【摘要】 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Credit Metrics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Monte Carlo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。更多还原

【Abstract】 In the context of management of commercial bank economic capital,this paper defined the revenue available for debt servicing and salable asset of a local government as the"capital"which can cover its risks. By selecting 18 pieces of premature medium- term municipal investment bonds issued by Hefei on December 31,2014 as samples,and based on the Credit Metrics Model,this paper adjusted the usance discount rate by utilizing the treasury rate and credit risk premium in the interbank bond market,calculated the VaR of an individual municipal investment bond by means of the credit risk transfer matrix provided by China’s rating agencies,introduced the copula function to estimate the matrix of related coefficients,obtained the VaR of the municipal investment bond portfolio through Monte Carlo Simulation,and finally determined the issue limit of the local government bonds of Hefei according to relevant data of its fiscal revenue and governmental assets.更多还原