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:2002-11-16:(1955-),,,,(1974-),,,(1977-),,,(1980-),,,(:01BJBJG011)20032(272)JournalofFinancialResearchNo.2,2003GeneralNo.272韩立岩郑承利罗雯杨哲彬(,100083):;KMV,;,;,,,,:;;;;:F83091:A:1002-7246(2003)02-0085-10,,一美国市政债券的发行新特点,,85,70,,,,,;,()();,1980,,1994,,,,,,,,,20%;GDP2%-4%,10%;GDP15%,80%,,,90%,,,5%10%,,,,KMV二市政债券信用风险模型1,,,(86)(),,,,,,,25,,1970173A,1996,10,,,119401(%)1940-194979409070.21950-1959112745920.21960-1969294799410.41970-1979202776200.31980-19941333130092120204031520.51940403152,05%2020,,,,,,,,,KMV,,,KMV,:,,KMV,,CreditRisk+CreditMetrics;,,CreditPortfolioView,KMV87,,;,,,KMVCreditMonitorKMV,,KMV2KMV,,(),,;,,,;,,,;,,,,:At=f(Zt)(1),Att,Zt,f()(T),BT,:ATBTp,p=P[ATBT]=P[f(ZT)BT]=P[ZTf-1(BT)](2)(2),ZT~N(0,1),p=P[ZTf-1(BT)]=N[f-1(BT)](3)DD=-f-1(BT),DD(DefaultDistance):p=N(-DD)(4),:dAt=Atdt+Adzt;;dzt()t=0,A0=A,,t0:At=Aexp{(-122)t+tZt}(5)Zt~N(0,1),:E[lnAt]=lnA+t-122t88Var[lnAt]=2t=1,,=1n-1n-1i=1lnAt+1At+122,(6)=1n-2n-1i=1(lnAt+1At-1n-1n-11lnAt+1At)2(7),:DD=ln(ABT)+T-122TT(8)p=NlnBT-lnA-T+122TT(9),KMVKMV,,,,,,,,,,GDP,,,,,A三北京市政债券信用风险与安全发债规模,,(T=1),197120002001476.14(6)(7)=0.098984,=0.109343891,,50%,,,19712000,:1971-19831984-19921993-2000,200050%2((5)),(8)(9),22(:)751001251501752002259.82087.18975.14903.48122.07180.85010.2266%0000.021.9219.7740.90,150(30%),,0,150,0.02%,,150,3,,,,,,(2)ZT,,;,()MATLAB:(1)i+1=ln(TRi+1TRi),:=1n29i=1ln(TRi+1TRi)=0.09300690:=ln(TRi+1TRi)-1n29i=1ln(TRi+1TRi)(2)MATLAB,,,,,,,,33375100105110125150175200225000000.00020.01920.19770.4090%0.0060.190.310.491.566.1115.1327.9542.46,,,,,KMV,,BBB-Baa3,,,,BBB+Baa1,04%04%,110,,:04,110120,,05%,02%9103%,04%,:2001110,200110%-20%GDP1%-35%,,:,10%,12%;,GDP2%3%,19921998,GDP215%442%,98%四上海市政债券信用风险与安全发债规模198120002001,,,(DW),,515,,27.771,19921996,40%,50%,50%,,515,260(90%80%70%),,2,,,,,(5)-(9)(3)92,440.90.80.70.60.50.40.3DD0.93631.87252.80883.74504.68135.61766.5538%17.513.070.260000,60%,,,,,04%,70%3,550.90.80.70.60.50.40.3%25.1710.473.961.360.330.050%17.513.070.2600005,;,,04%,50%,(70%),50%,25%,(),;50%,-0.006,04%,0.0039(0.028),50%五结论1(),,,2,,3:9350%,,,,2001110;200110%-20%GDP1%-35%,2000125,2000275%;2001130,2001255%,[1]IrinaN.K&SvetlozarTR,ValueatRisk:RecentAdvances,Chapman&HallCRC,2000,801-858.[2]JPMorgan,CreditMetrics,TechnicalDocument,1997.[3]Lucas,D.J.,Defaultcorrclationandcreditanalysis,JournalofFixedIncome(March),1995,76-87.[4]Merton,R.,Onthepricingofcorporatedebt:Theriskstructureofinterestrates,JournalofFinance28(1974),449-470.[5]MichelCrouhy,DanGalai,RobertMark:Acomparativeanalysisofcurrentcreditriskmodesl,JournalofBanking&Finance,24(2000),59-117.[6]CreditValuatin,KMVCorporation,1996.[7]CreditSuisse,CreditRisk+;ACreditRiskManagementFramework,CreditSuisseFinancialProducts,1997.[8]:,,1996-2,47-52[9]:,,14,2000,130-134[10]:(),,19998[11]:,,19991[12]:,,20001[13]:,,20001[14]:,,200011Abstract:ReferringtothesituationofmunicipalbondsintheUSA,thebasicconceptofthedefaultriskofmunicipalbondsisintroduced.ThenthedefaultriskmodelformunicipalbondsbyborrowingthemethodologyofKMVmodelisconstructed.WhenapplyingthemodeltoBeijingscaseandShanghaiscase,wecomputetheexpecteddefaultprobabilitiescorrespondingtodifferentpossibleissuevolumesofmunicipalbondsinBeijingandShanghai,respectively,bothundertheassumptionoflogarithmnormaldistributionnormaldistributionandwiththerealfrequencydistribution.UponthatresultwegetthesafeissuevolumeofmunicipalbondsbothinBeijingandShanghai.Thismodelcouldbeappliedtogeneralcases.Keywords:municipalbonds,defaultrisk,issuevolume,Beijingeconomy,Shanghaieconomy(责任编辑:刘佶)(校对:B)94