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

【摘要】：自2005年短期融資券推出以來(lái)，我國(guó)企業(yè)債券市場(chǎng)進(jìn)入快速發(fā)展階段，然而，由于我國(guó)企業(yè)債券市場(chǎng)發(fā)展時(shí)間短，信用增進(jìn)等風(fēng)險(xiǎn)管理制度安排并沒(méi)有跟上其高速發(fā)展的步伐，債券市場(chǎng)開(kāi)始出現(xiàn)信用等級(jí)向下遷移、信用風(fēng)險(xiǎn)加速積聚的局面。2012年，中國(guó)人民銀行發(fā)布《信用增進(jìn)機(jī)構(gòu)業(yè)務(wù)規(guī)范》與《信用增進(jìn)機(jī)構(gòu)風(fēng)險(xiǎn)管理規(guī)范》（銀發(fā)[2012]204號(hào)），正式將信用增進(jìn)明確化、制度化和規(guī)范化。信用增進(jìn)對(duì)我國(guó)企業(yè)債券市場(chǎng)發(fā)展具有重大而深遠(yuǎn)的影響，有利于提高債券債項(xiàng)信用等級(jí)、降低發(fā)行人融資成本，也有利于債券市場(chǎng)信用風(fēng)險(xiǎn)的科學(xué)計(jì)量、有效監(jiān)測(cè)和全面監(jiān)管，從而實(shí)現(xiàn)信用風(fēng)險(xiǎn)的分擔(dān)機(jī)制、維護(hù)金融體系穩(wěn)定。 本文按“理論與現(xiàn)狀剖析－基礎(chǔ)性信用增進(jìn)－信用衍生工具信用增進(jìn)－結(jié)構(gòu)化信用增進(jìn)－國(guó)際比較－對(duì)策建議”的研究框架，綜合運(yùn)用信用增進(jìn)的契約機(jī)制理論、激勵(lì)機(jī)制理論和風(fēng)險(xiǎn)管理理論，借鑒國(guó)外企業(yè)債券信用增進(jìn)的相關(guān)制度安排的經(jīng)驗(yàn)，對(duì)我國(guó)企業(yè)債券基礎(chǔ)性信用增進(jìn)、信用衍生工具信用增進(jìn)和結(jié)構(gòu)化信用增進(jìn)的方式、原理及其效用進(jìn)行評(píng)價(jià)，并最終從信用增進(jìn)方式優(yōu)化與創(chuàng)新、信用衍生工具市場(chǎng)發(fā)展、信用增進(jìn)配套制度完善等渠道提出促進(jìn)我國(guó)企業(yè)債券市場(chǎng)信用增進(jìn)發(fā)展的對(duì)策建議。 首先，本文對(duì)企業(yè)債券信用增進(jìn)相關(guān)概念進(jìn)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(jià)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(jù)、企業(yè)債和公司債等。本文所指“信用增進(jìn)”是指以保證、信用衍生工具、結(jié)構(gòu)化金融產(chǎn)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(xiàng)信用等級(jí)、增強(qiáng)債務(wù)履約保障水平，從而分散、轉(zhuǎn)移信用風(fēng)險(xiǎn)的專業(yè)性金融服務(wù)。信用增進(jìn)方式按信用增進(jìn)的原理可分為基礎(chǔ)性信用增進(jìn)、信用衍生工具信用增進(jìn)和結(jié)構(gòu)化信用增進(jìn)。其中基礎(chǔ)性信用增進(jìn)方式包括擔(dān)保、抵質(zhì)押等；信用衍生工具包括信用違約互換（CDS）、信用風(fēng)險(xiǎn)緩釋工具（CRM）等；結(jié)構(gòu)化信用增進(jìn)方式包括優(yōu)先/次級(jí)結(jié)構(gòu)、優(yōu)先/中間/次級(jí)結(jié)構(gòu)、優(yōu)先/中間/股權(quán)結(jié)構(gòu)等。 其次，本文對(duì)基礎(chǔ)性信用增進(jìn)的方式、原理和效用進(jìn)行分析。研究發(fā)現(xiàn)，信用增進(jìn)可以有效分散轉(zhuǎn)移企業(yè)債券的信用風(fēng)險(xiǎn)、提升其信用等級(jí)、降低其信用利差和發(fā)行成本。信用增進(jìn)將中小企業(yè)集合票據(jù)（SMECN）的平均信用等級(jí)從BBB提升到了AA+，共計(jì)8個(gè)等級(jí)，平均減少了298個(gè)基點(diǎn)的融資利率。