本文選題：企業(yè)債券 + 信用增進　； 參考：《湖南大學》2013年博士論文

【摘要】：自2005年短期融資券推出以來，我國企業(yè)債券市場進入快速發(fā)展階段，然而，由于我國企業(yè)債券市場發(fā)展時間短，信用增進等風險管理制度安排并沒有跟上其高速發(fā)展的步伐，債券市場開始出現信用等級向下遷移、信用風險加速積聚的局面。2012年，中國人民銀行發(fā)布《信用增進機構業(yè)務規(guī)范》與《信用增進機構風險管理規(guī)范》（銀發(fā)[2012]204號），正式將信用增進明確化、制度化和規(guī)范化。信用增進對我國企業(yè)債券市場發(fā)展具有重大而深遠的影響，有利于提高債券債項信用等級、降低發(fā)行人融資成本，也有利于債券市場信用風險的科學計量、有效監(jiān)測和全面監(jiān)管，從而實現信用風險的分擔機制、維護金融體系穩(wěn)定。 本文按“理論與現狀剖析－基礎性信用增進－信用衍生工具信用增進－結構化信用增進－國際比較－對策建議”的研究框架，綜合運用信用增進的契約機制理論、激勵機制理論和風險管理理論，借鑒國外企業(yè)債券信用增進的相關制度安排的經驗，對我國企業(yè)債券基礎性信用增進、信用衍生工具信用增進和結構化信用增進的方式、原理及其效用進行評價，并最終從信用增進方式優(yōu)化與創(chuàng)新、信用衍生工具市場發(fā)展、信用增進配套制度完善等渠道提出促進我國企業(yè)債券市場信用增進發(fā)展的對策建議。 首先，本文對企業(yè)債券信用增進相關概念進行界定。本文所指“企業(yè)債券”是指企業(yè)依照法定程序發(fā)行、約定在一定期限還本付息的有價證券，泛指非金融企業(yè)發(fā)行的債券，包括短期融資券、中期票據、企業(yè)債和公司債等。本文所指“信用增進”是指以保證、信用衍生工具、結構化金融產品或者法律、法規(guī)、政策以及行業(yè)自律規(guī)范文件明確的其他有效形式提高債項信用等級、增強債務履約保障水平，從而分散、轉移信用風險的專業(yè)性金融服務。信用增進方式按信用增進的原理可分為基礎性信用增進、信用衍生工具信用增進和結構化信用增進。其中基礎性信用增進方式包括擔保、抵質押等；信用衍生工具包括信用違約互換（CDS）、信用風險緩釋工具（CRM）等；結構化信用增進方式包括優(yōu)先/次級結構、優(yōu)先/中間/次級結構、優(yōu)先/中間/股權結構等。 其次，本文對基礎性信用增進的方式、原理和效用進行分析。研究發(fā)現，信用增進可以有效分散轉移企業(yè)債券的信用風險、提升其信用等級、降低其信用利差和發(fā)行成本。信用增進將中小企業(yè)集合票據（SMECN）的平均信用等級從BBB提升到了AA+，共計8個等級，平均減少了298個基點的融資利率。通過對比分析短期融資券、中期票據、企業(yè)債等債券信用增進前后信用等級可知，企業(yè)債券信用增進效用顯著，其中以短期融資券最為顯著、中期票據次之、企業(yè)債最后。此次，信用增進對債券流動性的影響與理論并不完全一致，還有待進一步檢驗。 再次，本文對信用衍生工具信用增進的方式、原理、成本和效用進行分析�；贘arrow-Turnbull模型的信用衍生工具成本測算結果顯示，在測算信用風險緩釋憑證（CRMW）價格時，國債利率與政策性金融債利率充當無風險利率較為適合。CRMW創(chuàng)設價格≈CRMW成本測算價格（以政策性金融債利率為無風險利率）CRMW成本測算價格（以國債利率為無風險利率）CRMW標的債券交易利差。信用衍生工具成本測算結果與其信用等級和期限相匹配，成本測算較為合理有效。另外，信用衍生工具的使用能夠使商業(yè)銀行在維持風險加權資產不變的情況下，增加貸款供給，通過計量這部分增加的貸款額來衡量信用衍生工具的信用增進效用，結果表明，CDS可以在風險加權資產不變的情況下增加約62%的目標貸款額。 最后，本文對結構化信用增進的方式、原理和效用進行分析。通過運用不完全信息靜態(tài)博弈模型對優(yōu)先/次級結構引入中間層級債券進行研究發(fā)現，增設中間層級債券提高了聯合發(fā)行人和投資者效用。一方面，對聯合發(fā)行人而言，，由于增設的中間層級債券由中介機構購買，這在一定程度上起到了信號傳遞和減少信息不對稱的作用，因此，投資者會降低自身對債券收益率的要求，從而降低聯合發(fā)行人總的發(fā)行成本。另一方面，對次級債券和優(yōu)先級債券投資者來說，由于結構化信用增進改變了債券違約風險的風險承擔渠道，中介機構購買中間層級債券，從而分擔了部分債券違約風險，因而投資者承擔債券違約風險有所降低。尤其對于優(yōu)先級債券投資者，債券違約風險基本被次級債券和中間層級債券吸收，其承擔違約風險大大降低。 本文試圖建立完整的企業(yè)債券信用增進體系，在現有研究的基礎上，還需要進一步研究的方面有：第一，依據我國企業(yè)債券市場的實際發(fā)展狀況，創(chuàng)新信用增進方式的設計，探尋適合我國企業(yè)債券發(fā)展現狀的有效信用增進路徑；第二，完善信用衍生工具的運行機制，建立合理的成本測算模型，準確反映信用衍生工具的信用風險轉移；第三，在全面認識到信用增進過程中的操作缺陷及隱含風險的基礎上，對有效的監(jiān)管體系構建進行探討，以充分發(fā)揮信用增進的風險管理功能。
[Abstract]:Since the introduction of short-term financing vouchers in 2005, China's corporate bond market has entered a rapid development stage. However, due to the short development time of the corporate bond market in China, the arrangement of the risk management system, such as credit enhancement, has not kept pace with its rapid development. The bond market has begun to move down the credit rating, and the credit risk has been accelerated to accumulate. In.2012, the people's Bank of China issued the regulations of the credit enhancing institutions and the standards for the risk management of the credit enhancing institutions ([2012]204), and formally defined, institutionalized and standardized the credit enhancement. The credit enhancement has a profound and far-reaching impact on the development of the bond market in our country, and is beneficial to the improvement of the credit rating of bond debt. Reducing the cost of the issuer's financing is also beneficial to the scientific measurement of the credit risk of the bond market, effective monitoring and comprehensive supervision, so as to realize the sharing mechanism of credit risk and maintain the stability of the financial system.
