本文選題：公司債券　切入點：信用價差　出處：《浙江財經(jīng)學(xué)院》2013年碩士論文

【摘要】：自我國首只公司債券——07長電債于2007年9月24日發(fā)行以來,我國公司債券市場發(fā)展勢頭良好,越來越受到關(guān)注。信用價差作為反映公司債券信用質(zhì)量狀況的重要指標(biāo),不僅有助于控制和管理公司債券的信用風(fēng)險,還有助于投資者做出投資決策。和國外關(guān)于公司債券信用價差的眾多研究成果相比,國內(nèi)對公司債券信用價差的研究還相對較少。因此,對公司債券信用價差影響因素的研究具有重要的理論和實際意義。 在對國內(nèi)外相關(guān)研究進行總結(jié)的基礎(chǔ)上,結(jié)合我國公司債券市場實際,本文從系統(tǒng)性和非系統(tǒng)性風(fēng)險因子角度出發(fā),以2011年12月30日前由上市公司發(fā)行并在上交所交易的公司債券(包括上市公司發(fā)行的企業(yè)債券)為樣本,對我國公司債券信用價差的主要影響因素進行研究。 首先,本文利用Nelson-Siegel-Svensson模型擬合出國債的收益率曲線作為無風(fēng)險收益率曲線計算出各樣本公司債券2008年1月4日至2011年12月30日共205周的零波動率信用價差序列。零波動率信用價差考慮了利率期限結(jié)構(gòu)的影響,相較于名義信用價差更為準(zhǔn)確。 其次,本文選取兩組系統(tǒng)性風(fēng)險因子和三個非系統(tǒng)性風(fēng)險因子作為公司債券信用價差的影響因素并計算出各風(fēng)險因子序列。其中,選取利率期限調(diào)整的債券指數(shù)收益率作為債券市場系統(tǒng)性風(fēng)險因子,選取股票市場Fama-French三因子作為股票市場系統(tǒng)性風(fēng)險因子,選取非系統(tǒng)性股票波動率、非系統(tǒng)性債券波動率和非系統(tǒng)性債券VaR作為非系統(tǒng)性因子 最后,以公司債券為橫截面、以周數(shù)為時間截面建立面板數(shù)據(jù),對公司債券信用價差序列和各風(fēng)險因子序列進行固定效應(yīng)模型回歸以分析各風(fēng)險因子與公司債券信用價差是否存在顯著關(guān)系以及其對平均公司債券信用價差大小的貢獻程度。 通過上述研究過程,本文得出以下主要結(jié)論：2008年至2011年期間,我國公司債券信用價差的主要影響因素為債券市場系統(tǒng)性風(fēng)險因子——利率期限調(diào)整的債券指數(shù)收益率,其能解釋平均公司債券信用價差大小的10lbps；而股票市場系統(tǒng)性風(fēng)險因子——股票市場Fama-French三因子對公司債券信用價差大小的解釋力較弱,說明我國股票市場和公司債券的關(guān)聯(lián)性較弱。同時,非系統(tǒng)性風(fēng)險因子——非系統(tǒng)性股票波動率、非系統(tǒng)性債券波動率以及非系統(tǒng)性債券VaR也可以解釋一部分公司債券信用價差的大小,分別為-10bps、34bps和10bps。其中一個有趣的結(jié)論是,與國外相關(guān)研究的結(jié)論相反,非系統(tǒng)性股票波動率與公司債券信用價差存在負向關(guān)系,這可能與我國股票市場投機性過高有關(guān)。非系統(tǒng)性債券波動率和非系統(tǒng)性債券VaR中分別包含了流動性風(fēng)險和市場風(fēng)險對信用價差的影響,這與國外相關(guān)研究結(jié)果一致。
[Abstract]:Since China's first corporate bond - 07 long debt issued in September 24, 2007, the momentum of development of China's corporate bond market is good, has attracted more and more attention. As an important index to reflect the credit spread of corporate bond credit quality, not only helps to control and manage the credit risk of corporate bond, and help investors to make investment decisions and compared. Many foreign research results on the corporate bond credit spreads, domestic research on corporate bond credit spreads is relatively small. Therefore, it has important theoretical and practical significance to study the influence factors of corporate bond credit spreads.
The thesis on the related research at home and abroad, combined with China's corporate bond market reality, from the systematic and idiosyncratic risk factor perspective, in December 30, 2011 issued by the listed company in Shanghai Stock Exchange Corporate Bonds (including listed companies to issue corporate bonds) as samples, makes a study of the factors the main effect on the credit spread of our company.
First of all, this paper using the fitted bond yield curve as the risk-free rate curve to calculate the zero volatility of the Sample Firms bonds from January 4, 2008 to 30 December 2011, 205 week rate credit spread series Nelson-Siegel-Svensson model. The zero volatility credit spread influence the term structure of interest rates, compared to nominal credit spread is more accurate.
Secondly, this paper selects two groups of risk factor system and three non systemic risk factors as the influencing factors of corporate bond credit spreads and calculate the risk factor sequence. The selection of interest rate adjusted bond index return as the systemic risk of the bond market for the stock market, select the Fama-French three factor as factor system the risk of the stock market, select the non systematic volatility, non systematic and unsystematic volatility of bond bond VaR as a non system factor
Finally, the corporate bonds for the cross section, the number of weeks for the time section of the establishment of panel data, the creditspread sequence and the sequence of each risk factor fixed effect model to analyze the bond credit spreads of various risk factors and whether there is relationship between the company and the average size of creditspread contribution degree.
Through the above research, this paper draws the following conclusions: during the period from 2008 to 2011, yields the main influencing factors of credit spreads of corporate bonds in China is a factor of systemic risk of the bond market interest rate term adjusted bond index, which can explain the average creditspread size of 10lbps; and the stock market systematic risk factor - stock Fama-French three market factors on the credit spread of corporate bond size explanation is weak, indicating a weak link in China's stock market and corporate bonds. At the same time, the non systemic risk factors -- the unsystematic volatility of stock volatility, bond rate of non system and non system VaR bond can also explain part of the corporate bond credit spreads the size were -10bps, 34bps and 10bps., one of the interesting conclusion is that contrary to foreign research results, non systematic The volatility of stock and corporate bond credit spreads have negative relationship, which may be related to the stock market of our country. The high speculative non systematic and unsystematic volatility of bond bond in VaR which included the impact of liquidity risk and market risk on credit spreads, this and foreign related research results.

【學(xué)位授予單位】：浙江財經(jīng)學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F275;F832.51;F224

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