基于Credit Metrics模型的地方政府债券保险费率厘定

The Premium Rate Setting of Municipal Bond Insurance Based on Credit Metrics Model

在发达债券市场,债券保险是一种为发行者提供增信服务和为投资者提供风险保障的重要工具。债券保险产品创新的核心是费率的厘定。借鉴贷款保证保险的定价思路,选用Credit Metrics模型为地方政府债券保险进行定价,在实证分析时借用美国市政债发行主体的信用等级迁移概率、历史违约率等数据,分别计算了一般责任债券和收益类债券中投资级别和投机级别债券3年期和5年期的费率水平。并提出从建立信用风险数据库、提高信用评级技术水平、选择合适的运营模式、完善监管制度四个方面来推动实施地方政府债券保险。

As an important tool in the developed bond market,bond insurance usually has been applied to increase the issuer’s credit level and offer security for investors.The core of bond insurance product’s innovation is rate determination.This paper applies the Credit Metrics model to set the price of municipal bond insurance by refering to the pricing modes of loan guarantee insurance.The data including the probability of migration of credit rating,historical default rate and so on in the United States is used because the municipal bond market in U.S is composed of obligation bond and non-obligation bonds which are classified into investment grade and speculative grade respectively.This paper calculates the premium rate of the above two bonds with maturity of 3-year and 5-year and puts forward some advices such as setting up a database of credit risk,enhancing technological level of credit rating,selecting appropriate operation pattern and improving regulatory system.