主权债务危机视角下的主权风险分析
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摘要
2008年金融危机以来,主权债务危机频发,许多国家主权风险激增,主权债务危机成为金融危机后影响区域经济发展和金融稳定的主要因素。由于导致主权风险增加的因素过于复杂,并且各种要素在各国风险中的权重不同,很难有统一的衡量标准,另外,部分因素无法定量分析,那么在主权风险评级中定性的分析结果就导致不同的评级机构对同一评级对象产生评级差异。研究趋势是对主权信用风险进行量化分析,以形成一个测量主权风险的相对统一的标准。提高对主权信用违约的预测能力。为此本文进行了如下分析：
首先,本文回顾了主权信用风险分析的各种理论与相关文献,对主权风险分析的现状和存在的一些争论进行了论述。同时,对主权风险和国家风险的定义进行了区别,对主权风险的各种学术概念进行分析,界定出本文所要使用的主权风险的概念,并介绍了本文的研究思路。
其次,对主权风险的各种分析框架进行了论述评价,对主权信用风险分析的各种方法进行了比较,指出了各种方法的优点与不足,引出本文所要使用的理论基础,并对该理论基础进行了阐述。
本文在测量主权风险时主要是以结构信用风险模型为基础,并对该结构信用风险模型进行修正使其符合国家所具有的特性。这种模式不同于目前信用评级机构的主权风险评价方式,传统的主权风险分析基于宏观经济指标以及预期、无法量化的政治风险以及抗冲击能力、金融系统的稳定性、融资能力和包括国际贸易平衡、经常账户融资和资本流动以及外部债务的可持续性在内的外部融资能力,这些因素之间的关系也是很难预测的,因此传统的主权风险分析中的分析模式使主权风险的精确度下降。为了增加主权债务违约’的可预测性,提高主权风险分析的准确度,以莫顿模型为基础推导了出本文中所使用的分析模型。
本文通过为主权国家构建一个市场化的资产负债表,使其符合信用风险分析的特性,同时对主权国家与企业之间的差别进行分析比较,对原信用风险评价模型进行修改,然后推导出测量和分析主权风险的指标,其中包括违约距离、违约概率和信用利差。在第四部分使用12个新兴主权经济体数据来验证信用风险指标和市场数据之间的关系,检验信用风险分析指标的稳定性和相关性,以及检验分析指标的实用价值,使用该分析方法对特定主权国家的主权信用风险进行测量和分析。
最后,本文给出了基于或有权益法分析主权风险的建议,对于主权信用风险分析给出了简易的结果解释。使用或有权益分析法验证了希腊主权风险走向和趋势,说明或有权益法可以用于国家主权信用风险的实际分析和测算,并且相对机构评级有更加突出的特点。
目前主权债务违约事件在经济周期处于衰退或是下滑阶段时,爆发的概率比较大,传统意义上依靠主权评级机构对主权风险的垄断评级方法已经变的不合时宜,存在的不足和缺陷也在此次金融危机中充分显露,同时评级中存在的多种标准也使得主权评级带有一定的歧视性色彩,其严重的滞后性和标准的非一致性对许多的国际市场投资者带来了损害。因此,主权债务违约事件频发要求对主权债务违约的分析和测量建立在更为客观、更为科学和更为公正的评价模式上,这样才能保持国际市场的稳定和全球经济的持续发展。
Since financial crisis in 2008, sovereign debt crisis broke up in many countries, sovereign debt crisis affecting regional economic development and financial stability in main factors. The factors that lead to sovereign risk in too complex, such as the various elements of risk analysis have different weight in different countries. It is hard to form same standards, and many factors can not be quantitative analysis, so the different rating agencies lead to different results in sovereign risk rating in the qualitative analysis. The main objective of this article is to form a uniform standard on measuring sovereign risk and improve the ability on prediction of sovereign credit default. Then are the main contents of this paper.