通過(guò)對(duì)比分析短期融資券、中期票據(jù)、企業(yè)債等債券信用增進(jìn)前后信用等級(jí)可知，企業(yè)債券信用增進(jìn)效用顯著，其中以短期融資券最為顯著、中期票據(jù)次之、企業(yè)債最后。此次，信用增進(jìn)對(duì)債券流動(dòng)性的影響與理論并不完全一致，還有待進(jìn)一步檢驗(yàn)。 再次，本文對(duì)信用衍生工具信用增進(jìn)的方式、原理、成本和效用進(jìn)行分析。基于Jarrow-Turnbull模型的信用衍生工具成本測(cè)算結(jié)果顯示，在測(cè)算信用風(fēng)險(xiǎn)緩釋憑證（CRMW）價(jià)格時(shí)，國(guó)債利率與政策性金融債利率充當(dāng)無(wú)風(fēng)險(xiǎn)利率較為適合。CRMW創(chuàng)設(shè)價(jià)格≈CRMW成本測(cè)算價(jià)格（以政策性金融債利率為無(wú)風(fēng)險(xiǎn)利率）CRMW成本測(cè)算價(jià)格（以國(guó)債利率為無(wú)風(fēng)險(xiǎn)利率）CRMW標(biāo)的債券交易利差。信用衍生工具成本測(cè)算結(jié)果與其信用等級(jí)和期限相匹配，成本測(cè)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(fēng)險(xiǎn)加權(quán)資產(chǎn)不變的情況下，增加貸款供給，通過(guò)計(jì)量這部分增加的貸款額來(lái)衡量信用衍生工具的信用增進(jìn)效用，結(jié)果表明，CDS可以在風(fēng)險(xiǎn)加權(quán)資產(chǎn)不變的情況下增加約62%的目標(biāo)貸款額。 最后，本文對(duì)結(jié)構(gòu)化信用增進(jìn)的方式、原理和效用進(jìn)行分析。通過(guò)運(yùn)用不完全信息靜態(tài)博弈模型對(duì)優(yōu)先/次級(jí)結(jié)構(gòu)引入中間層級(jí)債券進(jìn)行研究發(fā)現(xiàn)，增設(shè)中間層級(jí)債券提高了聯(lián)合發(fā)行人和投資者效用。一方面，對(duì)聯(lián)合發(fā)行人而言，，由于增設(shè)的中間層級(jí)債券由中介機(jī)構(gòu)購(gòu)買，這在一定程度上起到了信號(hào)傳遞和減少信息不對(duì)稱的作用，因此，投資者會(huì)降低自身對(duì)債券收益率的要求，從而降低聯(lián)合發(fā)行人總的發(fā)行成本。另一方面，對(duì)次級(jí)債券和優(yōu)先級(jí)債券投資者來(lái)說(shuō)，由于結(jié)構(gòu)化信用增進(jìn)改變了債券違約風(fēng)險(xiǎn)的風(fēng)險(xiǎn)承擔(dān)渠道，中介機(jī)構(gòu)購(gòu)買中間層級(jí)債券，從而分擔(dān)了部分債券違約風(fēng)險(xiǎn)，因而投資者承擔(dān)債券違約風(fēng)險(xiǎn)有所降低。尤其對(duì)于優(yōu)先級(jí)債券投資者，債券違約風(fēng)險(xiǎn)基本被次級(jí)債券和中間層級(jí)債券吸收，其承擔(dān)違約風(fēng)險(xiǎn)大大降低。 本文試圖建立完整的企業(yè)債券信用增進(jìn)體系，在現(xiàn)有研究的基礎(chǔ)上，還需要進(jìn)一步研究的方面有：第一，依據(jù)我國(guó)企業(yè)債券市場(chǎng)的實(shí)際發(fā)展?fàn)顩r，創(chuàng)新信用增進(jìn)方式的設(shè)計(jì)，探尋適合我國(guó)企業(yè)債券發(fā)展現(xiàn)狀的有效信用增進(jìn)路徑；第二，完善信用衍生工具的運(yùn)行機(jī)制，建立合理的成本測(cè)算模型，準(zhǔn)確反映信用衍生工具的信用風(fēng)險(xiǎn)轉(zhuǎn)移；第三，在全面認(rèn)識(shí)到信用增進(jìn)過(guò)程中的操作缺陷及隱含風(fēng)險(xiǎn)的基礎(chǔ)上，對(duì)有效的監(jiān)管體系構(gòu)建進(jìn)行探討，以充分發(fā)揮信用增進(jìn)的風(fēng)險(xiǎn)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(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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本文編號(hào)：2060020