联系我们

论文查询结果	返回搜索

论文编号：	7461
作者编号：	2120132433
上传时间：	2015/6/10 10:14:34
中文题目：	信用风险与信用利差影响关系研究
英文题目：	Research on the Relationship between
指导老师：	王永进
中文关键字：	信用风险,信用评级,评级调整,信用利差,债券定价
英文关键字：	credit risk; credit ratings; rating adjustment; credit spread; bond pricing
中文摘要：	近年来，我国债券市场发展迅速，债券定价机制也越来越成熟。自2010年以来，债券市场违约风波不断，2014年公司债首例违约案例的出现，也推动着债券风险定价的问题引起投资者的关注。与此同时，中小企业私募债市场份额也在不断壮大，私募债违约案例陆续出现，我国垃圾债市场的雏形正逐渐形成，债券市场的发展对风险定价的要求也随之提高。在这样的背景下，研究信用风险对债券定价的影响情况，有利于了解我国债券市场定价的有效性，预测并推动我国垃圾债市场的发展。 本文根据信用利差的量化分析方法构建了回归分析模型，在考虑宏观经济因素和流动性因素对信用利差的影响基础上，分别选取了银行间市场7天质押式回购利率、CPI、货币供应量、股指波动率和债券市场换手率等作为控制变量因素。由于国内债券市场违约数据缺失严重，本文选取了债券信用评级的调整作为债券信用风险的度量指标，克服了市场数据缺失造成的研究限制。在理论分析基础之上，本文利用我国公司债市场数据，研究信用风险对债券定价的影响程度，得出了如下研究结论：对不同等级的债券，信用风险对债券利差的影响不同，信用等级越低，信用风险对债券利差的解释力越强；债券信用评级的变动会导致信用利差的变化，但是信用评级上调对债券定价的影响要小于信用评级下调所产生的影响。根据本文的实证结果可以发现，目前我国债券市场对信用风险的定价是比较有效的。 随着债券市场违约事件的陆续增多，信用风险对债券定价的影响也会逐渐增强。基于此，本文建议监管机构逐步放宽兑付强制要求，并利用私募债违约事件提醒投资者注意债券违约风险，同时积累债券违约后的市场应对、资产处置经验，如此才能够在公募债市场出现大型违约事件时合理应对，保障债券市场的稳定与投资者的利益。
英文摘要：	With the development of the bond market, the bond pricing mechanism is becoming increasingly mature in recent years. Since 2010, the bond defaults controversy continue to occur. The first bond default cases, which appeared in 2014, arouse the attention of investors to the risk of bond pricing. At the same time, the market share of SME private debt is growing, and the default incidents occur successively. The junk bond market is gradually forming. Under this circumstance, making research on the effects of the credit risk to the bond pricing, is helpful to understand the effectiveness of the bond pricing, predicting and promoting the development of the junk bond market. This paper constructed regression models based on quantitative analysis methods of credit spreads. Considering macroeconomic factors and liquidity factors, we choose the R007, CPI, M2, stock volatility and the turnover of the bond market as the control variables. Because of the domestic bond default data is lack seriouslly, we choose the dajuestment of credit ratings as the metric of the cresit risk. Based on the theoretical analysis, we use the corporate bond data as the sample, research the relationship between credit risk and bond pricing. We get the following conclusions: For different levels of bonds, the effect of the cresit risk to the credit spread id different. The lower of the bond ratings, the stronger of the explanatory power for the credit risk to the bond spreads on. Changes in bond credit rating will lead to changes in credit spreads, but the impct of rating raising to the credit spread is less than the impact of rating downgrades. The empirical results of this paper indicate that the pricing of credit risk is effective. With the growing number of default events in bond markets, the impact of credit risk on bond pricing will gradually increase. We recommends that regulators should gradually relaxed mandatory redemption of bond. remind investors of potional bond default risk, and accumulation experience of market response and asset disposal process after the bond defaults.
查看全文：	预览  下载(下载需要进行登录)