First, review the theories of sovereign credit risk analysis and compare the various methods on sovereign risk analysis, and point out the advantage and disadvantage of each method. Meanwhile, make the distinction between the definition of sovereign risk and country risk. And define the concept of sovereign that will be sued in this paper. Then we introduced the idea of this study.
Secondly, the framework of different sovereign risk analysis methods are discussed, and we point out the main theoretical and target of this paper.
The method of measuring sovereign risk is based on structural credit risk models, and makes the model conform to the characteristics of countries. This models is different from traditional sovereign credit risk, the traditional sovereign credit risk base on macroeconomic indicators and the expected, unable to quantify the impact of capacity and capacity, static public financial data, financial system stability, financing capacity, international trade balance, current account financing, capital flows and so on. The relationships between these factors are different to predict, so the capacity of traditional sovereign credit risk analysis methods are decline. Sovereign debt default in order to increase predictability of predicts and improves the accuracy of sovereign risk analysis.
In the next chapter, build a market-based balance sheet for sovereign sate to match the characteristics of credit risk analysis, depend on the differences between sovereign states and enterprises changes the original credit evaluation model. Then derive the indicators that can measure sovereign credit risk, including the default distance, probability of default and credit spreads. In the fourth part of the paper I use the date of 12 emerging economics to verify the credit risk indicators, testing the stability of the indicators, as well as inception and analysis the practical value of these indictors.
Finally, introduce the concept of debt crises and the solutions methods of sovereign debt default. By now the method of solution the sovereign debt fault is international organization assistance. Then I will analysis and discussed some proposed of solving the debt crises. Then will introduce the duties and rights of the factors in the debt crises and point out that the fundamental purpose of methods is to recovery the confidence to the debtor country.
In current the traditional sovereign rating agencies rely on the monopoly of sovereign risk rating methods have become outdated in a recession or decline in economic cycle stage. The shortcomings and deficiencies of the financial fully reveal in the financial crises. Therefore, the sovereign credit risks analysis and forecasting need objective, scientific and equitable rating models. Then it will be better in the international financial markets.
首先,本文回顾了主权信用风险分析的各种理论与相关文献,对主权风险分析的现状和存在的一些争论进行了论述。同时,对主权风险和国家风险的定义进行了区别,对主权风险的各种学术概念进行分析,界定出本文所要使用的主权风险的概念,并介绍了本文的研究思路。
其次,对主权风险的各种分析框架进行了论述评价,对主权信用风险分析的各种方法进行了比较,指出了各种方法的优点与不足,引出本文所要使用的理论基础,并对该理论基础进行了阐述。
本文在测量主权风险时主要是以结构信用风险模型为基础,并对该结构信用风险模型进行修正使其符合国家所具有的特性。这种模式不同于目前信用评级机构的主权风险评价方式,传统的主权风险分析基于宏观经济指标以及预期、无法量化的政治风险以及抗冲击能力、金融系统的稳定性、融资能力和包括国际贸易平衡、经常账户融资和资本流动以及外部债务的可持续性在内的外部融资能力,这些因素之间的关系也是很难预测的,因此传统的主权风险分析中的分析模式使主权风险的精确度下降。为了增加主权债务违约’的可预测性,提高主权风险分析的准确度,以莫顿模型为基础推导了出本文中所使用的分析模型。
本文通过为主权国家构建一个市场化的资产负债表,使其符合信用风险分析的特性,同时对主权国家与企业之间的差别进行分析比较,对原信用风险评价模型进行修改,然后推导出测量和分析主权风险的指标,其中包括违约距离、违约概率和信用利差。在第四部分使用12个新兴主权经济体数据来验证信用风险指标和市场数据之间的关系,检验信用风险分析指标的稳定性和相关性,以及检验分析指标的实用价值,使用该分析方法对特定主权国家的主权信用风险进行测量和分析。
最后,本文给出了基于或有权益法分析主权风险的建议,对于主权信用风险分析给出了简易的结果解释。使用或有权益分析法验证了希腊主权风险走向和趋势,说明或有权益法可以用于国家主权信用风险的实际分析和测算,并且相对机构评级有更加突出的特点。
目前主权债务违约事件在经济周期处于衰退或是下滑阶段时,爆发的概率比较大,传统意义上依靠主权评级机构对主权风险的垄断评级方法已经变的不合时宜,存在的不足和缺陷也在此次金融危机中充分显露,同时评级中存在的多种标准也使得主权评级带有一定的歧视性色彩,其严重的滞后性和标准的非一致性对许多的国际市场投资者带来了损害。因此,主权债务违约事件频发要求对主权债务违约的分析和测量建立在更为客观、更为科学和更为公正的评价模式上,这样才能保持国际市场的稳定和全球经济的持续发展。
Since financial crisis in 2008, sovereign debt crisis broke up in many countries, sovereign debt crisis affecting regional economic development and financial stability in main factors. The factors that lead to sovereign risk in too complex, such as the various elements of risk analysis have different weight in different countries. It is hard to form same standards, and many factors can not be quantitative analysis, so the different rating agencies lead to different results in sovereign risk rating in the qualitative analysis. The main objective of this article is to form a uniform standard on measuring sovereign risk and improve the ability on prediction of sovereign credit default. Then are the main contents of this paper.
