地方政府债券信用风险与发行限额研究——基于Credit Metrics模型的分析

本文借鉴商业银行经济资本的管理思路，将地方政府的可偿债财政收入和可出售资产作为覆盖风险的“资本”。选取2014年12月31日合肥市18只未到期中期城投债为样本，基于CreditMetrics模型，利用银行间债券市场的国债利率和信用风险溢价调整远期贴现率，采用国内评级机构提供的信用风险转移矩阵计算单只城投债的VaR，引入Copula函数估计相关系数矩阵，并通过MonteCarlo模拟得到城投债组合的VaR，最后结合合肥市财政收入和政府资产的相关数据，确定合肥市地方债券的发行限额。

A research on the credit risk and issue limit of local government bonds

In the context of bank economic capital management, the economic capital of a municipality, defined as its revenue available for debt servicing and salable asset, covers its debt and can be used as a guideline to set debt limit. Utilizing the CreditMetrics Model enhanced by copula function, this paper presents an empirical analysis to determine the debt limit for municipal bond issuance, with a sample of 18 unmatured intermediate-term municipal bonds issued by the city of Hefei. We first derives discount rates of forward zero curves with 5-year government bond yields in the inter-dealer market adjusted by credit risk premiums. Then along with the credit quality transition matrix provided by domestic rating firms, the paper calculates VaR’s for individual bonds. With MonteCarlo simulation and correlation matrix estimated with copula functions, we arrive at the portfolio VaR. Comparing the VaR with economic capital will help to determine Hefei’s debt limit.