基于JLT模型的我国公司债券信用风险研究

发布时间：2018-02-09 06:27

本文关键词： 公司债券信用风险信用转移矩阵 JLT模型 CreditMetrics模型　出处：《华南理工大学》2011年硕士论文　论文类型：学位论文

【摘要】：随着2007年修订的《公司法》和《证券法》对公司债券的规范,我国债券市场开始正式发行公司债券。短短四年间,我国公司债券发展十分迅速,成为我国多元化债券市场的重要组成部分。由于公司债券比传统企业债券在发行条件、资金用途等方面具有一定的优势,公司债券将成为我国未来债券发展的主流方向。但与此同时,公司债券条件门槛的降低也使得其信用风险问题逐渐受到管理层和学术界的关注。因此,对我国公司债券的信用风险度量进行研究具有重要的理论和实际意义。本文主要是对我国公司债券市场的信用风险进行实证研究,尝试研究我国公司债券信用风险的来源及影响因素、公司债券信用风险的度量方法、我国公司债券信用风险的估算及评价等问题。文章首先阐述了论文的选题背景及意义,并对国内外研究情况进行了梳理和综述,提出了本文的研究思路和技术路线;文章第二部分对公司债券信用风险概念及内涵、风险来源、风险影响因素、风险度量等理论问题进行了界定和阐述;文章第三部分对我国公司债券的发展历程进行了回顾和评述,并分析了我国公司债券信用风险的现状及问题;文章第四部分主要对信用风险度量的重要工具——信用风险转移矩阵进行了估算和评价,本文利用中信国际信用评级公司对我国公司债券的信用评级数据构建了我国公司债券的信用风险转移矩阵,并发现由于我国信用评级数据缺陷导致信用风险矩阵在稳定性和可比性上效果较差;文章第五部分利用JLT模型和CreditMetrics模型对我国公司债券样本进行了信用风险的度量,并分析了我国公司债券信用风险差异化的原因;文章最后针对研究过程中发现的我国公司债券市场信用风险管理问题提出了具体的政策建议。研究结果表明:第一,信用风险是我国公司债券面临的最主要风险,发行规模的增加、增信方式的无担保化和发行期限向中长期集中的趋势等特点表现出公司债券信用风险递增;第二,公司债券信用风险差异来源于债券到期期限、信用等级和担保方式,并且到期期限越长、信用等级越低、趋向无担保信用风险越大;第三,JLT模型能够较好度量我国公司债券信用风险,凸显其优点;第四,我国公司债券整体信用风险较小,但信用评级数据的偏差可能掩盖潜在信用风险。
[Abstract]:With the revision of Company Law and Securities Law in 2007, the bond market of our country began to issue corporate bonds. In a short period of four years, the development of corporate bonds in China has been very rapid. It has become an important part of the diversified bond market in China. Because corporate bonds have certain advantages over traditional corporate bonds in terms of issuing conditions and the use of funds, Corporate bonds will become the mainstream direction of our country's future bond development. But at the same time, the lowering of the threshold of corporate bond conditions also makes the credit risk problem gradually attract the attention of management and academic circles. It is of great theoretical and practical significance to study the credit risk measurement of corporate bonds in China. This paper is an empirical study on the credit risk of our country's corporate bond market, trying to study the sources and influencing factors of our country's corporate bond credit risk, and how to measure the corporate bond credit risk. Firstly, the paper expounds the background and significance of this paper, and summarizes the research situation at home and abroad, and puts forward the research ideas and technical route of this paper. The second part of the paper defines and expounds the concept and connotation of corporate bond credit risk, risk sources, risk influencing factors, risk measurement and other theoretical issues. The third part of the article reviews and comments on the development of corporate bonds in China, and analyzes the current situation and problems of the credit risk of corporate bonds in China. In the 4th part, we estimate and evaluate the credit risk transfer matrix, which is an important tool of credit risk measurement. In this paper, the credit risk transfer matrix of Chinese corporate bonds is constructed by using the credit rating data of CITIC International Credit rating Company (CITIC). It is found that the credit risk matrix has poor stability and comparability due to the defect of credit rating data in China. Part 5th uses JLT model and CreditMetrics model to measure the credit risk of Chinese corporate bond samples. The paper also analyzes the reasons for the differentiation of corporate bond credit risk in China, and finally puts forward some specific policy suggestions on the credit risk management of our country's corporate bond market. The results show that: first, credit risk is the most important risk faced by Chinese corporate bonds. The characteristics of unsecured way of increasing credit and the tendency of issuing term being concentrated in the medium and long term show that the credit risk of corporate bond is increasing. Second, the difference of credit risk of corporate bond comes from the maturity of bond, credit grade and guarantee method. And the longer the maturity, the lower the credit rating, the greater the unsecured credit risk; the third JLT model can better measure the credit risk of corporate bonds in China, highlighting its advantages; 4th, the overall credit risk of corporate bonds in China is relatively small. But the bias in credit rating data could mask potential credit risk.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F224;F832.51

【引证文献】