First, review the theories of sovereign credit risk analysis and compare the various methods on sovereign risk analysis, and point out the advantage and disadvantage of each method. Meanwhile, make the distinction between the definition of sovereign risk and country risk. And define the concept of sovereign that will be sued in this paper. Then we introduced the idea of this study.
Secondly, the framework of different sovereign risk analysis methods are discussed, and we point out the main theoretical and target of this paper.
The method of measuring sovereign risk is based on structural credit risk models, and makes the model conform to the characteristics of countries. This models is different from traditional sovereign credit risk, the traditional sovereign credit risk base on macroeconomic indicators and the expected, unable to quantify the impact of capacity and capacity, static public financial data, financial system stability, financing capacity, international trade balance, current account financing, capital flows and so on. The relationships between these factors are different to predict, so the capacity of traditional sovereign credit risk analysis methods are decline. Sovereign debt default in order to increase predictability of predicts and improves the accuracy of sovereign risk analysis.
In the next chapter, build a market-based balance sheet for sovereign sate to match the characteristics of credit risk analysis, depend on the differences between sovereign states and enterprises changes the original credit evaluation model. Then derive the indicators that can measure sovereign credit risk, including the default distance, probability of default and credit spreads. In the fourth part of the paper I use the date of 12 emerging economics to verify the credit risk indicators, testing the stability of the indicators, as well as inception and analysis the practical value of these indictors.
Finally, introduce the concept of debt crises and the solutions methods of sovereign debt default. By now the method of solution the sovereign debt fault is international organization assistance. Then I will analysis and discussed some proposed of solving the debt crises. Then will introduce the duties and rights of the factors in the debt crises and point out that the fundamental purpose of methods is to recovery the confidence to the debtor country.
In current the traditional sovereign rating agencies rely on the monopoly of sovereign risk rating methods have become outdated in a recession or decline in economic cycle stage. The shortcomings and deficiencies of the financial fully reveal in the financial crises. Therefore, the sovereign credit risks analysis and forecasting need objective, scientific and equitable rating models. Then it will be better in the international financial markets.
引文
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[2]杨军.银行信用风险理论、模型和实证分析[M].北京：中国财政经济出版社,2004.179-191.
[3]高鸿桢.国家金融安全的统计分析[M].北京：中国统计出版社,2005.47-62.
[4]宋清华,李志辉.金融风险管理[M].北京：中国金融出版社,2003.382-404.
[5]黄瑾轩.从金融危机视角对评级公司主权评级模型的分析和修正[M].厦门：厦门大学硕士论文,2009.
[6]刘莉亚.新兴市场国家中金融危机的理论研究[M].上海：上海财经大学出版社,2006.38-135.
[7]汪其昌.银行信贷信用风险分析和度量[M].上海：上海社会科学院出版社,2004.236-245.
