本文關(guān)鍵詞： 城投債 Black-Karasinski模型 KMV模型 信用風(fēng)險(xiǎn)　出處：《北方工業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：分稅制改革以來,地方政府的財(cái)政權(quán)和事權(quán)不相匹配,城鎮(zhèn)化的推進(jìn)加大了地方政府的資金負(fù)擔(dān),在此背景下地方融資平臺(tái)成為了地方政府重要的融資渠道。在經(jīng)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(duì)量及增長幅度都較大,平均每個(gè)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(tái)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(dá)到10015億元,共848只。目前總城投債的存量規(guī)模已經(jīng)超過2萬億,發(fā)行規(guī)模較上一年上漲了近124%,遠(yuǎn)遠(yuǎn)超過市場上的其他債券品種的增速。但是地方融資平臺(tái)的城投債并不等同于發(fā)達(dá)國家的市政債,當(dāng)?shù)卣男庞脤?duì)于城投債的支持并沒有法律依據(jù),在2013年6月份審計(jì)署發(fā)布的全國政府性債務(wù)報(bào)告中把城投債的20%計(jì)入地方政府債務(wù),且近年來地方政府的財(cái)政缺口逐年加大,地方政府的隱形擔(dān)保也呈現(xiàn)不確定性,評(píng)級(jí)機(jī)構(gòu)給出的普遍較高的信用評(píng)級(jí)沒有反應(yīng)城投債的真實(shí)信用,因此城投債存在高估值的風(fēng)險(xiǎn)。 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(jié)構(gòu),為我國的利率風(fēng)險(xiǎn)管理提供有利的補(bǔ)充。并改進(jìn)KMV模型,通過模擬地方政府財(cái)政收支的變化、城投公司凈資產(chǎn)價(jià)值的變化試圖更準(zhǔn)確地描述城投債的信用風(fēng)險(xiǎn)及溢價(jià)。最后在將無風(fēng)險(xiǎn)利率加入風(fēng)險(xiǎn)溢價(jià)的情況下為我國城投債進(jìn)行定價(jià),旨在為我國債券市場的合理定價(jià)提供一種理論方法,并依此規(guī)范債券市場的風(fēng)險(xiǎn)。 利用本文所提理論方法,選取天津?yàn)I海新區(qū)建設(shè)投資集團(tuán)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(duì)象,發(fā)現(xiàn)天津?yàn)I海新區(qū)建設(shè)投資集團(tuán)有限公司的城投債的違約風(fēng)險(xiǎn)被高估,而西寧城市投資管理有限公司的城投債的信用風(fēng)險(xiǎn)被低估。可以得出的結(jié)論是,目前我國城投債的信用風(fēng)險(xiǎn)是局部的,并不存在系統(tǒng)性的風(fēng)險(xiǎn),總體風(fēng)險(xiǎn)在可控范圍之內(nèi)。
[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(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51;F812.5

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