科研管理

科研管理 ›› 2016, Vol. 37 ›› Issue (5): 150-160.

• 论文 • 上一篇    

地方政府债券信用风险与发行限额研究——基于Credit Metrics模型的分析

孙东升,徐志伟   

  1. 对外经济贸易大学金融学院，北京100029
  • 收稿日期:2015-10-10 修回日期:2016-03-09 出版日期:2016-05-20 发布日期:2016-05-06
  • 通讯作者: 孙东升
  • 基金资助:

    国家社会科学基金（12BGL023）：地方融资平台信用风险压力测试研究（2012-2016）；教育部人文社科基金（12YJA790114）：地方政府融资平台违约率的估算与风险防范——基于宏观压力测试的研究（2012-2016）。

A research on the credit risk and issue limit of local government bonds

Sun Dongsheng, Xu Zhiwei   

  1. School of Banking and Finance, University of International Business and Economics, Beijing 100029, China
  • Received:2015-10-10 Revised:2016-03-09 Online:2016-05-20 Published:2016-05-06

摘要： 本文借鉴商业银行经济资本的管理思路，将地方政府的可偿债财政收入和可出售资产作为覆盖风险的“资本”。选取2014年12月31日合肥市18只未到期中期城投债为样本，基于CreditMetrics模型，利用银行间债券市场的国债利率和信用风险溢价调整远期贴现率，采用国内评级机构提供的信用风险转移矩阵计算单只城投债的VaR，引入Copula函数估计相关系数矩阵，并通过MonteCarlo模拟得到城投债组合的VaR，最后结合合肥市财政收入和政府资产的相关数据，确定合肥市地方债券的发行限额。

关键词: 地方债券, Credit Metrics模型, VaR, 发行限额

Abstract: In the context of bank economic capital management, the economic capital of a municipality, defined as its revenue available for debt servicing and salable asset, covers its debt and can be used as a guideline to set debt limit. Utilizing the CreditMetrics Model enhanced by copula function, this paper presents an empirical analysis to determine the debt limit for municipal bond issuance, with a sample of 18 unmatured intermediate-term municipal bonds issued by the city of Hefei. We first derives discount rates of forward zero curves with 5-year government bond yields in the inter-dealer market adjusted by credit risk premiums. Then along with the credit quality transition matrix provided by domestic rating firms, the paper calculates VaR’s for individual bonds. With MonteCarlo simulation and correlation matrix estimated with copula functions, we arrive at the portfolio VaR. Comparing the VaR with economic capital will help to determine Hefei’s debt limit.

Key words: local bonds, Credit Metrics model, VaR, issue limit