经济下行压力下地方政府融资平台违约率的估算

Estimation of Local Government Financial Platform Default Ration Under the Economic Downward Pressure

本文选取820家地方融资平台自2005-2013年的财务数据，采用利息保障倍数作为信用风险度量的指标，分别设定利息保障倍数为1、3、5三种情景作为判定违约的临界值，基于CPV信用风险模型，将GDP增长率、贷款利率、政府收支缺口率作为压力测试因子，运用历史情景分析法进行宏观压力测试。测试结果表明：在宏观经济受到轻度冲击时，地方融资平台的潜在违约率介于4．63％～48．33％之间；在宏观经济受到中度冲击时，地方融资平台的潜在违约率会上升至10．17％～71．88％之间；在宏观经济受到重度冲击时，地方融资平台的潜在违约率进一步上升至15．48％～81．88％之间。

This article selects more than 820 local financing platforms＇ financial data from 2005 to 2013, uses the interest coverage ratio as the credit risk measurement index, and respectively sets up the coverage ratio for 1,3 and 5 as the threshold for the default. Based on the CPV credit risk model, the authors choose GDP growth rate, loan interest rate, and the government revenues and expenditure gap ration as stress testing factors to conduct stress testing by the way of historical scenario analysis. The results show that ： when macroeconomic suffers moderate shocks, the potential default rate of local financing platform is between 4.63% and 48.33% ;when macroeconomic suffers moderate shocks, the potential default rate of local financing platform rises to 10. 17% - 71. 88% ; when macroeconomic suffers severe shocks, the potential default rate range of local financing platform further rises to 15.48% - 81.88%.