According to the "theory and the present situation analysis - basic credit enhancement - credit derivatives credit enhancement - structured credit enhancement - International Comparison countermeasure proposal", this paper comprehensively uses the contract mechanism theory of credit enhancement, incentive mechanism theory and risk management theory, and draws lessons from the related system of foreign corporate bond promotion. The experience of the degree arrangement is to evaluate the way, the principle and the utility of the fundamental credit of our corporate bonds, the credit and the structural credit enhancement, and finally to promote our enterprises from the channels of credit enhancement and innovation, the development of the credit derivatives market and the perfect supporting system of credit. Countermeasures and suggestions for the promotion and development of credit market credit.
First, this article defines the concept of the credit enhancement of corporate bonds. This article refers to the "corporate bond" refers to the securities issued by the enterprise in accordance with the legal procedure, and stipulate that the securities which have been paid in a certain period of repayment, refer to the bonds issued by non financial enterprises, including short term financing vouchers, medium term bills, corporate bonds and corporate bonds. "Promotion" means to guarantee, credit derivatives, structured financial products or laws, regulations, policies and other effective forms of self-discipline of the industry to improve the credit rating of debt, enhance the level of debt performance guarantee, and thus decentralization and transfer of credit risk of professional financial services. It can be divided into basic credit enhancement, credit derivatives credit enhancement and structured credit enhancement. The basic ways of credit enhancement include guarantee, collateral and so on; credit derivatives include credit default swap (CDS), credit risk release tool (CRM) and so on; structural credit promotion includes priority / secondary structure, priority / middle / secondary structure, priority / intermediate / equity structure, etc.
Secondly, this paper analyzes the way, principle and utility of basic credit promotion. It is found that credit enhancement can effectively decentralize the credit risk of corporate bonds, improve their credit rating, reduce their credit spreads and issuing costs. The credit promotion has promoted the average credit rating of SMECN from BBB to AA+ A total of 8 grades, with an average reduction of 298 basis points in financing interest rates. By comparing and analyzing the credit grades of short-term financing vouchers, medium-term bills, and corporate bonds, the credit enhancement of corporate bonds is obvious. The impact of coupon liquidity is not entirely consistent with theory, and needs further examination.
Thirdly, this paper analyzes the way, principle, cost and utility of credit derivatives credit enhancement. The result of the cost calculation of credit derivatives based on Jarrow-Turnbull model shows that the interest rate and the interest rate of the policy based golden thaw are more suitable for the creation price of.CRMW when the price of the credit risk release voucher (CRMW) is calculated. CRMW cost calculation price (with policy oriented financial debt interest rate as risk-free interest rate) CRMW cost estimate price (with treasury bond interest rate as risk free interest rate) bond trading margin. The cost calculation results of credit derivatives match their credit rating and maturity, and the cost calculation is more reasonable and effective. In addition, the use of credit derivatives In the case of maintaining the risk weighted assets, the commercial banks can increase the loan supply by measuring the amount of loans increased to measure the credit enhancement utility of the credit derivatives. The result shows that CDS can increase the amount of the target loan by about 62% in the case of the risk weighted assets.
Finally, this paper analyzes the way, principle and utility of structured credit enhancement. Through the application of incomplete information static game model to the introduction of intermediate level bonds in priority / secondary structure, it is found that the addition of intermediate level bonds improves the efficiency of joint issuers and investors. On the one hand, for the joint issuer, the increase is added to the joint issuer. The intermediate level bonds are purchased by intermediary agencies, which, to some extent, plays a role in signaling and reducing information asymmetry. Therefore, investors will reduce their own demand for bond yields and reduce the total issuing cost of joint issuers. On the other hand, for secondary and priority bond investors, the structure is due to the structure. Enhanced credit increases the risk of debt default risk taking channels, intermediaries buy intermediate level bonds, thus sharing part of the bond default risk, so the risk of bond default is reduced by investors. The risk of default is greatly reduced.
This paper tries to establish a complete credit enhancement system for corporate bonds. On the basis of the existing research, it also needs further research. Firstly, according to the actual development situation of the corporate bond market in China, the design of innovative credit enhancement mode, and explore the effective credit promotion path suitable for the current situation of the development of China's corporate bond coupons; second, Perfecting the operating mechanism of credit derivatives, establishing a reasonable cost calculation model, accurately reflecting the credit risk transfer of credit derivatives; third, on the basis of fully understanding the operation defects and hidden risks in the process of credit promotion, the construction of effective supervision system is discussed in order to give full play to the risk management of credit enhancement. Function.
【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2013
【分類號】：F832.51

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