【摘要】：隨著全球經(jīng)濟(jì)的不斷發(fā)展,全球金融業(yè)也變得越來越復(fù)雜,各種不確定性充斥著金融業(yè)的各個角落。尤其是進(jìn)入二十一世紀(jì),源于美國的次債危機(jī),給全球經(jīng)濟(jì)帶來了巨大的影響和損失,引起全球金融業(yè)對金融風(fēng)險,尤其是信用風(fēng)險管理的高度重視。我國早已經(jīng)成為WTO的正式成員國,金融機(jī)構(gòu)監(jiān)管體系要與國際接軌,金融業(yè)將全面實施對外開放。因此,信用風(fēng)險已經(jīng)成為我國金融市場的主要風(fēng)險之一。 目前,我國公司債券市場面臨著歷史性的變革,行政管制已經(jīng)逐步放松,市場將成為約束公司債券市場發(fā)展的重要力量。伴隨著公司債券市場化發(fā)展,各類風(fēng)險特別是信用風(fēng)險將驟然放大,這就需要我們加強對公司債券信用風(fēng)險的研究,確保風(fēng)險和收益在投資者與企業(yè)之間能夠合理分擔(dān),增強金融市場的有效性。對公司債券信用風(fēng)險溢價的合理定價將逐漸成為各金融機(jī)構(gòu)的難題。傳統(tǒng)的定性方法目前在我國鑒別公司信用風(fēng)險狀況時仍有較好的實用性,但是其在公司債券信用風(fēng)險溢價的定價方面卻無能為力。而且隨著將來我國信用衍生產(chǎn)品的出現(xiàn),對信用風(fēng)險研究的定性方法就更不能滿足金融機(jī)構(gòu)對信用風(fēng)險的管理要求。債券信用風(fēng)險溢價一般取決于該債券的預(yù)期違約率,而這點就需要用定量模型的方法來進(jìn)行研究。所以,廣泛的吸收國際成熟的定量技術(shù)方法,并將其應(yīng)用于我國公司債券市場的規(guī)范和信用風(fēng)險的防范已日益重要。此外掌握先進(jìn)信用風(fēng)險測算方法的外資金融機(jī)構(gòu)正逐漸進(jìn)入我國金融市場,他們將會與國內(nèi)金融機(jī)構(gòu)展開激烈的競爭,這些都要求我國的金融機(jī)構(gòu)要加大力度對信用風(fēng)險的測定和管理方法進(jìn)行改進(jìn)。 作為資本市場上一種主要風(fēng)險,信用風(fēng)險來源于經(jīng)濟(jì)活動的不確定性。這些不確定性包括來自于金融體系之外,經(jīng)濟(jì)運行過程中偶然性的、隨機(jī)性的變化或不可預(yù)知的趨勢。也包括來源于金融體系之內(nèi),由人為主觀決策或獲取信息的不充分性等原因造成的,帶有明顯的個人特征。一般來說,外在不確定性對整個市場都會帶來一定的影響,所以,外在不確定性所導(dǎo)致的風(fēng)險又稱為系統(tǒng)性風(fēng)險；而內(nèi)在的不確定性可以通過制定合理的規(guī)則,如企業(yè)的信息披露和市場交易規(guī)則等方式來降低其風(fēng)險。所以,內(nèi)在不確定性產(chǎn)生的風(fēng)險又稱為非系統(tǒng)性風(fēng)險。 國際上關(guān)于信用風(fēng)險的研究主要是簡化模型和結(jié)構(gòu)模型。簡化模型將違約事件看作一個隨機(jī)過程,通過外生違約參數(shù)來研究信用風(fēng)險。結(jié)構(gòu)模型根據(jù)公司債務(wù)的微觀結(jié)構(gòu),運用期權(quán)定價原理來研究違約行為的動因和分布,進(jìn)而表述信用風(fēng)險。結(jié)構(gòu)模型認(rèn)為違約風(fēng)險債券可被當(dāng)做一個關(guān)于公司資產(chǎn)價值的或有要求權(quán),即由一個無違約風(fēng)險債券減去一個關(guān)于公司市場價值的歐式看跌期權(quán)構(gòu)成,從而有效地將期權(quán)定價理論運用到了債券違約風(fēng)險定價模型。 本文首先假定公司債券的發(fā)行利率等于同期限的無風(fēng)險利率+信用溢價,運用貼現(xiàn)函數(shù)模型先后對我國的國債與公司債券構(gòu)造其貼現(xiàn)函數(shù),然后將對應(yīng)期限的利率相減即得到信用風(fēng)險溢價,從而就可以繪出公司債券高于無風(fēng)險利率的溢價期限結(jié)構(gòu)曲線。我國公司債券的溢價結(jié)構(gòu)基本符合溢價隨期限先上升,然后下降的理論基礎(chǔ)。另一方面,相應(yīng)期限的溢價大小,也說明經(jīng)典的結(jié)構(gòu)模型可以適用于我國公司債券的信用風(fēng)險度量與定價。
[Abstract]:With the development of the global economy, the global financial industry becomes more and more complex, and various uncertainties are filled with the corners of the financial industry. Especially in the twenty-first century, the crisis of the subprime debt, which originated from the United States, has brought great influence and loss to the global economy, which caused the global financial industry to pay great attention to the financial risks, especially the credit risk management. As an official member of the WTO, the regulatory system of financial institutions should be in line with the international standards, and the financial industry will be fully opened to the outside world. Therefore, credit risk has become one of the main risks of our financial market. At present, the corporate bond market of our country faces a historic change, the administrative regulation has been gradually relaxed, the market will become an important force to restrain the development of the corporate bond market With the development of the market of corporate bonds, all kinds of risks, especially the credit risk, will be amplified suddenly. This will require us to strengthen the research on the credit risk of the corporate bonds, to ensure that the risks and the income can be reasonably shared between the investors and the enterprise, and enhance the effectiveness of the financial market The reasonable pricing of the credit risk premium of corporate bonds will gradually become the difficulty of each financial institution The traditional