国有企业债券违约及处置机制

国有企业是资本市场稳定运行和健康发展的“压舱石”,也是债券风险防控的“牛鼻子”,探究国有企业债券违约成因及处置有利于我国债券市场健康发展。通过梳理2014年以来国有企业信用类债券违约情况及有关处置方式,分析相关趋势特征及对地方经济发展造成的影响,结合债券违约处置相关政策研究并提出国有企业债券违约风险防范的措施意见,为我国债券市场健康持续发展提供借鉴。     

债券违约对流动性影响的传染效应研究

2014年以来我国信用债市场违约事件频发,信用风险的积聚可能引发债券市场流动性恶化。本文以2014―2019年交易所和银行间市场信用债为研究对象,实证考察违约事件对债券流动性影响的传染效应。研究发现:违约事件在同一发行主体的债券之间具有流动性传染效应,当公司的某期债券出现违约时,公司其他未到期债券的流动性水平显著下降;违约事件对同行业其他公司债券的流动性具有传染效应,当行业中出现债券违约事件时,行业内其他公司的债券流动性显著降低;违约事件爆发越密集或者违约事件越严重,对债券流动性的负面影响越大,而且民营企业债受到的影响要大于国有企业债,低信用等级债受到的影响要大于高信用等级债;在市场密集爆发违约事件或出现较为严重的违约事件时期,宏观流动性增加能够改善债券流动性。     

浅析近年来我国债券违约的风险特征及原因

自2014年以来,我国债券市场"零违约"的神话被打破,债券市场的违约事件频频发生,违约数量逐年攀升,资金规模不断扩大,2018年债券的违约数量与资金规模更是高涨,其数量及规模均在2017年的3倍以上。本文将就近年来债券市场违约的风险特征进行整理并就其原因进行分析。     

债券违约因素及风险规避

债券发行一直以来都是重要的融资手段之一,这一模式在国外已经成熟,也渐渐成为我国企业的融资渠道。截止到2018年,我国债券规模总计达到47.7万亿元,同比增长约16.9%。但2018年也是我国实质性债务集中爆发的一年。根据Wind资讯2018年违约债券数量达119支,总规模为1166.51亿元。就数量或规模而言,单2018年所发生的债务违约已超过前三年(2015-2017)的总和。在2015年之前,由于债券市场存在着"刚性兑付",所以并无实质的债务违约情况,但"11超日债"打破了长期以来的情况,成为了首个实质性债券违约。同时这也预示了市场中信用风险正在加大,因此对有关债券违约原因的研究与预判也是有着充分必要的。通过对国内债券违约市场的整体分析以达到规避可能的债券违约风险的研究目的。     

山水集团债券违约的原因及启示

2014年-2016年期间,我国的债券违约事件迅猛增长。2016年,在国家去库存、去产能、去杠杆的要求下,一系列产能过剩、抗风险较弱的企业出现了债券违约现象。本文选取了山东山水水泥集团这一典型案例,结合其财务状况,对其债券违约的过程、原因进行梳理,从完善债券市场机制、改善企业财务状况、提高风险应对能力方面提出我国企业防范债券违约的措施。     

违约风险与流动性风险对债券利差影响的交互效应

本文基于双向固定效应模型的实证研究结果表明,违约风险、流动性风险和风险交互均会对债券利差产生影响,其中风险交互对债券利差的影响最强,提高了流动性风险与违约风险对债券利差的边际效应。通过分析不同违约风险与流动性风险组合下的风险交互对债券利差的影响差异,发现风险交互效应与违约风险和流动性风险的风险等级不存在必然联系,中（低）风险组合的债券可能存在高风险交互效应,因而在受到负面冲击时可能发生实质性违约。     

我国债券市场违约处置机制及改革路径研究——以中国首家房地产美元债违约为例

2018年,国内债券市场违约金额超过历年之和。完善市场化、法治化的违约债券处置机制,成为当前债券市场深化改革的重中之重。本文分析了目前对债券违约的主要处置方式。从实践看,发行环节保护不足、交易环节流转不畅和处置环节约束不强三大问题依然突出,尤其是违约债券无法市场化流转,成为市场呼声最大的痛点。2014年,佳兆业集团因境外美元债违约,成为首家在海外违约的内地房地产企业,但其通过历时2年的债券重组,成功走出困境。其间,违约债券可继续自由交易,以及条款的创新和完善的处置,为探索我国市场化债券违约处置机制及改革路径提供了有益借鉴。为破解国内违约债券的处置难题,本文建议,应尽快推出市场化流转机制,合理设计债券条款,以实现保护投资者和发行人的双重目的;同时,还应完善有关的法律制度。     

Default Risk and the Duration of Zero Coupon Bonds

This paper applies a contingent claims approach to examine the duration of a zero coupon bond subject to default risk. One replicating portfolio for a default-prone zero coupon bond contains a long position in the default-free asset plus a short position in a put option on the underlying assets. The duration of the bond is shown to be a weighted combination of the duration of the default-free bond and the put option. The duration is less than maturity and is not an immunizing duration. The technique is then extended to subordinated debt.     

