信用利差、违约概率与地级政府债务风险分类测度

Credit Spreads, Default Probability and Debt Risk Measurement of Prefectural Governments in China

本文将内部评级法中的违约概率、违约损失率和期望损失等概念引入我国地方政府债务风险的测度,并基于省级政府债券的发行利率和信用利差等数据,通过构建并估计一般债务和专项债务违约概率模型,对我国333个地级政府2014—2017年的一般债务风险和专项债务风险进行了估算,然后基于估算结果对其区域分布和纵向变动进行分析。基本判断是:无论一般债务风险还是专项债务风险,在不同区域之间存在较大的差异;从纵向变动来看,债务风险整体有所上升,但主要是由债务规模增长带来的,违约概率没有明显变化,并且债务风险主要集中在少数地级政府;从地方债务风险的构成来看,一般债务风险约占2/3,专项债务风险约占1/3,这一比例结构基本保持稳定。基于上述判断,本文提出治理管控地方债务风险的政策建议。

In this paper,the concepts of default probability,loss given default and expected loss in internal rating method are introduced into the assessment of local government debt risks.Based on the issuing interest rate and credit spreads of provincial government bonds,the default probability models for general debt and special debt are constructed and estimated,and the general and special debt risks of 333 prefectural governments in China from 2014 to 2017 estimated respectively,and the regional distribution and changes of these risks analyzed.The conclusions are as follows:Both general and special debt risks are different among regions,and are increasing due to the increasing debt scale,the change of default probability is not obvious,and furthermore,the debt risks are concentrated in a few prefectural governments.The general debt risks account for about two-thirds of the total debt risks,the special debt risks about one-third,and this proportion structure was basically unchanged between 2014 and 2017.Based on the above conclusions,this paper puts forward corresponding policy recommendations for governance and control of local debt risk.