本文關(guān)鍵詞： 債券違約 財(cái)務(wù)預(yù)警 預(yù)警閾值　出處：《北方工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國債券市場的快速發(fā)展,債券作為一種直接融資方式,其作用越來越重要。目前,我國債市規(guī)模的存量相當(dāng)于股票市場的五倍之多。在全球經(jīng)濟(jì)不景氣和我國經(jīng)濟(jì)進(jìn)入"新常態(tài)"的宏觀背景下,我國債券市場中的"剛性兌付"神話被打破,多起債券違約事件相繼爆出,違約主體多樣,涉及所有債券品種,違約金額規(guī)模龐大,引起了經(jīng)濟(jì)領(lǐng)域的廣泛關(guān)注和部分投資者的恐慌。債券發(fā)生實(shí)質(zhì)性違約給投資者帶來巨大損失,對(duì)債券違約的財(cái)務(wù)預(yù)警體系展開研究,意義重大。本文將債券違約作為財(cái)務(wù)危機(jī)的一種表現(xiàn),從投資者的角度對(duì)債券違約企業(yè)的經(jīng)營狀況和財(cái)務(wù)狀況進(jìn)行剖析,發(fā)現(xiàn)其問題,總結(jié)其違約特征,構(gòu)建一套財(cái)務(wù)預(yù)警體系,從而為投資者有效防范債券違約風(fēng)險(xiǎn)提供參考。本文在對(duì)我國債券市場發(fā)展及債券市場違約現(xiàn)狀進(jìn)行歸納的基礎(chǔ)上,選取了7家典型違約企業(yè)作為案例研究的對(duì)象,從行業(yè)、公司戰(zhàn)略、會(huì)計(jì)、財(cái)務(wù)、公司治理、外部評(píng)級(jí)意見等角度對(duì)債券違約企業(yè)的違約特征進(jìn)行歸納對(duì)比分析;在此基礎(chǔ)上,構(gòu)建了一套財(cái)務(wù)預(yù)警體系,并選取了一家違約企業(yè)進(jìn)行了驗(yàn)證,結(jié)果表示預(yù)警體系有效。最后,本文提出了相關(guān)政策建議。本文以哈佛分析框架為基礎(chǔ)對(duì)債券違約企業(yè)的違約特征進(jìn)行分析,得出了以下結(jié)論:第一,債券違約具有一定的階段性、過程性,違約企業(yè)的經(jīng)營狀況是不斷惡化的過程,因此在違約前會(huì)存在一定的財(cái)務(wù)軌跡。第二,債券違約企業(yè)在違約前表現(xiàn)的具體特征有:(1)宏觀經(jīng)濟(jì)下行;(2)企業(yè)所處行業(yè)產(chǎn)能過剩且順經(jīng)濟(jì)周期;(3)企業(yè)多采取擴(kuò)張型或多元化發(fā)展戰(zhàn)略;(4)企業(yè)信息披露不及時(shí),會(huì)計(jì)質(zhì)量存疑;(5)財(cái)務(wù)報(bào)告審計(jì)意見為非標(biāo)準(zhǔn)審計(jì)意見;(6)企業(yè)Z-score值處于破產(chǎn)區(qū)間;(7)財(cái)務(wù)指標(biāo)逐年惡化,同行業(yè)均值相比也比較遜色,權(quán)益總額減少,現(xiàn)金流入不敷出;(8)企業(yè)公司治理結(jié)構(gòu)混亂,大股東剝離行為、股權(quán)之爭、高管變動(dòng)影響企業(yè)經(jīng)營;(9)外部評(píng)級(jí)意見逐漸下調(diào)。第三,債券違約現(xiàn)象具有規(guī)律性、可預(yù)測性,能夠建立一套財(cái)務(wù)預(yù)警體系。
[Abstract]:With the rapid development of China's bond market, the role of bonds as a direct financing method is becoming more and more important. The stock of China's bond market is five times as large as that of the stock market. Under the background of the global economic downturn and the entry of the "new normal" in our country's economy, the myth of "rigid payment" in our bond market has been broken. A number of bond defaults have occurred one after another, with a variety of defaulters, involving all kinds of bonds, and a large amount of default. This has caused widespread concern in the economic field and panic among some investors. Substantial bond defaults have brought huge losses to investors. The financial early warning system for bond defaults has been studied. This paper takes bond default as a manifestation of financial crisis, analyzes the operating and financial status of bond defaulting enterprises from the perspective of investors, finds out its problems, and summarizes its default characteristics. In order to provide a reference for investors to guard against the risk of bond default effectively, this paper sums up the development of bond market and the current situation of bond market default in China. Selected 7 typical defaulting enterprises as the object of case study, from the industry, corporate strategy, accounting, finance, corporate governance, external rating opinions and other perspectives to analyze the default characteristics of bond defaulting enterprises; on the basis of this, A set of financial early warning system is constructed, and a defaulting enterprise is selected to verify it. The result shows that the early warning system is effective. Finally, Based on the Harvard analysis framework, this paper analyzes the default characteristics of bond defaulting enterprises, and draws the following conclusions: first, bond default has a certain stage and process. The operating condition of the defaulting enterprise is a process of continuous deterioration, so there will be a certain financial track before the default. Second, The specific characteristics of bond defaulting enterprises before default are as follows: 1) macroeconomic downturn. 2) overcapacity in the industries in which the enterprises are located and 3) enterprises adopt expansionary or diversified development strategies. 4) Enterprise information disclosure is not timely. Accounting quality is doubtful. 5) the audit opinion of financial report is non-standard audit opinion. (6) the Z-score value of enterprises is in the bankruptcy interval / 7) the financial index is deteriorating year by year, compared with the average value of the industry, it is also inferior to the average value of the industry, and the total amount of equity is reduced. (8) the corporate governance structure is chaotic, the behavior of major shareholders divestiture, the dispute of stock ownership, the change of senior management affect the management of the enterprise and the external rating opinions are gradually downgraded. Third, the phenomenon of bond default is regular and predictable. Can establish a set of financial early warning system.
【學(xué)位授予單位】：北方工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F275;F832.51

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