地方融资平台违约损失的估算-金融学专业论文.docx

摘 要 地方融资平台是中国经济的特色产物，相比于西方发达国家完善的地方财税 体系和高效的地方债券发行体制，中国的地方政府一直缺乏有效的融资路径和制 度安排。从全国来看，地方融资平台不仅经营管理效率低下，而且资产结构并不 健康。在中国经济高速发展的时代，地方融资平台的种种问题，均被强有力的经 济增长所掩盖，一旦经济出现危机，规模庞大的地方融资平台贷款极有可能引发 一系列的问题。 本文旨在从通过一定的计量方法，估算出地方融资平台的债务违约损失。地 方融资平台是地方政府进行融资的重要媒介，普遍呈现出资产规模庞大，经营业 务与公共事业高度相关，盈利相对稳定，资产价值波动不大的特征。利用这些因 素，本文在风险中性定价的逻辑框架下，利用期权公式，计算权益价值的内在价 值与账面价值之差，由风险收益对等思想，推导出了资产违约损失估算模型。然 后，对地方融资平台的资产风险状况，进行了实证分析。 本文的主要结论有： （1）地方融资平台一般具有较大规模，资产价值相对稳定。当前，地方债 务违约损失率不高，但违约概率明显高于普遍预期。 （2）违约损失率成正偏态分布，并无明显的厚尾现象。压力测试下，违约 损失率出现了明显增加，最敏感的因素是资产负债率。 关键词：地方政府融资平台，信用风险，违约损失率，宏观压力测试 Abstract The local financing platform to raise funds is a characteristic in China. Compared to more perfect local taxation system and efficient bond issuance system in western developed countries, China has been lacking in effective financing path and system arrangement. Nationally, the management of the local financing platform is inefficient, and the asset structure is not healthy. With Chinas economy growing rapidly, local financing platforms credit problems are concealed. Once the economy slows down, the huge local financing platform loans are likely to be a series of problems. The purpose of this paper is to find a way to estimate the default loss of the local financing platform. The local financing platform is an important medium featured in large scale of asset, close association with the cause of the public business, and relatively stable profitability. According to these factors, under the logic framework of the risk neutral pricing, this paper uses options formula of calculating the difference between the intrinsic value of the equity value and the book value, with the risk of revenue equivalence ideas. Then, the asset default loss estimation model is deduced. At last, empirical analysis of the assets of the local financing platform risk situation will be carried on. The main conclusions of this paper are as follows: The local financing platform generally has a large scale, and asset values are relatively stable. A