【摘要】：我國債券市場已初成體系,信用債品種也成為了債券市場的重要組成部分。在以往“政府兜底”的預(yù)期下,債券市場營造了按期兌付、無違約的祥和假象,債券投資者也極易忽視潛在的信用風(fēng)險,在自擔(dān)風(fēng)險方面意識薄弱,使得外部評級機(jī)構(gòu)揭示風(fēng)險的動力不足。在2014年初,超日債違約了。標(biāo)準(zhǔn)債務(wù)工具的實(shí)質(zhì)違約對市場預(yù)期形成明顯沖擊,加劇了市場參與各方對債務(wù)融資的風(fēng)險警惕和規(guī)避意識,信用風(fēng)險防范被提上重要日程。在金融改革、增速放緩的時點(diǎn),信用風(fēng)險不斷積聚,不排除違約案例的再次發(fā)生,投資者需要對信用風(fēng)險重新定價,由此激發(fā)了投資機(jī)構(gòu)內(nèi)部構(gòu)建信用評級模型的迫切需求。內(nèi)部評級是從投資者的角度,揭示和預(yù)警自身承擔(dān)信用風(fēng)險的大小,在權(quán)衡風(fēng)險與收益的基礎(chǔ)上,調(diào)整資產(chǎn)組合,發(fā)現(xiàn)相對價值。但我國投資機(jī)構(gòu)內(nèi)部關(guān)于信用債的評級還不成熟,沒有完善的系統(tǒng)分析框架,對外部評級依賴程度較大,且仍然以發(fā)行主體財務(wù)報表分析為主,過于片面滯后,不具備及時性、預(yù)警性和客觀準(zhǔn)確性。投資者應(yīng)緊跟債券市場不斷發(fā)展成熟的步伐,及時根除在風(fēng)險控制方面’“搭便車”的態(tài)度,不能對外部評級結(jié)果過度依賴,樹立起風(fēng)險自擔(dān)的投資理念,逐步建立并不斷完善內(nèi)部信評體系,提高對信用風(fēng)險防范和管理的能力。本文研究的對象是——完善信用債內(nèi)部評級方法。首先對于目前內(nèi)部評級存在的問題進(jìn)行分析,主要突出其依賴外部評級的弊端。通過對外部信用評級的有效性檢驗(yàn),說明了外部評級無法揭示出不同行業(yè)、不同公司性質(zhì)信用資質(zhì)的差異,評估可信度值得商榷。然后根據(jù)檢驗(yàn)結(jié)果和分析,加入解釋變量,用宏觀經(jīng)濟(jì)形勢、行業(yè)景氣度、公司競爭力、公司財務(wù)指標(biāo)、債券本身特征這5大類合成指標(biāo),去擬合信用債市場中期票據(jù)的信用利差。因?yàn)槊恳活惡铣芍笜?biāo)涉及較多的參考因素,本文結(jié)合時間序列數(shù)據(jù)與截面數(shù)據(jù),運(yùn)用比較矩陣、因子分析、顯著性檢驗(yàn)和回歸擬合等方法,探究出最能反映利差變化的指標(biāo)。在此基礎(chǔ)上,構(gòu)建出一個對債券本身以及行業(yè)情況能夠動態(tài)跟蹤、及時預(yù)警、客觀準(zhǔn)確的,可操作性強(qiáng)的信用風(fēng)險評估模型,最后為金融機(jī)構(gòu)的投資服務(wù),發(fā)現(xiàn)被高估或低估的債券。
[Abstract]:The bond market of our country has become a new system, and the variety of credit debt has become an important part of the bond market. Under the expectation of the "government" in the past, the bond market has created the false impression that there is no default on time. Bond investors are also prone to ignore the potential credit risk and have a weak sense of taking risks on their own. To make external rating agencies reveal a lack of incentive to risk. In early 2014, supra-Japanese debt defaulted. The substantial default of the standard debt instrument has an obvious impact on the market expectation, which intensifies the risk vigilance and evading consciousness of all parties involved in the market on debt financing, and the prevention of credit risk is put on the important agenda. At the time of financial reform and slow growth, the credit risk is accumulating continuously, and investors need to reprice the credit risk, which stimulates the urgent need to construct the credit rating model within the investment institution. From the perspective of investors, internal rating reveals and warns the size of credit risk, adjusts the portfolio of assets and finds the relative value on the basis of balancing risk and income. However, the internal credit rating of China's investment institutions is not mature, there is no perfect system analysis framework, the degree of dependence on external ratings is greater, and the financial statement analysis of the issuing body is still the main factor, which is too one-sided, and does not have timeliness. Early warning and objective accuracy. Investors should keep up with the maturing pace of the bond market, eradicate the "hitchhiking" attitude in risk control in a timely manner, and should not over-rely on the results of external ratings, and establish an investment philosophy of taking risks on their own. Gradually establish and improve the internal credit rating system, improve the ability to prevent and manage credit risk. The object of this paper is to perfect the internal rating method of credit debt. Firstly, the problems existing in internal rating are analyzed, and the disadvantages of relying on external rating are highlighted. Through the validity test of external credit rating, it is proved that external rating can not reveal the difference of credit qualification in different industries and different companies, and the evaluation credibility is open to question. Then according to the test results and analysis, adding explanatory variables, using macroeconomic situation, industry climate, corporate competitiveness, corporate financial indicators, bond itself characteristics of the five categories of composite indicators, To fit the credit market credit spreads of mid-term notes. Because more reference factors are involved in each kind of composite index, this paper combines time series data with cross section data, using comparison matrix, factor analysis, significance test and regression fitting to find out the index which can best reflect the variation of interest rate. On this basis, a dynamic tracking, timely early warning, objective and accurate credit risk assessment model for the bond itself as well as the industry situation is constructed. Finally, it serves for the investment of financial institutions. Bonds found to be overvalued or undervalued.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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相關(guān)碩士學(xué)位論文 前1條

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本文編號：2234180