Default Risk, Asset Pricing, and Debt Control

The pricing and control of firms’ debt has become a majorissue since Merton’s (1974) seminal article. Yet Mertonas well as other recent theories presume that the asset valueof the firm is independent of the debt of the firm. However,when using debt finance, firms may have to pay a premium foran idiosyncratic default risk and may face debt constraints.We demonstrate that firm-specific debt constraints and endogenousrisk premia, based on collateralized borrowing, affect the assetvalue of the firm and, in turn, the collateral value of thefirm. In order to explore the interdependence of debt financeand asset pricing of firms, we endogenize default premia andborrowing constraints in a production-based asset pricing model.In this context then the dynamic decision problem of maximizingthe present value of the firm faces an additional constraintgiving rise to the debt-dependent firm value. We solve for theasset value of the firm with debt finance by the use of numericaldynamic programming. This allows us to solve the debt controlproblem and to compute sustainable debt as well as the firm’sdebt value.     

我国财政债务风险分析

近几年大力扩张国债使我国潜在的财政债务风险浮出水面。为保证我国经济持续发展，2001年积极财政政策仍需继续发放国债，我国财政债务风险主要体现为中央财政债务风险较大，适度调整国债政策是防范中央财政债务风险的要求。加强外债管理，调整内债期限结构、持有者结构、完善偿债基金制度，尝试增发地方国债等措施，是化解中央财政债务风险的现实选择。     

Bias in an Empirical Approach to Determining Bond and Mortgage Risk Premiums

Empirical studies of bond and commercial mortgage performance often quantify a required risk premium by examining the difference between the promised yield and the realized yield as adjusted for default occurrence. These studies omit the effects of various other sources of risk, however, including collateral asset market risk, interest rate risk, and possibly call risk. These omissions downwardly bias the empirical risk premium estimate on the debt. In this paper, we disentangle and quantify the sources of this bias by modeling secured coupon debt (the commercial mortgage) as used in the calculation of a realized investment return. We consider deterministic and stochastic interest rate economies with mortgage contracts that are either noncallable or subject to a temporary prepayment lockout period. Given realistic parameter values associated with the term structure, underlying asset dynamics, and debt contracting, we show that the magnitude of the bias can be significant.     

从债务期限影响因素看中小企业债券市场发展

融资难是当前困扰我国中小企业发展的最大瓶颈,大力发展中小企业债券市场,是降低间接融资系统性风险、提高中小企业融资规模的重要途径。本文首先以上市公司债务期限结构为对象,实证研究影响市场资金供求双方的影响因素,在现阶段我国债券市场的市场制度、风险偏好、发行人资质等综合条件下,发行短期债券是当前中小企业发展最现实的选择,受信息不对称、违约风险等因素的影响,保障企业稳定发展的中长期资金难以获得。     

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。     

Pricing Sovereign Credit Risk of Poland: Evidence from the CDS Market

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default (PD) and loss given default (LGD) from the quotes of sovereign CDS contracts. We compare different specifications of the models allowing for both fixed and time-varying LGD, and we use these values to analyze the sovereign credit risk of Polish debt throughout the period of a global financial crisis. Our results suggest the presence of a low LGD and a relatively high PD during a recent financial crisis.     

Further Evidence on the Determinants of Secured versus Unsecured Loans

Using a unique data set collected from financial statements of all Singapore listed firms from 1983 to 1991, we provide international evidence on the determinants of the amount of secured loans as a fraction of total secured and unsecured loans. This data set comprises a much wider range of firms than most previous studies. We show that consistent with the agency-cost hypothesis, firms with more growth opportunities use more secured loans. This is in contrast to the opposite result reported in Barclay and Smith (1995b) who measure secured debt as a fraction of total long-term fixed claims. We also find strong support for the hypothesis that smaller firms use more secured loans. In contrast, Leeth and Scott (1989), using survey data on small firms, find an insignificant firm size effect. Finally, we show that the use of secured loans is positively related to asset riskiness and loan size, and is negatively related to asset specificity. Firm quality has no explanatory power.     

