我国主权部门债务风险评估及预警分析——基于资产风险市场价值的视角

Debt Risk Assessment and Warning Analysis of China's Sovereign Debt—— From the Perspective of the Market Value of Risk Assets

国家主权部门的债务是我国国家整体债务的主体并在逐年增加,国家主权部门资产的风险市场价值能否有效覆盖其债务是判断我国国家债务风险的核心所在。本文采用金融估值中的现金流折现法对我国主权部门资产的风险市场价值进行评估,并依据不同的市场风险溢价进行了估值的敏感度分析,并在此框架下分析我国主权部门的预期债务风险。研究发现,2011—2014年,在假定的中等风险参数的敏感度测试中,我国主权部门的资产风险市场价值已逼近对应年份主权部门总负债的水平,且此种逼近程度在逐年上升;而在设定的高风险极端情况的压力测试中,我国主权部门则会陷入资产风险市场价值低于负债的困境。

The debt from the sovereign sectors has increasingly become the major part of China＇s national debt. Whether the value at risk （VaR） of these sovereign assets, derived from the dynamic future earnings, which could cover such debt is essentially the core indicator for evaluating the sovereign solvency. This paper uses the Discounted-Cash-Flow method in fi- nancial valuation to assess the VaR of China＇s sovereign assets. The sensitivity analysis is conducted with different market risk premiums in the valuation. It finds that, during 2011 to 2014, based on the sensitivity analysis of the medium market risk premium, the assets＂ VaR had been declining and close to the total debt of the sovereign sectors. Based on the sensitivity analysis of the high market risk premium, the assets＂ VaR had become short of debt. Therefore, China＇s sovereign sectors would eventually face a situation of insolvency.