摘要
近年来,接连不断的金融危机给全球经济带来了巨大的冲击。危机期间,常常出现某一家公司违约引起与之关联的公司相继发生违约甚至破产的现象,形成“多米诺骨牌”式的传染效应。随着金融市场开放程度与联系的不断增强,违约相依性引发的公司间共同违约事件和传染效应也逐渐增加,造成了银行的巨额信贷资产的流失,给银行信用风险管理带来很大挑战,如何把各个经济实体间的违约相依性纳入信用风险管理体系成为亟待解决的问题。然而,国内银行业的风险管理技术在度量日益复杂的相依违约风险时显得力不从心,严重制约了我国银行业的健康发展。吸收消化国外先进的风险管理技术,对关联公司的违约相依性进行科学准确度量,有效防范和控制违约相依的信用风险既是金融市场发展的需要,也是商业银行信用风险管理的重点和难点问题。对违约相依的信用风险度量、传染效应以及防范策略的研究具有现时紧迫性和重要的现实意义。
鉴于此,本文围绕相依违约风险的度量和传染性两个问题展开,在对信用风险量化理论和违约相依产生原理进行系统分析的基础上,结合Copula理论方法构建基于违约相依的信用风险定量分析框架,利用我国资产关联上市公司样本对违约相依风险的度量与传染效应进行了实证研究,提出实施信用组合风险量化管理、设置风险限额机制和制定传染免疫计划等策略,以利于银行对违约相依的信用风险进行有效防范和控制。具体讲,本文的主要工作如下：
(1)对信用风险量化的理论、模型和方法进行了深入的比较和总结,对违约相依的产生原理、分类、特征及影响因素进行了系统的分析和解释,为构建违约相依的信用风险度量模型提供了理论依据和技术支撑。总结出违约相依的四种产生途径和四大特征,发现正的违约相依性是大范围违约事件发生的根本原因,周期性违约源于宏观经济因素的波动,而传染性违约源于企业间关联关系的紧密程度；认为资产相关性、信用质量、市场依赖、战略联盟以及银政企关系都是影响违约相依性的重要因素。
(2)提出了基于Copula函数的违约相依信用风险定量分析框架思路：即通过采用Copula理论方法来解决相依结构的描述问题,将Copula函数所描述的相依结构植入结构化模型或强度模型中,实现由单一风险度量向相依风险度量的转变。这里,Copula函数的选择问题是关键。通过对Copula函数选择方法的比较分析,发现用精确极大似然估计对多元Copula函数进行参数估计,并用非参数估计的Kernel核密度法直接对联合分布函数进行拟合,可以有效解决因对边缘分布与Copula类型事先假设不当而造成的相依结构描述失真的问题。文章进一步提出了基于核密度估计和最小距离检验的拟合优度检验法,有效地解决了多元Copula函数的最优选择问题,在实践中实现了将Copula的拟合优度检验推广到多元情况。
(3)依据违约相依信用风险定量分析框架,选取我国股票市场上具有较大资产关联的资本系公司作为样本进行了实证研究。根据选择的最优Copula来描述违约相依结构,度量资本系公司的联合违约概率并进行信用等级的评定；在此基础上,通过对损失分布进行Monte Carlo模拟,分别计算有担保授信和无担保授信下的信用组合损失以及VaR和CVaR;然后使用Kupiec失败率检验法和Christoffersen区间预测检验法对模型的有效性进行检验；最后比较不同影响因素下的相依违约风险状况。结果显示：我国资本系公司的信用风险具有内部关联交易频繁、连环担保普遍、财务报表真实性差、系统性风险高、风险识别难度大五大特征。相同规模的资本系适用的Copula函数较为集中,较小规模资本系的信用资产的尖峰厚尾性较明显,较大规模资本系的违约相依结构的对称性明显增加。违约相依的信用风险度量模型有效率达到90%以上,有41.67%的系公司处于A级以上信用水平,在全年交易时间内发生巨额损失的概率约占5%,表现出违约相依事件的隐蔽性、突发性和巨额损失特征。信用资产的损失不服从正态分布,呈现出尖峰、偏斜特性,担保授信状态下发生尾部极端事件的潜在损失较小。横向并购专业化经营下的系公司相依违约性最小,政府主导型系公司的相依违约风险最大。
(4)基于风险值的测算结果,根据最优化原理建立了以一定置信水平下CVaR为目标函数、预期收益率为约束条件的线性规划模型,将资产关联公司的统一授信额度在成员公司间进行优化配置,使银行实现既定预期收益率下的组合信贷风险最小,以便于信贷发放和管理,并以我国系公司为例进行了实证检验。结果表明,给定不同的预期收益率,银行均可以获得相应的最优信贷组合,使组合信用风险达到最小,并且通过调整预期收益率,便可以得到信贷组合的有效边界。
(5)在信用风险量化分析的框架下,对违约相依引起的信用风险传染效应进行了研究。从因果效应与信息效应两方面对违约传染机制进行了解释,并描述了信用违约风险传染所带来的及时的市场效应和延时的市场影响。然后对我国资产关联上市公司的违约风险传染效应进行了实证研究,首先利用格兰杰因果关系检验对风险传染的存在性进行了验证,然后利用时间序列的变结构Copula方法和时序诊断Z检验,对存在传染性的资本系进行了传染点诊断和风险波动的溢出效应检验。结果显示,在风险传染点前后,公司间违约相关性发生了较大变化,部分系公司存在明显和频繁的波动溢出效应,说明风险波动溢出是违约风险传染剧烈演变的结果。具有正的违约相依性的系公司间发生信用风险传染的可能性较大,风险在公司间单向传播或产生交叉传染。此外,周期因素决定着公司信用风险的平均水平,而违约传染围绕平均风险水平上下波动,这种波动性大大增加了公司损失的额外风险。
(6)在信用违约风险量化与违约风险传染效应检验的基础上,针对相依违约风险的防范与控制,从银行风险管理的“事前评估、事中控制、事后跟踪”三个方面,分别给予方法对策,提出了“三步融合”的相依违约风险防范和控制策略,为解决银行风险管理中相依违约风险防控这一特定问题提供技术支持。即：第一步,通过实施有效的信用组合风险量化管理,以掌握客户资信状况和关联信息；第二步,通过设置相依违约风险的限额管理机制,以防止企业的多头授信和过渡融资；第三步,通过制定信用风险传染的免疫计划,及时跟踪和反馈企业违约信号,掌握风险传染溢出状况,防止违约风险传染造成巨额损失。