Multiple Credit Ratings, Cost of Debt and Self-Selection

Abstract:  In a world where firms pay for credit ratings and (because of regulatory requirements) where some investors must pay attention to the ratings of some specified set of raters, it may well be in the interests of a firm to seek a third 'optional' rating, beyond the standard 'mandatory' two ratings from Moody's and Standard and Poor's. The firm may get a better rating from the third major rater Fitch, which could save substantially on future debt issuance costs. In this paper I specify and estimate a structural self-selection model of the demand for optional credit ratings derived from their expected reduction effect on borrowing cost compared with the optional ratings' cost. Attention is focused on specifying the role of expected cost of debt savings in the derived demand for optional ratings; these are found to be empirically important determinants of the decision to request Fitch ratings.     

信用风险缓释工具定价研究

通过对信用风险缓释工具定价进行研究得出:(1)CRM定价的主要影响因素包括无风险基准利率,标的债券的风险敞口、违约概率、违约损失率和期限,以及CRM期限等。(2)同期国债利率和央行票据利率作为CRM的基准利率较为恰当,且模型定价对不同期限、不同信用等级的CRM定价区分度较为合理,模型定价与CRM发行交易定价较为接近,适合我国现阶段CRM产品定价。(3)可以从完善CRM定价基础数据库、探索CRM定价无风险基础利率、创新CRM标的债券评级制度、引导CRM市场主体多元化和优化CRM市场做市商制度等方面提出CRM定价优化对策。     

基于银行同业网络与资产重叠的金融风险传染研究

本文分析当银行遭受不同类型初始冲击时,传染概率、传染范围、损失程度随资产多样化程度、初始冲击程度变化的分布情况。研究表明,在两类传染途径共同作用下,资产多样化程度和初始冲击程度很低时风险传染概率与范围仍呈现较高水平,资产多样化程度较高时风险传染概率与范围呈现较低水平;不同网络结构中资产多样化对于初始冲击具有不同的吸收能力,且传染范围呈现出明显的由稳定转向非稳定的相变过程;在传染范围稳定的区域,损失程度仍随资产多样化程度的增加而增大。     

Distressed Debt Restructuring in the Presence of Credit Default Swaps

The availability of credit insurance via credit default swaps has been closely associated with the emergence of empty creditors. We empirically investigate this issue by looking at the debt restructurings (distressed exchanges and bankruptcy filings) of rated, nonfinancial U.S. companies over the period January 2007–June 2011. Using different proxies for the existence of insured creditors, we do not find evidence that the access to credit insurance favors bankruptcy over a debt workout. However, we document higher recovery prices following a distressed exchange in firms where empty creditors are more likely to emerge.     

财政风险与国债结构管理--从国债再融资角度的分析

国债风险是财政风险中的核心内容，控制风险的思路不能囿于国债总量的控制，还要注重国债结构管理所能发挥的作用。本文从国再融资资风险的角度，分析了国债结构管理在防范财政风险中的作用，并对我国国债现状进行了实证分析。最后，笔者提出，为降低我国财政风险，目前应该增加长期债券比例，形成一个均衡的债务期限。     

管理者团队特征、金融资产配置与实体企业信用风险

基于实体企业信用风险视角,本文探讨金融资产配置效果,并考察管理者团队特征对金融资产配置效果的调节作用。研究发现,增加金融资产配置可减少实体企业信用风险,但长期看,金融资产的风险缓冲作用在逐渐减弱;管理者团队年龄越大、任期越长的企业,越倾向于增加金融资产配置,这有助于减少实体企业信用风险,而管理者团队学历对金融资产配置与信用风险之间的调节作用不明显。进一步研究发现董事长年龄越大、任期越长,管理者团队的年龄及任期对金融资产配置效果的影响越弱。本文研究拓展了实体企业配置金融资产的经济后果分析,对优化管理者团队结构、降低企业信用风险具有启示意义。     

信用违约风险传染模型的比较研究

本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免.     

