公司信用债违约风险预警与防范研究

我国债券规模位居世界第二,债券市场已成为企业直接融资的主要渠道;同时我国公司信用债违约频发,违约主体几乎涵盖了全部行业,永煤AAA债券违约事件引发各方关注。在此背景下,本文研究了信用债违约风险预警与防范,搭建了债券违约预警模型:一是深入分析了违约原因,提出了"经济下行加剧‘债务-通缩’""流动性分层导致再融资困难""民企互保引发违约风险串联"的观点;二是基于KLR信号分析法,以历史违约主体财报数据为基础构建了上市公司债违约预警模型,抽离出相关指标权重构成预警指标体系,并进行了实证检验;三是基于预警模型,提出加强动态监测、构建债券风险分类管理办法等政策建议。

Research on Early Warning and Prevention of Default Risk of Corporate Credit Debt

China’s bond scale ranks second in the world,and the bond market has become the main channel of direct financing for enterprises.At the same time,the default of corporate credit bonds in China is frequent,and the defaulting entities cover almost all industries.The default of Yongmei AAA bond has aroused the attention of all parties.Under this background,this paper studies the early warning and prevention of default risk of credit bonds,and builds a bond default early warning model.First,the reasons for defaults are analyzed in depth,and the viewpoints that“economic downturn aggravates‘debt-deflation’”,“liquidity stratification leads to difficulties in refinancing”and“mutual insurance of private enterprises leads to the series of default risks”are put forward.Second,based on KLR signal analysis method,the early warning model of debt default of listed companies is constructed on the basis of the financial report data of historical defaulting entities,and the relevant index weights are extracted to form the early warning index system,which is tested empirically.Thirdly,based on the early warning model,this paper puts forward some policy suggestions,such as strengthening the dynamic monitoring and constructing the classified management method of bond risk.