摘要
本文初步分析了公司债市场的潜在风险来源及可能触发的机理,从中长期发展的角度剖析了交易所公司债市场的内部风险,以及可能外溢到整个公司债市场进而引发的系统性危机的风险。通过与其他市场的流行性、信用利差比较,实证分析了公司债市场的潜在不足;基于压力测试,测算了极端情况下房地产行业和整个市场出现大规模信用违约对市场稳定性的冲击,评估了公司债市场对潜在大规模违约风险的承受能力。在此基础上,本文提出了公司债市场风险控制的原则及相应的风险预警指标体系,并就公司债如何应对中长期发展风险和短期的重大冲击风险给出了相应的政策建议。
This paper analyzes the sources of potential risks in the corporate bond market and the possible trigger mechanism. In the perspective of the medium and long run, the internal risk the public-traded corporate bond market and the systemic risk caused by the spilling over effects of the corporate bond market, are also be analyzed. This paper then empirically studies the potential risk of the corporate bond market through comparisons of liquidity and credit interest spreads with other markets, measures the pressure on the market stability of the defaults from the real estate market and the bond market as a whole under extreme scenarios using the stress testing method, and estimates the risk-bearing capacity of the corporate bond market. Finally, this paper proposes the principles for risk controlling and constructing a risk early warning system in the corporate bond market, and some policy suggestions for dealing with the long term risk and the short term large shocks of the corporate bond market.
出处
《金融监管研究》
北大核心
2018年第5期97-109,共13页
Financial Regulation Research
基金
中国证券业协会2017年重点课题研究优秀课题报告<公司债市场的风险预警与控制研究>的部分内容
广东省自然科学基金重点项目(项目编号:2016A030311027)资助
关键词
公司债
债券市场风险
风险预警
压力测试
Corporate Bond
Bond Market Risk
Risk Early-warning
Stress Testing
