本文選題：信用利差　切入點(diǎn)：困境概率　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：我國的信用債市場近幾年發(fā)展迅速,上市公司發(fā)行的公司債逐漸增多,大量中低等級債券陸續(xù)出現(xiàn),債券的信用違約風(fēng)險(xiǎn)開始顯現(xiàn),信用利差分析逐漸獲得越來越多的關(guān)注。本文從對信用利差定價(jià)經(jīng)典的Merton (1974)公司債務(wù)模型出發(fā),根據(jù)Leland (1994)對公司資本結(jié)構(gòu)的擴(kuò)展和KMV公司的信用風(fēng)險(xiǎn)實(shí)務(wù)操作模型以及Atkeson, Eisfeldt and Weill (2013)最新的研究成果,對公司的財(cái)務(wù)困境概率進(jìn)行簡單而有效的計(jì)算,以此作為公司債信用違約風(fēng)險(xiǎn)的代理變量。在充分借鑒國內(nèi)外學(xué)者對信用利差研究的基礎(chǔ)上,考慮到我國的公司債市場發(fā)展現(xiàn)狀,本文基于信用風(fēng)險(xiǎn)分解理論,從信用風(fēng)險(xiǎn)、流動性風(fēng)險(xiǎn)、宏觀經(jīng)濟(jì)風(fēng)險(xiǎn)等角度出發(fā),仔細(xì)分析和選取了適合我國信用債市場情況的影響信用利差因素的解釋變量,用來對信用利差進(jìn)行實(shí)證研究分析。本文搜集整理了我國公司債2011年9月初到2013年12月底之間存續(xù)的所有上市公司的公司債數(shù)據(jù),剔除異常樣本后共得到17990組橫跨113個(gè)橫截面的周度數(shù)據(jù)樣本,進(jìn)行混合橫截面OLS回歸分析。本文接著按照信用等級進(jìn)行了分組回歸分析,并對困境概率的解釋力進(jìn)行了討論。通過對比分析,本文發(fā)現(xiàn)信用風(fēng)險(xiǎn)對低等級的債券影響最大,而流動性風(fēng)險(xiǎn)對中等級的債券影響最強(qiáng),宏觀經(jīng)濟(jì)風(fēng)險(xiǎn)中主要是貨幣政策相關(guān)因素對公司債的影響較為明顯,并且2013年的信用利差有一個(gè)整體縮窄的過程,降幅隨等級降低而增大,本文還研究發(fā)現(xiàn)中等級的債券擁有獨(dú)有的特點(diǎn),其受票面利率和國企因素的影響最大。對于上述統(tǒng)計(jì)分析得到的結(jié)論,本文對造成該情況的可能的原因進(jìn)行了解釋。通過對比分析本文發(fā)現(xiàn)使用股票的特質(zhì)性波動率相較總波動率計(jì)算得到的困境概率對信用利差的影響更大,而且與直接使用股票波動率進(jìn)行線性回歸相比對不同等級的債券的解釋力更一致,是較好的違約風(fēng)險(xiǎn)代理變量。最后,本文分析了研究的不足之處,并對進(jìn)一步工作的方向進(jìn)行了展望。
[Abstract]:In recent years, the credit bond market of our country has developed rapidly, the corporate bonds issued by listed companies have gradually increased, a large number of low and medium grade bonds have appeared one after another, and the risk of credit default of bonds has begun to appear. Credit spread analysis has gradually attracted more and more attention. This paper starts from the classic Merton debt model of credit spread pricing. According to the latest research results of Leland 1994, the expansion of the company's capital structure, the practical operating model of credit risk of KMV Company and the latest research results of Atkeson, Eisfeldt and Weill / 2013), the probability of financial distress of the company is calculated simply and effectively. Taking this as the proxy variable of corporate bond credit default risk, based on the domestic and foreign scholars' research on credit interest margin, and considering the present situation of our country's corporate bond market, this paper based on the theory of credit risk decomposition, from the credit risk, From the point of view of liquidity risk and macroeconomic risk, this paper carefully analyzes and selects the explanatory variables that are suitable for the credit bond market in China to influence the credit spreads. This paper collects and collates the data of corporate bonds of all listed companies that exist between early September 2011 and the end of December 2013 in our country. After eliminating abnormal samples, a total of 17990 sets of circumference data across 113 cross sections were obtained, and then mixed cross section OLS regression analysis was carried out. Through the comparative analysis, we find that the credit risk has the greatest influence on the low grade bond, while the liquidity risk has the strongest influence on the middle grade bond. The influence of monetary policy factors on corporate debt is obvious in macroeconomic risk, and the credit spread in 2013 has an overall narrowing process, the decline increases with the decrease of grade. This paper also finds that the mid-grade bonds have unique characteristics, which are most affected by the par interest rate and state-owned enterprise factors. In this paper, the possible reasons for this situation are explained. Through comparative analysis, it is found that the probability of distress obtained by using the idiosyncratic volatility of stocks is more important to the credit spread than that of the total volatility. And compared with the direct use of stock volatility for linear regression, the explanatory power of different grades of bonds is more consistent, it is a better proxy variable of default risk. Finally, this paper analyzes the shortcomings of the research. The direction of further work is prospected.
【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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本文編號：1631607