qualitative method still has good practicability in the identification of the credit risk in our country, but it is inept in the pricing of the credit risk premium of the corporate bonds. And with the emergence of our credit derivatives in the future, the qualitative method of the credit risk research can not meet the financial institution's management of the credit risk The bond credit risk premium is generally dependent on the expected default rate of the bond, which requires a quantitative model to be used for the study. Therefore, it has become more and more important to absorb the international mature quantitative technical method and apply it to the regulation of our company's bond market and the prevention of credit risk In addition, foreign financial institutions with advanced credit risk measurement methods are gradually entering the financial market of our country, and they will compete with the domestic financial institutions. These require the financial institutions of our country to increase their efforts to change the measurement and management of the credit risk As a major risk in the capital market, credit risk is derived from economic activity Deterministic. These uncertainties include, in addition to the financial system, the occasional, random, or unpredictable nature of the economic operation. Also included in the financial system, due to the lack of human-made subjective decision-making or the lack of access to information. People's characteristics. In general, the external uncertainty will have a certain impact on the whole market, so the risk that the outside is caused by the uncertainty is also called systemic risk; and the inherent uncertainty can be made through the development of reasonable The rules, such as the information disclosure and market transaction rules of the enterprise, are reduced It's at risk. So, the risks inherent in the inherent uncertainties are also called non-systems The study of credit risk in the world is mainly a simplified model. and the model is simplified, the default event is regarded as a random process, To study the credit risk. The structure model is based on the micro-structure of the company's debt, and uses the option pricing principle to study the motivation and distribution of the default behavior. The credit risk. The structural model is of the view that the default risk bond can be used as a value or claim on the value of the company's assets, that is, by a non-default risk bond minus a European view on the value of the company's market The option composition is used to effectively apply the option pricing theory to the bond default. The paper first assumes that the issue rate of corporate bonds is equal to the risk-free interest rate + credit premium of the same period, and the discount function model is applied to construct the discount function for the national debt and corporate bonds in China, and then the interest rate of the corresponding period is subtracted. To the credit risk premium, it can be drawn that the corporate bond is higher than the risk-free rate The price period structure curve. The premium structure of our company's corporate bonds is basically consistent with the premium over time, and then On the other hand, on the other hand, the premium size of the corresponding period and the classical structural model can be applied to the credit of our company's corporate bonds
【學(xué)位授予單位】：江西財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51

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