本文選題：信用利差 + 信用風(fēng)險(xiǎn)��； 參考：《東北師范大學(xué)》2017年碩士論文

【摘要】：近幾年隨著我國(guó)資本市場(chǎng)結(jié)構(gòu)的不斷完善,我國(guó)債券市場(chǎng)也迎來(lái)了更加廣闊的發(fā)展空間,特別是公司債異軍突起。為了進(jìn)一步促進(jìn)我國(guó)債券市場(chǎng)發(fā)展,減少債券市場(chǎng)與股票市場(chǎng)“跛足”問(wèn)題,我國(guó)證監(jiān)會(huì)頒布了一系列積極促進(jìn)債市發(fā)展的新政策,特別放寬了公司債發(fā)行要求。從2014年開(kāi)始,公司債在發(fā)行數(shù)量和規(guī)模上均不斷擴(kuò)大,呈現(xiàn)了井噴式發(fā)展。隨著公司債發(fā)行規(guī)模的不斷擴(kuò)大,我們需要意識(shí)到其發(fā)行過(guò)程中出現(xiàn)的問(wèn)題,特別是信用風(fēng)險(xiǎn)的不斷擴(kuò)大。過(guò)去我國(guó)債券需要保證剛性兌付,信用風(fēng)險(xiǎn)相對(duì)較小。但是2015年以來(lái)我國(guó)公司債出現(xiàn)了多起違約風(fēng)波,很多公司債在發(fā)行過(guò)程中不重視信用風(fēng)險(xiǎn),在定價(jià)過(guò)程中出現(xiàn)利率倒掛現(xiàn)象,低評(píng)級(jí)債券數(shù)量增多,其中從以下的公司債發(fā)行規(guī)模達(dá)到20%。特別是2016年,出現(xiàn)大量債券違約事件,有79只債券實(shí)質(zhì)性違約,涉及34家發(fā)債主體,違約金額達(dá)403億元,同比增長(zhǎng)220%。這一問(wèn)題不利于我國(guó)債券市場(chǎng)穩(wěn)定發(fā)債,加大公司債的流動(dòng)性風(fēng)險(xiǎn)。因此,我們有必要在公司債定價(jià)過(guò)程中合理考慮其信用風(fēng)險(xiǎn)。目前國(guó)內(nèi)外學(xué)者在研究債券信用利差時(shí)多采用結(jié)構(gòu)分析法、回歸分析法等,本文將借鑒國(guó)內(nèi)外的分析方式,利用回歸分析法提出其他因素對(duì)公司債信用利差的影響,表現(xiàn)信用風(fēng)險(xiǎn)對(duì)其的影響作用。文共五個(gè)部分,第一部分主要介紹了本文的研究背景、文獻(xiàn)綜述以及相關(guān)的創(chuàng)新點(diǎn);第二部分介紹了我國(guó)公司債目前的發(fā)展?fàn)顩r及出現(xiàn)的信用風(fēng)險(xiǎn)事件,簡(jiǎn)述衡量信用風(fēng)險(xiǎn)的基本度量方式;第三部分以信用風(fēng)險(xiǎn)對(duì)信用利差的理論分析為主,進(jìn)一步介紹了信用風(fēng)險(xiǎn)對(duì)信用利差影響的傳導(dǎo)渠道;第四部分通過(guò)分析實(shí)時(shí)數(shù)據(jù),利用對(duì)比分析和回歸分析法從多個(gè)角度闡釋信用風(fēng)險(xiǎn)對(duì)于信用利差的影響;第五部分針對(duì)本文研究的結(jié)果,對(duì)當(dāng)前公司債發(fā)展過(guò)程中存在的問(wèn)題提出建議。因此,本文將重點(diǎn)分析公司債信用風(fēng)險(xiǎn)對(duì)信用利差的影響,利用信用風(fēng)險(xiǎn)來(lái)有效的解釋信用利差。希望該問(wèn)題的研究能夠使我國(guó)公司債定價(jià)過(guò)程中更加合理化,防止信用風(fēng)險(xiǎn)危害,有效解決違約事件帶來(lái)的影響,并進(jìn)一步構(gòu)建完善的公司債定價(jià)機(jī)制,使公司債市場(chǎng)能夠健康發(fā)展。
[Abstract]:In recent years, with the continuous improvement of China's capital market structure, China's bond market has also ushered in a broader space for development, especially the corporate debt has risen. In order to further promote the development of the bond market and reduce the "lame" problem of the bond market and the stock market, China's Securities Regulatory Commission has issued a series of actively promoting the development of the bond market. The new policy, in particular, relaxed the demand for corporate debt issuance. Since 2014, corporate debt has expanded in number and scale, showing a blowout development. As the scale of the issuance of corporate bonds continues to expand, we need to be aware of the problems arising from the issuance process, especially the expansion of credit risk. It is necessary to guarantee the rigid cash payment, but the credit risk is relatively small. However, since 2015, there have been many default storms in our company debt. Many corporate bonds do not attach importance to credit risk in the process of issuing. In the process of pricing, the rate of interest rate upside down and the number of low rating bonds increase, from the following corporate debt issuance to 20%., especially 201 In the past 6 years, a large number of bond default events have occurred. There are 79 bonds in substantive default, involving 34 debt holders, and the amount of default amounts to 40 billion 300 million yuan. The increase of 220%. is not conducive to the stable debt issuance of the bond market in China and the liquidity risk of corporate bonds. Therefore, it is necessary for us to consider the credit risk reasonably in the process of pricing corporate bonds. The former domestic and foreign scholars use structural analysis and regression analysis in the study of bond credit spreads. This article will draw on the analysis methods at home and abroad, use the regression analysis method to put forward the influence of other factors on the credit spreads of corporate bonds, and show the effect of credit risk on it. The first part is five parts. The first part mainly introduces the article The research background, the literature review and the related innovation points. The second part introduces the current development of corporate debt in China and the occurrence of credit risk events, briefly describes the basic measure of credit risk; the third part is based on the theoretical analysis of credit spreads by credit risk, and further introduces credit risk to credit spreads. The fourth part explains the effect of credit risk on credit spreads by analyzing real-time data by analyzing real-time data and using comparative analysis and regression analysis. The fifth part puts forward some suggestions on the existing problems in the process of corporate debt development. The impact of risk on credit spreads and the use of credit risk to explain the credit spreads effectively. It is hoped that the study can make the pricing process of the company debt more reasonable, prevent the risk of credit risk, effectively solve the impact of the default event, and further build a good company debt pricing mechanism, so that the corporate debt market can be made possible. Healthy development.

【學(xué)位授予單位】：東北師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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