[8]董玉玲,程棵,杨晓光.2008年中国债券市场回顾和2009年展望[J].中国经济预测与展望.2009,249-263.
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[10]张宝林,何小锋.货币危机：基于资产运营视角的诠释和预警[J].金融理论和实践.2009,(11)：3-7.
[11]黄梅波,熊爱宗.迪拜债务危机：原因、走向和影响[J].贵州财经学院学报.2010,(1)：57-60.
[12]钱宝玉.中国上市公司信用风险分析方法实证研究[M].山西财经大学硕士论文.2006.
[13]李百羽,李文平.主权信用评级方法研究[J].联合研究报告.2009.
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[15]姚龙,吴恩.国家风险违约概率决定因素的实证检验[J].统计观察.2008,(19)：100-102.
[16]康英,薛惠锋.国家信用风险评估模型[J].西安工业大学学报.2009,29(4)： 396-399.
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[18]尹灼.信用衍生工具与风险管理[M].北京：社会科学文献出版社,112-164.
[19]赵先信.银行内部模型和监管模型[M].上海：上海人民出版社,287-304.
[20]鲁比尼.富国面临主权风险[N].第一财经日报,2010-1-20(7).
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[23]张艳.关于解决主权债充足问题的讨论：基于博弈均衡的分析框架[J].当代经济科学.2006,28(4)：49-52.
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[2]杨军.银行信用风险理论、模型和实证分析[M].北京：中国财政经济出版社,2004.179-191.
[3]高鸿桢.国家金融安全的统计分析[M].北京：中国统计出版社,2005.47-62.
[4]宋清华,李志辉.金融风险管理[M].北京：中国金融出版社,2003.382-404.
[5]黄瑾轩.从金融危机视角对评级公司主权评级模型的分析和修正[M].厦门：厦门大学硕士论文,2009.
[6]刘莉亚.新兴市场国家中金融危机的理论研究[M].上海：上海财经大学出版社,2006.38-135.
[7]汪其昌.银行信贷信用风险分析和度量[M].上海：上海社会科学院出版社,2004.236-245.
[8]董玉玲,程棵,杨晓光.2008年中国债券市场回顾和2009年展望[J].中国经济预测与展望.2009,249-263.
[9]赵晓菊.信用风险管理[M].上海：上海财经大学出版社,2006,92-115.
[10]张宝林,何小锋.货币危机：基于资产运营视角的诠释和预警[J].金融理论和实践.2009,(11)：3-7.
[11]黄梅波,熊爱宗.迪拜债务危机：原因、走向和影响[J].贵州财经学院学报.2010,(1)：57-60.
[12]钱宝玉.中国上市公司信用风险分析方法实证研究[M].山西财经大学硕士论文.2006.
[13]李百羽,李文平.主权信用评级方法研究[J].联合研究报告.2009.
[14]艾仁智,林文杰,杜明艳.大公国家主权信用评级方法[J].大公信用.2009,(6)：18-24.
[15]姚龙,吴恩.国家风险违约概率决定因素的实证检验[J].统计观察.2008,(19)：100-102.
[16]康英,薛惠锋.国家信用风险评估模型[J].西安工业大学学报.2009,29(4)： 396-399.
[17]顾乾屏,何珊,谢志烨.国家风险评估方法比较研究[J].金融教学与研究.2008,(4)：19-22.
[18]尹灼.信用衍生工具与风险管理[M].北京：社会科学文献出版社,112-164.
[19]赵先信.银行内部模型和监管模型[M].上海：上海人民出版社,287-304.
[20]鲁比尼.富国面临主权风险[N].第一财经日报,2010-1-20(7).
[22]曹荣湘.国家风险与主权评级：全球资本市场的准入与评估[J].经济体制比较.2003,(5)：91-98.
[23]张艳.关于解决主权债充足问题的讨论：基于博弈均衡的分析框架[J].当代经济科学.2006,28(4)：49-52.
[24]贺力平.主权债重组机制国际讨论的新进展[J].世界经济.2004,(3)：69-72.
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