债券违约风险监测预警模型构建与检验:以房地产业公司债券为例  

Construction and Testing of Bond Default Risk Monitoring and Rarly Warning Model:Take Real Estate Corporate Bonds as an Example

作　　者：课题组 康建平[2] Research Group

机构地区：[1]不详 [2]中国人民银行延安市中心支行

出　　处：《西部金融》2022年第6期17-23,81,共8页West China Finance

基　　金：中国人民银行西安分行2021年度重点调研课题成果。

摘　　要：近年来,随着我国经济金融的快速发展,债券市场规模迅速扩大,我国已成为全球第二大债券市场,债券成为服务实体经济的重要手段,但债券主体信用风险也逐渐增大。本文以房地产业公司债券为切入点,使用因子分析等方式构建债券违约风险监测预警模型,并使用已发生违约情况的企业数据对模型进行检验,提出防范债券违约风险的政策建议。In recent years, with the rapid development of my country’s economy and finance, the scale of the bond market has expanded rapidly. At present, my country has become the second largest bond market in the world. Bonds have become an important means of serving the real economy, and the function of promoting the stable development of the national economy and finance has become increasingly prominent. The credit risk of bond entities has also gradually increased, and the market credit degree has shown a downward trend. This paper takes the real estate corporate bonds as the starting point, uses factor analysis and other methods to build a bond default risk monitoring and early warning model, and uses the data of companies that have defaulted to test the model. The accuracy rate of the model is more than75%. The proposal provides some ideas for improving the risk awareness of bond market participants and strengthening the monitoring of bond default risk.

关 键 词：债券市场 债券违约 金融风险 

分 类 号：F830.31[经济管理—金融学]