中国企业债券潜在违约风险评估研究.pdfVIP

摘 要 信用风险度量在发展历程上主要经历了两个阶段，完全信息下的信用风险度量和不 完全信息下的信用风险度量，随着研究的不断进步，不完全信息的度量方法称为了主流。 本文用物理学上滤波的概念来度量信息，进而用延迟滤波来度量不完全信息，随着时间 的推移，信息由粗到精，从而可以过滤信息中的噪音，从而更精确地预测公司未来的违 约概率。本文在延迟滤波的框架下，建立了违约概率的数理模型，并利用中国企业债券 数据通过实证研究探讨了中国企业债违约风险问题。主要研究结论：（1）提出了一种在 没有历史累计违约数据的情况下估计企业违约概率的方法，这一方法对于研究新兴市场 国家的企业违约有一定的借鉴意义；（2）企业违约强度主要取决于潜在的公共因素和公 司具体因素，与发债期限的长短无关；（3）政府或银行的信用担保，将使企业违约动机 增强，这一点可以从企业信用级别的迁移中得到佐证。 关键词：企业债券、违约风险、延迟滤波、违约概率 I Abstract The development of credit risk experience two main stages,measurement under complete information and incompletement information environment. As the study progresses,measure credit risk under incompletement information become the main method.In this paper,we use the physics instrument-filtration to measure information,one step closer,we use delayed filtration to measure incomplete information.As the time goes on, delayed filtration can change the information structure and filtrate the “noise”, so that we can forecast the default probability of the firm in the future exactly.This paper establish the mathematical model of default probability under delayed filtration and empirically study the default risk of China corporate bonds. The theory model and empirical results show that: firstly, a method to estimate default probability of corporate bonds under the conditions of lacking of historical accumulated credit default data which is useful for emerging markets; Secondly, the default intensity mainly depend on the potential public factors and the particular factors of the corporations rather than term of bonds; Thirdly, The guarantees of government and banks will enhance the default incentive of the firms which can be proved by the credit ranks trans