In recent years, the continuous financial crisis bring huge attacks to global economy. During the period of crisis, it usually appears a phenomenon that one company default causes the related companies default successively and even go bankrupt, which have a domino contagion effect. Along with the financial market opens and the contact increases, the joint default events and contagion effects caused by default dependency grows quickly, which makes a large amount of loan capital lost and brings big challenge to credit risk management of bank. So how to join the default dependency into credit risk management system become anxious to be solved.
However, because of the laggard risk management technology, the domestic bank cannot meet the needs when they measure the complicated default dependent risk, which severely restrict the development of Chinese banking. Therefore, through studying and absorbing advanced risk management technologies abroad, it is necessary to correctly measure the default dependency of correlated companies so as to effectively prevent and control the dependent credit default risk, which is important essential to the development of financial market and credit risk management of commercial bank of China. The studies on dependent default risk measurement, contagion effect and risk precaution measures are becoming urgent and important problems.
This paper centers on the two questions of dependent default risk measurement and contagion. On the basis of theoretical analysis of credit risk quantification and generation theory of default dependency, we establish a quantitative analysis framework for dependent credit default risk measurement by combining copula theory. Then we use Chinese capital correlated listed companies as sample to do empirical study on dependent default risk measurement and contagion effect test. And we put forward some useful measures on credit portfolio risk measurement management, making risk limitation and contagion immunity plan to help bank' s dependent default risk precaution and controlling. The main works and conclusions are as follows:
(1) We state and compare the credit risk theory, models and methods, and give analysis to the default dependency' s principle, characteristic, classification and the influence factors, which provide theoretical and technical support for the construction of credit risk model with default dependency. We summarize that the default dependency with four characteristics can realize in four ways. The positive default dependency is the root cause of the wide default event happened. Cyclical default dependency originates from the volatility of macroeconomic factors, and the default contagion comes from the close relationship between enterprises. Capital correlation, credit quality, strategic alliance and relationship between bank, government and enterprise are the most important influencing factors of default dependency.
