本文關(guān)鍵詞： 城投債 信用風(fēng)險(xiǎn) 因子分析 多元有序Logistic模型　出處：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：在我國(guó)大規(guī)模的城市化進(jìn)程中,財(cái)政分權(quán)制及我國(guó)《預(yù)算法》的限制,地方政府在經(jīng)濟(jì)建設(shè)中面臨巨大資金壓力,由此催生了地方政府投融資平臺(tái)的興起。城投公司通過(guò)發(fā)行城投債代地方政府進(jìn)行融資,資金用以社會(huì)公益項(xiàng)目及城市基礎(chǔ)設(shè)施建設(shè),地方政府則以國(guó)有資產(chǎn)經(jīng)營(yíng)權(quán)及國(guó)有土地使用權(quán)的劃撥等對(duì)其經(jīng)營(yíng)進(jìn)行支持。2008年我國(guó)擴(kuò)張性的經(jīng)濟(jì)政策出臺(tái)后,城投債呈現(xiàn)了井噴式的發(fā)展態(tài)勢(shì),隨之帶來(lái)的信用風(fēng)險(xiǎn)也引起了廣泛關(guān)注,科學(xué)有效的對(duì)其進(jìn)行評(píng)價(jià)已刻不容緩。 城投債的發(fā)行主體與通過(guò)自有資金運(yùn)作達(dá)到利潤(rùn)最大化目的的企業(yè)有較大不同,且債券的償債資金除部分來(lái)源于項(xiàng)目收益外,更多的依靠地方的財(cái)政支持。因此,對(duì)城投債的信用風(fēng)險(xiǎn)進(jìn)行評(píng)價(jià)時(shí),應(yīng)更多的關(guān)注于區(qū)域經(jīng)濟(jì)發(fā)展水平、地方政府財(cái)政實(shí)力及地方政府支持力度及擔(dān)保增信措施的影響。多元有序Logistic違約率測(cè)度模型假設(shè)條件較少,具有一定的實(shí)用性較強(qiáng),而對(duì)評(píng)級(jí)指標(biāo)進(jìn)行因子分析,能在最大化的體現(xiàn)指標(biāo)信息的同時(shí),有效降低變量維度。因此,在考慮數(shù)據(jù)的準(zhǔn)確性及可獲得性情況下,選取統(tǒng)計(jì)口徑較為一致的2010年至2011年發(fā)行的59只城投債進(jìn)行實(shí)證分析。結(jié)果表明模型整體擬合度高,且一定的增信措施,較高的區(qū)域經(jīng)濟(jì)發(fā)展規(guī)模,較高的總體財(cái)務(wù)規(guī)模,較低的債務(wù)負(fù)擔(dān),能提高城投債的信用水平,債券違約概率越低；財(cái)務(wù)報(bào)表所反映的主營(yíng)業(yè)務(wù)獲利能力、盈利能力及財(cái)務(wù)成長(zhǎng)能力指標(biāo)對(duì)我國(guó)城投債券的信用評(píng)級(jí)沒(méi)有顯著的影響。整體來(lái)講,基于多元有序Logistic我國(guó)城投債違約率測(cè)度模型操作簡(jiǎn)單,具有一定的實(shí)用性,可用于我國(guó)城投債的違約率測(cè)算。
[Abstract]:In the process of large-scale urbanization in China, local governments are faced with huge financial pressure in economic construction due to the restriction of fiscal decentralization and the "Budget Law". As a result, the emergence of local government investment and financing platform. The city investment company through the issuance of debt on behalf of the local government to finance, funds for social welfare projects and urban infrastructure construction. On the other hand, the local government supports its management with the right of management of state-owned assets and the allocation of the right to use state-owned land. In 2008, after the introduction of the expansionary economic policy of our country, the city investment debt showed a blowout development trend. The credit risk has caused widespread concern, and it is urgent to evaluate it scientifically and effectively. The main issuer of the city investment bond is different from the enterprise which achieves the profit maximization through the operation of its own capital, and the debt service fund of the bond comes from the project income in part. Therefore, more attention should be paid to the level of regional economic development when evaluating the credit risk of city investment debt. The financial strength of local government and the influence of local government support and guarantee credit enhancement measures. The multivariate ordered Logistic default rate measurement model assumes less conditions and has a strong practicability. The factor analysis of the rating index can effectively reduce the variable dimension while maximizing the index information. Therefore, considering the accuracy and availability of the data. Selected 59 city debt issued from 2010 to 2011 with consistent statistical caliber for empirical analysis. The results show that the model has a high overall fit and certain credit enhancement measures. The higher the scale of regional economic development, the higher the overall financial scale and the lower the debt burden, the higher the credit level and the lower the probability of bond default. The main business profitability, profitability and financial growth ability indicators reflected in the financial statements have no significant impact on the credit rating of China's city investment bond. Based on the multivariate ordered Logistic, the measurement model of default rate of city investment debt in China is simple and practical, and it can be used to measure the default rate of city investment debt in China.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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