本文選題：債券違約 + 信用風(fēng)險(xiǎn)��； 參考：《遼寧大學(xué)》2017年碩士論文

【摘要】：我國的債券市場在近些年的取得了飛速增長,無論是在債券發(fā)行規(guī)模上還是在債券發(fā)行數(shù)量都持續(xù)擴(kuò)大,特別是公司債券市場表現(xiàn)更為顯著。債券市場日新月異的發(fā)展在為我國金融市場帶來生機(jī)的同時(shí),風(fēng)險(xiǎn)也隨之產(chǎn)生;在債券市場上信用風(fēng)險(xiǎn)都是極為重要的風(fēng)險(xiǎn),需要市場參與者加強(qiáng)其識別與應(yīng)對信用風(fēng)險(xiǎn)的能力。目前我國的債券市場發(fā)展與發(fā)達(dá)國家相比有著較大的差距,從整體經(jīng)濟(jì)角度上看,我國債券市場主體同樣存在著產(chǎn)能過剩,產(chǎn)業(yè)結(jié)構(gòu)轉(zhuǎn)型的現(xiàn)狀,系統(tǒng)性風(fēng)險(xiǎn)加大;從行業(yè)角度看,縱觀經(jīng)濟(jì)的晴雨表股票市場可以看出,制造業(yè)上市公司在數(shù)量上占據(jù)著較大比重,因此其對市場整體的影響力不容忽視,本文意圖基于信用違約案例中暴露的問題展開論述,進(jìn)而分析其對于我國公司債權(quán)市場健康發(fā)展的啟示;從債券本身這一角度來看,其發(fā)行主體的盈利能力和償債能力能否滿足債券從發(fā)行到兌付的需求是我們分析債券信用風(fēng)險(xiǎn)的核心要素,而研究其信用風(fēng)險(xiǎn)的方法包括對公司的各項(xiàng)財(cái)務(wù)指標(biāo)分析與信用風(fēng)險(xiǎn)的量化度量。我國目前在信用風(fēng)險(xiǎn)的度量上與發(fā)達(dá)國家還有著較大的差距,信用評級作為度量信用風(fēng)險(xiǎn)的重要手段,在我國債券市場的實(shí)踐中并沒有充分發(fā)揮出應(yīng)有的作用。KMV公司提出著名的KMV模型,模型在經(jīng)過了通過了學(xué)界與社會各界的大量實(shí)證與應(yīng)用后,成為了國內(nèi)外學(xué)界公認(rèn)的具有較高前瞻性與準(zhǔn)確性的信用風(fēng)險(xiǎn)度量模型,已經(jīng)被發(fā)達(dá)國家廣泛應(yīng)用于債券市場的信用風(fēng)險(xiǎn)評估業(yè)務(wù)中。2015年5月26日,珠海中富發(fā)布公告《2012年公司債券(第一期)兌付利息及無法按時(shí)足額兌付本金的進(jìn)展公告》,這意味著“12中富01”出現(xiàn)違約�！�12中富01”債券發(fā)行之初,公司評級和債券評級結(jié)果均為AA,但公司的各項(xiàng)指標(biāo)都呈整體下滑趨勢,且出現(xiàn)連續(xù)虧損。信用評級結(jié)果如此之高,卻在發(fā)行后出現(xiàn)一系列的問題,令人深思。12中富01的發(fā)行處于飲料包裝行業(yè)及上下游行業(yè)整體不景氣的階段,產(chǎn)能過剩、外部環(huán)境問題都對企業(yè)形成了嚴(yán)重困擾,并成為了珠海中富出現(xiàn)虧損的重要原因,本文將從12中富01債券信用違約事件出發(fā),分析其發(fā)債時(shí)的宏觀經(jīng)濟(jì)背景,債券市場概況,行業(yè)整體趨勢,發(fā)債前后珠海中富本身的公司治理狀況、業(yè)務(wù)結(jié)構(gòu)、股東支持力度等方面,結(jié)合對債券主體珠海中富的量化分析,通過挖掘事前、事中、事后信息,梳理12中富01信用違約事件中暴露出的問題,通過宏觀、中觀與微觀三個(gè)層面的分析,對公司面臨的信用風(fēng)險(xiǎn)進(jìn)行梳理,為監(jiān)管層、債券發(fā)行人和投資者在今后參與債券市場供一些借鑒。
[Abstract]:China's bond market has achieved rapid growth in recent years, both in the size of bond issuance and in the number of bond issues continue to expand, especially the performance of the corporate bond market is more remarkable. The rapid development of the bond market has brought vitality to the financial market in our country, and at the same time, the risk has also emerged. In the bond market, credit risk is an extremely important risk. Market participants are required to strengthen their ability to identify and respond to credit risks. At present, compared with the developed countries, there is a big gap in the development of China's bond market. From the overall economic point of view, the main body of China's bond market also has overcapacity, the current situation of industrial structure transformation, and the increase of systemic risk. From the point of view of the industry, we can see from the barometer stock market of the economy that the listed companies in the manufacturing industry occupy a large proportion in quantity, so their influence on the market as a whole can not be ignored. This paper intends to discuss the problems exposed in the case of credit default, and then analyze its implications for the healthy development of the corporate debt market in China; from the point of view of the bond itself, Whether the profitability and solvency of the issuers can meet the demand of bonds from issuance to payment is the core element of our analysis of the credit risk of bonds. The methods to study the credit risk include the analysis of the financial indexes and the quantitative measurement of the credit risk. At present, there is still a big gap between China and developed countries in the measurement of credit risk. Credit rating is an important means of measuring credit risk. In the practice of China's bond market, it has not fully played its due role. The famous KMV model has been put forward by KMV Company. The model has passed a large number of empirical and application in academic and social circles. It has become a highly prospective and accurate credit risk measurement model recognized by scholars at home and abroad, and has been widely used in the credit risk assessment business in the bond market in developed countries. Zhuhai Zhongfu issued an announcement on the Progress notice on the payment of interest and the inability to pay the principal in full and on time for the 2012 Corporate Bonds (Phase I), which means that "12 Zhongfu 01" has defaulted. "12 Zhongfu 01" bonds were issued at the beginning of the issue. The company's ratings and bond ratings were both AAs, but the company's indicators showed a general downward trend and continued losses. The credit rating results are so high, but there are a series of problems after the issue, which makes people think deeply. 12. The issue of Zhongfu 01 is in a period of overall depression in the beverage packaging industry and the upstream and downstream industries, resulting in overcapacity. The external environmental problems have seriously troubled the enterprises and become an important reason for the loss of Zhuhai Zhongfu. This paper will analyze the macroeconomic background and the bond market situation of 12 Zhongfu 01 bonds, starting from the credit default events of 12 Zhongfu 01 bonds. The overall trend of the industry, the corporate governance status of Zhuhai Zhongfu itself before and after the issuance of bonds, the business structure, the strength of shareholder support, and so on, combined with the quantitative analysis of the bond subject Zhuhai Zhongfu, through the excavation of pre-, in-the-and post-event information. Combing the problems exposed in the credit default event of 12 Zhongfu 01, through the macro, meso and micro analysis, the credit risk faced by the company is combed in order to be the regulatory level. Bond issuers and investors in the future to participate in the bond market for some reference.
【學(xué)位授予單位】：遼寧大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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