Initial Technical Violations of Debt Covenants and Changes in Firm Risk

The purpose of this paper is to investigate whether initial technical debt covenant violations are associated with significant increases in the equity risk of violating firms. Our results indicate that first-time violations are associated with significant increases in both systematic and unsystematic risk. The increase in systematic risk is attributable primarily to rising levels of financial leverage as opposed to changes in the underlying asset beta. We also find that the change in unsystematic risk experienced by first-time debt covenant violators is a significant predictor of future exchange delisting, even after controlling for other factors typically associated with increasing financial distress.     

地方政府借款的潜在风险分析

本文从地方政府多种关系冲突和商业银行对地方政府贷款风险认识不足入手,揭示地方政府借款存在的潜在风险,并力图通过对地方政府借款主体的合法性、借款用途的合理性、借款资金贷后划转规范性、第一和第二还款来源的稳定性和可靠性、担保措施的可信性和长效性等风险的剖析,呼吁地方政府和商业银行在刺激内需热潮中,保持清醒头脑,控制住地方政府的借款额度,防止还款来源资金的断裂。     

基于增长效应和风险效应下地方债务适度规模研究

自2015年开启地方政府债务置换以来,地方债务风险得到极大缓释、债务成本明显下降,但债务余额经历了由降反升、升势不减的态势,地方政府"开前门"加速发债问题亟须关注和审慎评估。为此,本文选取全国地方债务率、GDP增速及地区信用风险水平等数据,运用Hansen的非线性的面板门槛估计方法,从经济增长和风险效应两个维度得出地方债规模的合理区间;在此基础上考量全国各个省份地方政府债务情况和存在问题,进而提出针对性的政策建议。     

金融信用评级与信用违约互换的风险定价研究

信用违约互换作为一种信用衍生产品通过转移信用风险为信用风险管理带来了深刻变化,其定价问题值得深入研究。通过对违约强度的建模给出两种违约模型——结构性模型、简约模型,结合信用评级制度发现了一个公司的违约强度与其所处的评级之间的关系,使用马尔科夫链建模该公司的信用等级转移状况证明其违约强度为马氏调节过程。该模型增加了模型参数,得出了具有较强操作性的信用违约互换定价公式,并对金融危机下信用违约互换的前景进行了展望。     

金融风险、政府救助与主权信用风险

本文构建政府、企业、银行的三部门经济模型,研究政府救助行为对主权信用和金融风险的影响,理论模型指出政府对金融救助所增发的债务越多,财政缺口引发的主权信用风险越高;被救助银行作为政府债券的持有者和被担保者,其风险随着主权信用风险上升而上升。实证检验结果表明:在控制了保障性支出等经济社会因素后,政府债务增长率对主权信用违约互换价差存在显著的正向影响;在政府救助后,主权部门与金融部门之间形成了风险"闭环"。     

Sovereign Defaults,Credit to the Private Sector,and Domestic Credit Market Institutions

Sovereign defaults are associated with declines in foreign and domestic credit to the domestic private sector. This paper analyzes theoretically whether sovereign defaults can lead to this decline, even if domestic agents do not hold sovereign debt. It also studies whether the quality of domestic financial institutions affect the magnitude of this effect. In order to address these issues, the paper embeds the traditional sovereign borrower/foreign creditors relationship of the sovereign debt literature in a macromodel where widespread individual financial constraints limit a country's ability to reallocate resources. The paper finds that sovereign defaults can indeed generate a decline in foreign and domestic credit even if domestic agents do not hold sovereign debt, and that stronger domestic financial institutions can amplify this effect. These findings constitute a new step toward understanding the costs of sovereign defaults.