本文選題：債券違約 + 風(fēng)險(xiǎn)度量�。� 參考：《中國(guó)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(duì)于債券投資者來(lái)說(shuō)債券具有"低風(fēng)險(xiǎn)、低收益"的特征,因而很少受關(guān)注。近三年來(lái),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(wú)不牽動(dòng)著債券市場(chǎng)參與者的敏感神經(jīng)。債券的違約風(fēng)險(xiǎn)是債券合理定價(jià)的基礎(chǔ)、是投資者投資選擇的重要參考、更是債券市場(chǎng)走向成熟必須考量的因素,未來(lái)我國(guó)宏觀經(jīng)濟(jì)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(jìn),債券違約風(fēng)險(xiǎn)或?qū)⒊掷m(xù)暴露,甚至呈現(xiàn)"違約常態(tài)化"的趨勢(shì)。因此,違約風(fēng)險(xiǎn)的度量、防范與管理勢(shì)在必行,違約債券的合理處置機(jī)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(guó)債券違約的現(xiàn)狀分析;其次在文獻(xiàn)綜述的基礎(chǔ)上選取在我國(guó)適用性最強(qiáng)的KMV模型,并基于KMV模型進(jìn)行實(shí)證研究,重點(diǎn)從企業(yè)屬性和所屬行業(yè)視角進(jìn)行結(jié)果分析;最后,探究對(duì)于違約債券的市場(chǎng)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(duì)目前我國(guó)已經(jīng)發(fā)生違約的債券進(jìn)行了較為詳細(xì)的梳理和分析,從而對(duì)于債券違約的現(xiàn)狀和特征有一個(gè)清晰的認(rèn)識(shí)。實(shí)證分析方面。目前尚沒(méi)有專(zhuān)門(mén)研究單只債券違約風(fēng)險(xiǎn)的文獻(xiàn),而債券發(fā)行人的信用風(fēng)險(xiǎn)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(guò)篩選后的上市公司作為研究對(duì)象。運(yùn)用matlab軟件求解KMV模型,得出各個(gè)公司的違約距離,然后從公司屬性和行業(yè)分類(lèi)的角度對(duì)結(jié)果進(jìn)行分析,并在此基礎(chǔ)上進(jìn)行違約風(fēng)險(xiǎn)預(yù)警線的設(shè)置,希望能夠給債券投資者帶來(lái)一定的風(fēng)險(xiǎn)提示和警醒的作用。最后,是債券違約的處置機(jī)制研究。在借鑒國(guó)外較為成熟的經(jīng)驗(yàn)的基礎(chǔ)上,針對(duì)造成債券違約的不同原因提出針對(duì)性地處置方法,簡(jiǎn)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(jī)制相關(guān)配套措施建議,包括完善發(fā)行人約束條款、強(qiáng)化中介機(jī)構(gòu)職責(zé)、完善投資者保護(hù)機(jī)制、大力發(fā)展違約互換等債券衍生品市場(chǎng)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(guó)科學(xué)技術(shù)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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