中国市政债券信用风险与发债规模研究

A Study of Credit Risk and Issue Volume of Municipal Bonds in China

本文首先参考美国发行市政债券的概况提出了市政债券违约风险的概念 ;随后利用KMV模型建立了市政债券信用风险模型 ,提出了计算理论违约概率的方法 ;然后利用北京与上海的财政收支数据分析不同发债规模下的信用风险 ,得出理论违约概率 ;为了更接近实际情况又提出了财政收入真实分布的概念 ,计算出基于真实分布的不同债务规模下的违约概率 ,并将信用风险与发债规模相联系 ,提出合理的发债规模。由此形成的市政债券信用风险的模型方法 。

Referring to the situation of municipal bonds in the USA, the basic concept of the default risk of municipal bonds is introduced. Then the default risk model for municipal bonds by borrowing the methodology of KMV model is constructed. When applying the model to Beijing's case and Shanghai's case, we compute the expected default probabilities corresponding to different possible issue volumes of municipal bonds in Beijing and Shanghai, respectively, both under the assumption of logarithm normal distribution/ normal distribution and with the real frequency distribution. Upon that result we get the safe issue volume of municipal bonds both in Beijing and Shanghai. This model could be applied to general cases.