本文選題：信用利差 + 信用風險��； 參考：《東北師范大學》2017年碩士論文

【摘要】：近幾年隨著我國資本市場結構的不斷完善,我國債券市場也迎來了更加廣闊的發(fā)展空間,特別是公司債異軍突起。為了進一步促進我國債券市場發(fā)展,減少債券市場與股票市場“跛足”問題,我國證監(jiān)會頒布了一系列積極促進債市發(fā)展的新政策,特別放寬了公司債發(fā)行要求。從2014年開始,公司債在發(fā)行數(shù)量和規(guī)模上均不斷擴大,呈現(xiàn)了井噴式發(fā)展。隨著公司債發(fā)行規(guī)模的不斷擴大,我們需要意識到其發(fā)行過程中出現(xiàn)的問題,特別是信用風險的不斷擴大。過去我國債券需要保證剛性兌付,信用風險相對較小。但是2015年以來我國公司債出現(xiàn)了多起違約風波,很多公司債在發(fā)行過程中不重視信用風險,在定價過程中出現(xiàn)利率倒掛現(xiàn)象,低評級債券數(shù)量增多,其中從以下的公司債發(fā)行規(guī)模達到20%。特別是2016年,出現(xiàn)大量債券違約事件,有79只債券實質性違約,涉及34家發(fā)債主體,違約金額達403億元,同比增長220%。這一問題不利于我國債券市場穩(wěn)定發(fā)債,加大公司債的流動性風險。因此,我們有必要在公司債定價過程中合理考慮其信用風險。目前國內外學者在研究債券信用利差時多采用結構分析法、回歸分析法等,本文將借鑒國內外的分析方式,利用回歸分析法提出其他因素對公司債信用利差的影響,表現(xiàn)信用風險對其的影響作用。文共五個部分,第一部分主要介紹了本文的研究背景、文獻綜述以及相關的創(chuàng)新點;第二部分介紹了我國公司債目前的發(fā)展狀況及出現(xiàn)的信用風險事件,簡述衡量信用風險的基本度量方式;第三部分以信用風險對信用利差的理論分析為主,進一步介紹了信用風險對信用利差影響的傳導渠道;第四部分通過分析實時數(shù)據(jù),利用對比分析和回歸分析法從多個角度闡釋信用風險對于信用利差的影響;第五部分針對本文研究的結果,對當前公司債發(fā)展過程中存在的問題提出建議。因此,本文將重點分析公司債信用風險對信用利差的影響,利用信用風險來有效的解釋信用利差。希望該問題的研究能夠使我國公司債定價過程中更加合理化,防止信用風險危害,有效解決違約事件帶來的影響,并進一步構建完善的公司債定價機制,使公司債市場能夠健康發(fā)展。
[Abstract]:In recent years, with the continuous improvement of China's capital market structure, China's bond market has also ushered in a broader space for development, especially the corporate debt has risen. In order to further promote the development of the bond market and reduce the "lame" problem of the bond market and the stock market, China's Securities Regulatory Commission has issued a series of actively promoting the development of the bond market. The new policy, in particular, relaxed the demand for corporate debt issuance. Since 2014, corporate debt has expanded in number and scale, showing a blowout development. As the scale of the issuance of corporate bonds continues to expand, we need to be aware of the problems arising from the issuance process, especially the expansion of credit risk. It is necessary to guarantee the rigid cash payment, but the credit risk is relatively small. However, since 2015, there have been many default storms in our company debt. Many corporate bonds do not attach importance to credit risk in the process of issuing. In the process of pricing, the rate of interest rate upside down and the number of low rating bonds increase, from the following corporate debt issuance to 20%., especially 201 In the past 6 years, a large number of bond default events have occurred. There are 79 bonds in substantive default, involving 34 debt holders, and the amount of default amounts to 40 billion 300 million yuan. The increase of 220%. is not conducive to the stable debt issuance of the bond market in China and the liquidity risk of corporate bonds. Therefore, it is necessary for us to consider the credit risk reasonably in the process of pricing corporate bonds. The former domestic and foreign scholars use structural analysis and regression analysis in the study of bond credit spreads. This article will draw on the analysis methods at home and abroad, use the regression analysis method to put forward the influence of other factors on the credit spreads of corporate bonds, and show the effect of credit risk on it. The first part is five parts. The first part mainly introduces the article The research background, the literature review and the related innovation points. The second part introduces the current development of corporate debt in China and the occurrence of credit risk events, briefly describes the basic measure of credit risk; the third part is based on the theoretical analysis of credit spreads by credit risk, and further introduces credit risk to credit spreads. The fourth part explains the effect of credit risk on credit spreads by analyzing real-time data by analyzing real-time data and using comparative analysis and regression analysis. The fifth part puts forward some suggestions on the existing problems in the process of corporate debt development. The impact of risk on credit spreads and the use of credit risk to explain the credit spreads effectively. It is hoped that the study can make the pricing process of the company debt more reasonable, prevent the risk of credit risk, effectively solve the impact of the default event, and further build a good company debt pricing mechanism, so that the corporate debt market can be made possible. Healthy development.

【學位授予單位】：東北師范大學
【學位級別】：碩士
【學位授予年份】：2017
【分類號】：F832.51

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本文編號：1884379