Pricing Bonds and Bond Options with Default Risk

The pricing of bonds and bond options with default risk is analysed in the general equilibrium model of Cox, Ingersoll, and Ross (1985). This model is extended by means of an additional parameter in order to deal with financial and credit risk simultaneously. The estimation of such a parameter, which can be considered as the market equivalent of an agencies' bond rating, allows to extract from current quotes the market perceptions of firm's credit risk. The general pricing model for defaultable zero-coupon bond is first derived in a simple discrete-time setting and then in continuous-time. The availability of an integrated model allows for the pricing of default-free options written on defaultable bonds and of vulnerable options written either on default-free bonds or defaultable bonds. A comparison between our results and those given by Jarrow and Turnbull (1995) is also presented.     

欧洲高收益债券市场违约风险监管研究

多年以来,欧洲一直是仅次于美国的世界第二大高收益债券市场。除了债券自身信用评级水平之外,欧洲高收益债券违约率的高低与市场监管力度以及宏观金融经济运行状况密切相关。欧洲监管当局把对高收益债券市场的监管重点放在:规范市场信息披露及信用评级标准和行为、保护投资者权益、保持交易行为的规范性和跨国界市场交易衔接处理等方面,这些监管策略的实施对控制市场违约风险起到了积极的作用。欧洲的监管经验对于今后我国高收益债券市场的尝试性推出也极具借鉴意义。     

Is Default Event Risk Priced in Corporate Bonds?

This article provides an empirical decomposition of the default,liquidity, and tax factors that determine expected corporatebond returns. In particular, the risk premium associated witha default event is estimated. The intensity-based model is estimatedusing bond price data for 104 US firms and historical defaultrates. Significant risk premia on common intensity factors andimportant tax and liquidity effects are found. These componentsgo a long way towards explaining the level of expected corporatebond returns. Adding a positive default event risk premium helpsto explain the remaining error, although this premium cannotbe estimated with high statistical precision.     

Original-Issue Systematic and Default Risk Pricing Efficiency of Speculative-Grade Bonds

We investigate whether primary market, original‐issue risk premiums on speculative‐grade debt are justified solely by expected defaults or whether these risk premiums also include other orthogonal risk components. Studies of secondary‐market holding period risk and return have hypothesized that risk premiums on speculative‐grade debt may be explained by bond‐ and equity‐related systematic risk and possibly other types of risk. Using an actuarial approach that considers contemporaneous correlation between default frequency and severity and first‐order serial correlation, we cannot reject the hypothesis that the entire original‐issue risk premium can be explained by expected default losses. This suggests that speculative‐grade bond primary markets efficiently price default risk and that other types of risk are priced as coincident as opposed to orthogonal risks.     

The Pricing Formula for Commodity-Linked Bonds with Stochastic Convenience Yields and Default Risk

At the maturity, the owner of a commodity-linked bond has the right to receive the face value of the bond and the excess amount of spot market value of the reference commodity bundle over the prespecified exercise price. This payoff structure is an important characteristic of the commodity-linked bonds. In this paper, we derive closed pricing formulae for the commodity-linked bonds. We assume that the reference commodity price and the value of the firm (bonds' issuer) follow geometric Brownian motions and that the net marginal convenience yield and interest rate follow Ornstein–Uhlenbech processes. In the appendix, we derive pricing formulae for bonds which are the same as the above commodity-linked bonds, except that the reference commodity price in the definition of the payoff at the maturity is replaced by the value of a special asset which depends on the convenience yield. This revised version was published online in August 2006 with corrections to the Cover Date.     

国有企业债券集中违约风险与对策研究

社会主义市场经济是法治经济和信用经济的有机统一,而企业信用尤其国有企业信用是我国市场经济持续健康发展的重要基石.针对近期频繁发生的国有企业债券违约风险及其根源进行研究后发现:国有企业债券频繁违约甚至恶意违约,容易导致国有企业的信用体系坍塌,并释放区域系统性金融风险和当地金融生态严重恶化的信号;究其原因,尽管有经济增长放缓、新冠肺炎疫情冲击、叠加市场大幅波动的外部原因,但根源还是在于这些国有企业“重投资的规模和速度情结”“重债务的融资和管控失序”和“经营恶化和现金流失控”等内部原因.为此,建议从推进国有企业债务透明度建设、建立国有企业债务风险预警系统、强化国有企业债券违约问责机制、完善国有企业投融资决策制度等四个方面着力防范化解国有企业债券违约风险,实现国有企业高质量发展.     

可回售条款与债券违约风险关系研究

近年来,随着可回售债券发行数量的增多,债券违约事件数量整体也呈现上升的趋势。本文在分析2014年至2020年6月末我国债券违约情况的基础上,结合债券发行时间对可回售条款选择的现有理论,得出可回售权和债券违约密切正相关的理论命题,并运用PSM(倾向得分匹配)和Logit模型实证检验回售权和债券违约的定量关系。结果表明:与未含有回售权债券相比,含有可回售权债券违约率更高,且公司未来经营变差的可能性更大。     

An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps

We test the theoretical equivalence of credit default swap (CDS) prices and credit spreads derived by Duffie (1999) , finding support for the parity relation as an equilibrium condition. We also find two forms of deviation from parity. First, for three firms, CDS prices are substantially higher than credit spreads for long periods of time, arising from combinations of imperfections in the contract specification of CDSs and measurement errors in computing the credit spread. Second, we find short‐lived deviations from parity for all other companies due to a lead for CDS prices over credit spreads in the price discovery process.