地方政府债券信用风险缓释工具定价研究

Pricing of Credit Risk Mitigation Tools for Local Government Bonds

随着地方政府债券发行规模的扩大,地方政府债务的信用风险日益凸出。本研究以企业债信用风险缓释工具的推出为契机,借鉴结构化模型的思路和KMV模型求解违约概率的逻辑,通过Monte Carlo方法模拟地方政府的违约过程,直接测算地方政府的整体违约概率;结合简约化模型的思路测算地方政府债券的具体违约概率,计算信用风险缓释工具的理论价格,从而构建了地方政府债券信用风险缓释工具的混合定价模型。研究发现,以企业债券为标的测算出的模型理论价格与市场报价基本一致,参数的敏感性检验进一步验证了模型的理论自洽性和实证可靠性。上述结论或将为新《预算法》实施过程中地方政府债务的治理与掌控及中国区域性、系统性金融风险的防范提供新思路。

With the expansion of the scale of local government bonds,the credit risk of local government debt is increasingly prominent.This study takes the launch of credit risk mitigation tools for corporate bonds as an opportunity to learn from the idea of structured model and the logic of KMV model to solve the default probability.By the Carlo method we simulate the default process of local government,directly calculate the overall default probability of local government;combined with the idea of simplified model,we calculate the specific default probability of local government bonds,the theoretical price of credit risk mitigation tools,thus construct the mixed pricing model of credit risk mitigation tools of local government bonds.It is found that the theoretical price of the model based on corporate bonds is basically consistent with the market quotation,and the sensitivity test of parameters further verifies the theoretical self consistency and empirical reliability of the model.The above conclusions may provide new ideas for the governance and control of local government debt and the prevention of regional and systemic financial risks in China during the implementation of the new budget law.