中国与符合DSSI资格国家的双边债务分析及风险评估--基于违约风险加权模型和风险敞口模型  

Bilateral Debt Analysis and Risk Assessment of China and DSSI-Eligible Countries——Based on Default Risk Weighted Model and Risk Exposure Model

作　　者：梁斯迪 LIANG Si-di(University of Chinese Academy of Social Sciences,Beijing 102401,China)

机构地区：[1]中国社会科学院大学世界经济与政治系(国际关系学院),北京102401

出　　处：《经济论坛》2022年第2期34-43,共10页Economic Forum

摘　　要：基于世界银行数据,选取对中国负债20亿美元及以上的符合暂停偿债倡议国家作为分析对象(共16个),计算每个国家的债务率、现值经济债务率和偿债率,并根据疫情对经济变量的差异化影响赋予这3个衡量国际债务风险指标不同的权重,最终得出一个衡量违约概率的违约风险加权值。违约概率最高的符合DSSI资格国家依次为赞比亚(加权值1.59)、埃塞俄比亚(1.48)、巴基斯坦(1.36)、肯尼亚(1.27)和老挝(1.09)。此外,鉴于每个国家对中国负债金额不同,为了全面评估中国面临的双边债务违约风险,最后加入风险敞口维度进行分析。对于中国而言,巴基斯坦和埃塞俄比亚的债务风险敞口大于赞比亚。总的来说,赞比亚是债务违约概率最高的国家,而巴基斯坦和埃塞俄比亚是对华债务风险敞口最大的两个国家。Using the World Bank data,our analysis selects the DSSI-eligible country that owes China at least USD 2 billion,16 countries in total,then calculates the foreign debt ratio,liability ratio(ratio of external debt stocks to GNI)and debt service ratio for each country.According to different impacts of the pandemic on economic vari⁃ables closely related to indicators,we assign different weights to these three indicators which assess international debt risk.Finally,we get a number called“default risk weighted-value”which measures the probability of de⁃fault.The top-five DSSI-eligible countries with the probability of default ranked from high to low are as follow:Zam⁃bia(default risk weighted-value 1.59),Ethiopia(1.48),Pakistan(1.36),Kenya(1.27),and Laos(1.09).In addition,since each country borrows different amounts of debt from China,the risk exposure element is eventually added to the analysis in order to fully assess the bilateral debt default risk faced by China.Pakistan and Ethiopia have greater debt exposure to China than Zambia.On the whole,Zambia is the country with the highest probability of default,while Pakistan and Ethiopia are the two countries with the largest debt exposure to China.

关 键 词：DSSI 双边债务 债务风险 违约概率 风险敞口 

分 类 号：F81[经济管理—财政学]