投債的信用風險是局部的,并不存在系統(tǒng)性的風險,總體風險在可控范圍之內。
[Abstract]:Since the reform of the tax sharing system, the local government's financial power and power do not match, the promotion of urbanization has increased the local government's financial burden. In this context, the local financing platform has become an important financing channel for local governments. After a brief downturn, in 2012, the scale of urban debt investment showed a explosive growth. In 2012, the local government financing platform issued a rapid expansion of the scale of the city investment debt issued by the local government financing platform. Up to the beginning of December, the total city investment bond issuance scale has reached one tillion one billion five hundred million yuan, a total of 848. At present, the stock size of the total city investment debt has exceeded 2 tillion, the issuance scale has increased nearly 124% compared with the previous year. Far more than the growth rate of other bond varieties in the market. But the LIFs' municipal debt is not the same as the developed country's municipal debt, and the credit of local government has no legal basis for supporting the city's debt. In June 2013, the National Government debt report issued by the Audit Office included 20% of the debt invested in the city into local government debt, and in recent years, the financial gap of the local government has been increasing year by year. Implicit guarantees from local governments are also uncertain, with ratings agencies offering generally higher credit ratings that do not reflect the true credit of city bonds, so there is a risk of high valuations. This paper attempts to use the Black-Karasinski no-arbitrage model to study the term structure of interest rate in China's interbank bond market. It also improves the KMV model and simulates the changes of local government's fiscal revenue and expenditure by providing a favorable supplement to the interest rate risk management in China. The change of the net asset value of CICC tries to describe more accurately the credit risk and premium of CICs. Finally, the pricing of CICC bonds is made by adding the risk-free interest rate to the risk premium. The purpose of this paper is to provide a theoretical method for the reasonable pricing of the bond market in China and to standardize the risk of the bond market. Using the theory and method proposed in this paper, Tianjin Binhai New area Construction Investment Group Co., Ltd. and Xining City Investment Management Co., Ltd. issued by the city investment debt as the research object. It is found that the default risk of city investment bond of Tianjin Binhai New area Construction Investment Group Co., Ltd. is overestimated, while the credit risk of Xining City Investment Management Co., Ltd is underestimated. At present, the credit risk of city investment debt in our country is partial, there is no systematic risk, and the overall risk is under control.
【學位授予單位】：北方工業(yè)大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.51;F812.5

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本文編號：1465571