本文選題：債券違約 + 風(fēng)險度量　； 參考：《中國科學(xué)技術(shù)大學(xué)》2017年碩士論文

【摘要】：債券是政府和企業(yè)非常重要的低成本融資工具,對于債券投資者來說債券具有"低風(fēng)險、低收益"的特征,因而很少受關(guān)注。近三年來,債券的"剛性兌付"隱形規(guī)則被打破,債券違約事件頻頻發(fā)生,無不牽動著債券市場參與者的敏感神經(jīng)。債券的違約風(fēng)險是債券合理定價的基礎(chǔ)、是投資者投資選擇的重要參考、更是債券市場走向成熟必須考量的因素,未來我國宏觀經(jīng)濟下行壓力依然很大,隨著供給側(cè)結(jié)構(gòu)性改革的持續(xù)推進,債券違約風(fēng)險或?qū)⒊掷m(xù)暴露,甚至呈現(xiàn)"違約常態(tài)化"的趨勢。因此,違約風(fēng)險的度量、防范與管理勢在必行,違約債券的合理處置機制建設(shè)迫在眉睫。本文的主要內(nèi)容有三部分,首先是我國債券違約的現(xiàn)狀分析;其次在文獻綜述的基礎(chǔ)上選取在我國適用性最強的KMV模型,并基于KMV模型進行實證研究,重點從企業(yè)屬性和所屬行業(yè)視角進行結(jié)果分析;最后,探究對于違約債券的市場化處置手段并提出相關(guān)的配套建議。違約債券現(xiàn)狀分析部分,主要從發(fā)行人、行業(yè)、品種、違約債券的后續(xù)處理等方面對目前我國已經(jīng)發(fā)生違約的債券進行了較為詳細的梳理和分析,從而對于債券違約的現(xiàn)狀和特征有一個清晰的認(rèn)識。實證分析方面。目前尚沒有專門研究單只債券違約風(fēng)險的文獻,而債券發(fā)行人的信用風(fēng)險直接決定了債券是否違約,因此本文選取10家已經(jīng)發(fā)生違約的上市公司和1738家經(jīng)過篩選后的上市公司作為研究對象。運用matlab軟件求解KMV模型,得出各個公司的違約距離,然后從公司屬性和行業(yè)分類的角度對結(jié)果進行分析,并在此基礎(chǔ)上進行違約風(fēng)險預(yù)警線的設(shè)置,希望能夠給債券投資者帶來一定的風(fēng)險提示和警醒的作用。最后,是債券違約的處置機制研究。在借鑒國外較為成熟的經(jīng)驗的基礎(chǔ)上,針對造成債券違約的不同原因提出針對性地處置方法,簡要概括為自主協(xié)商、債務(wù)重組、訴訟求償和破產(chǎn)清算。然后提出了債券違約處置機制相關(guān)配套措施建議,包括完善發(fā)行人約束條款、強化中介機構(gòu)職責(zé)、完善投資者保護機制、大力發(fā)展違約互換等債券衍生品市場等。
[Abstract]:Bond is a very important low-cost financing tool for governments and enterprises. For bond investors, bonds have the characteristics of "low risk and low yield", so they receive little attention. In the past three years, the invisible rules of "rigid payment" of bonds have been broken, and bond defaults have occurred frequently, all of which have affected the sensitive nerves of the participants in the bond market. The default risk of bonds is the basis for reasonable pricing of bonds, an important reference for investors' investment choices, and a factor that must be considered when the bond market matures. In the future, the downward pressure on China's macro economy is still very high. With the continuous development of supply-side structural reform, the risk of bond default will continue to be exposed, even showing a trend of "default normalization". Therefore, it is imperative to measure, prevent and manage default risk. The main contents of this paper are as follows: firstly, the current situation of bond default in China is analyzed; secondly, on the basis of literature review, the most applicable KMV model is selected, and the empirical research is carried out based on KMV model. Focus on the enterprise attributes and industry perspective to analyze the results; finally, explore the market-oriented disposal of defaulting bonds and put forward some related recommendations. In the part of the analysis of the current situation of defaulted bonds, mainly from the aspects of issuer, industry, variety, and follow-up treatment of defaulting bonds, the author makes a detailed analysis and analysis of the bonds that have been defaulted in our country at present. Thus there is a clear understanding of the current situation and characteristics of bond default. Empirical analysis. At present, there is no literature devoted to studying the default risk of a single bond, and the credit risk of the bond issuer directly determines whether the bond defaults. Therefore, this paper selects 10 listed companies that have already defaulted and 1738 listed companies after screening as the research object. Using matlab software to solve the matlab model, the default distance of each company is obtained, and then the results are analyzed from the angle of company attributes and industry classification, and on this basis, the default risk warning line is set up. The hope can bring certain risk prompt and alert function to bond investor. Finally, it is the bond default disposal mechanism research. Based on the more mature experience of foreign countries, this paper puts forward some methods to deal with the different causes of bond default, including independent negotiation, debt restructuring, litigation claims and bankruptcy liquidation. Then it puts forward some relevant measures for bond default disposal mechanism, including perfecting the binding clause of issuers, strengthening the responsibilities of intermediary organizations, perfecting investor protection mechanism, and vigorously developing bond derivatives market such as default swaps, and so on.
【學(xué)位授予單位】：中國科學(xué)技術(shù)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

【參考文獻】

相關(guān)期刊論文 前10條

1 羅方科;陳曉紅;;基于Logistic回歸模型的個人小額貸款信用風(fēng)險評估及應(yīng)用[J];財經(jīng)理論與實踐;2017年01期

2 楊秀云;蔣園園;段珍珍;;KMV模型在我國商業(yè)銀行信用風(fēng)險管理中的適用性分析及實證檢驗[J];財經(jīng)理論與實踐;2016年01期

3 李琦;曹國華;;基于Credit Risk+模型的互聯(lián)網(wǎng)金融信用風(fēng)險估計[J];統(tǒng)計與決策;2015年19期

4 焦子豪;王安琪;;KMV模型適用性研究——基于兩家電力公司以及農(nóng)業(yè)、制造業(yè)上市公司實證分析研究[J];時代金融;2015年06期

5 顧巧明;邱毅;;我國地方政府債券信用風(fēng)險測度研究[J];財經(jīng)論叢;2014年07期

6 劉澄;張玲;;KMV模型在中國的適用性研究[J];金融縱橫;2013年10期

7 曾詩鴻;王芳;;基于KMV模型的制造業(yè)上市公司信用風(fēng)險評價研究[J];預(yù)測;2013年02期

8 張乃琦;;基于KMV模型的市政債券融資風(fēng)險問題研究[J];經(jīng)濟與管理;2012年08期

9 劉澄;王大鵬;;基于KMV模型的市政債券信用風(fēng)險管理問題研究[J];中國管理信息化;2011年17期

10 何昱，

本文編號：2025625