(2) We propose a quantitative analysis framework of credit risk with default dependency based on Copula function. That is, using Copula theory method to solve the description of dependency structure, implanting Copula function in the structure model or the intensity model to transform a single risk measure into dependency risk measure. Where, the choice of Copula function is the critical problem. We compare the choice methods of Copula function, and find that using the maximum likelihood estimation for parameter estimation of multiple Copula function, together with the Kernel density nonparametric estimation directly fitting the joint distribution, can effectively avoid the dependency structure distorted in describing due to the improper hypothesis of marginal distribution and Copula families. This paper further put forward a goodness-of-fit test method based on the kernel density estimation and minimum distance test, which can effectively solve the problem of multiple Copula choice. Thus, the goodness-of-fit test of Copula extending to multiple conditions has realized in practice.
(3) Based on the quantitative framework on credit risk with default dependency, we choose capital groups with capital correlated members in Chinese stock market as samples to do empirical study. According to the selected optimal Copula to describe the dependency structure, we measure the joint default probability of capital groups and give credit rating to them. Based on this, through the Monte Carlo simulation of loss distribution, we separately calculate the losses of credit portfolio, and its VaR and CVaR, in the condition of secured loan and unsecured loan. Then we use Kupiec failure test and Christoffersen interval prediction test to verify the effectiveness of the model. Finally, we compare the default dependency risk in different influencing factors. Results show that:the credit risk of capital group companies in China is with five features, which are internal frequent related transactions, universal chain guarantees, distorted financial statements, high systemic risk and difficulty in risk identification. The Copula functions applied in capital groups with same scales are relatively concentrated. The credit assets in smaller capital groups have obvious peak and fat tail, but the dependency structure tends to symmetry increasingly in large-scale capital groups. The effective rate of measurement model of credit risk with default dependency is more than 90 percent. There are 41.67% of capital group companies above A credit-level. Only 5% of trade time in a year may have huge losses, which shows the elusive, sudden and huge loss features of default dependency. The credit assets losses do not obey the normal distribution, presenting a peak and deflection. In the condition of guarantee loan, the potential loss of extreme value event is small. The default dependency of capital group companies is smallest under horizontal merger, and specialized operation, but is biggest under government leading.
(4) Based on the results of value at risk, according to the optimization principle, we establish a linear programming model in confidence level with CVaR as target function and the expected return as constraint conditions, which can optimize distribution of unify credit line of the capital correlated company within the members. It helps the banks to realize the minimum credit portfolio risk with expected returns, in issuing and managing loans. Then we do empirical analysis based on Chinese capital group companies. Results show that, given different expected returns, the bank can obtain corresponding optimal credit combination to make the credit portfolio risk to the minimum. And by adjusting the expected returns, we can get the effective boundary of credit portfolio.
(5) In the quantitative analysis framework of credit risk, the credit risk contagion effect generated by default dependency is studied. From the two aspects of Causal effect and information effect, we give explanation to the mechanism of default contagion, and describe the timely marketing effect and delayed marketing impact. Then we do empirical studies on default risk contagion of listed companies with correlated capitals. By using granger causality test, we verify the existence of risk contagion. Then we use the time-varying structure Copula of time series and the sequential diagnosis of Z test to do contagion point diagnosis and the risk of spillover effects test. Results show that the risk dependency changes a lot before and after the contagion point, some of companies have obvious and frequent fluctuation spillover effect, which declare that the risk fluctuation spillover is the result of severe contagion evolution. With the positive default dependencies between companies are more likely to infect the credit risk, and risk transmit in one-way or infect cross the members. We summarize that cyclical factors control the average of default risk and the default contagion fluctuate around the average risk increasing the extra risk losses.
(6) On the basis of credit default risk measurement and risk contagion test, we propose three-step strategies on default dependency risk precaution and control from advance evaluation, concurrent control and afterwards tracking to improve the prevention and control effect. Namely: first, by carrying out the quantitative management of credit portfolio risk effectively, we can master customers' credit status and related information before loaning; secondly, by imposing credit ceiling mechanism of default dependency risk, we can prevent the excessive credit financing and multi-head acquisitions of credit loans. Thirdly, by setting credit risk contagion immune program, we can timely track and feedback default signals and master the risk spillover effects, so as to prevent huge losses caused by default risk contagion.
引文
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