内生因素与信用风险：理论模型拓展与应用研究

As the credit risks of domestic and foreign financial assets have increased in recent years, the studies on both credit risk models and credit risk theory are attracting more attention from the academics and the industries. Note that there is a significant deviation between the theoretical results of the existing credit risk models and the actual data, and the existing research just only focuses on the impacts of exogenous factors on credit risk，hence both of these two shortcomings should be overcome. From the viewpoint of endogenous factors, such as agency problems, we creatively embed the continuous-time contracting model into the structural credit risk models to discuss how endogenous factors affect the firm’s credit risk indirectly by using the theories and methods of corporate finance, optimal contracting and credit risk. We shall use the methods of differential equations, martingale, and stochastic analysis and develop the continuous-time contract theory, thus we could propose an analytical framework to quantitatively study the channels of potential endogenous factors affecting the credit risk when the risky asset values including firm values follow Ito processes or jump-diffusion processes. Then we would quantitatively study the joint impacts of both endogenous factors and exogenous factors on the credit risk. We shall check the theoretical results derived by our model through the empirical analysis and numerical results, thus we could essentially improve the credit risk models. Based on the above studies, we shall apply our proposed models and methods to study dynamic corporate finance and to improve the credit derivative pricing models. Throughout this research we hope that we can get the innovation results and extend the research area of credit risk, and our research would provide a new viewpoint and an exciting path to study credit risk.

随着近年来国内外金融资产面临的信用风险加重，信用风险模型及理论的研究越来越受到学术界与业界的重视。针对现有模型的结果和实际数据存在明显偏差，以及仅考虑外生因素对信用风险影响的不足，本项目创新性的将连续时间合约理论与结构化信用风险模型结合，综合利用公司金融、合约理论及信用风险等理论，从代理问题等内生因素的角度出发探讨其对企业信用风险的影响机制。进一步，考虑企业价值等风险资产价格服从Ito过程或跳跃-扩散过程，运用微分方程、鞅理论、随机分析等数理工具，发展连续时间合约理论，量化研究潜在因素对信用风险的内生影响渠道，进而探讨内生因素与外生因素对信用风险的共同作用机制，并利用实证分析和数值方法检验理论结果，从而本质上发展信用风险模型。在此基础上，应用上述发展的理论模型与方法，研究动态公司金融以及改进和发展信用衍生品定价模型。由此，拓展了信用风险的研究方向，为研究信用风险提供了崭新的视角和研究路径。

随着近年来国内外金融资产面临的信用风险加重，信用风险模型及理论的研究越来越受到学术界与业界的重视。针对现有模型的结果和实际数据存在明显偏差，以及仅考虑外生因素对信用风险影响的不足，本项目创新性地将连续时间合约理论与结构化信用风险模型结合，综合利用公司金融、合约理论及信用风险等理论，从道德风险问题、人力资本、偿还贷款有限承诺等内生因素的角度出发探讨其对企业信用风险的影响机制。针对道德风险这一内生因素，本项目将最优连续时间合约模型嵌入到Leland-Toft内生违约框架中，量化分析道德风险如何影响企业最优违约边界的微观作用机理，实质发展了结构化信用风险模型。针对企业偿还贷款有限承诺，本项目在合约理论框架下发展带有内生信贷约束条件的理论模型，创新性地将企业家对偿还贷款有限承诺所导致的道德风险与企业资产可抵押性这两个内外因素统一在一个理论框架中，量化研究资产可抵押性对企业最优现金持有水平和信用风险的影响机制。理论模型与实证研究的一个关键发现是，由于可抵押性对企业违约概率和违约成本的非对称影响，可抵押性对企业违约边界的间接影响大于直接影响。这帮助我们提高了对企业信用风险产生根源和及其治理机制的理解。进一步，考虑企业价值等风险资产价格服从Ito过程或跳跃-扩散过程，运用微分方程、鞅理论、随机分析等数理工具，发展连续时间合约理论，量化研究内生因素和外生因素（如碳资产可质押）对企业信用风险的影响渠道，进而探讨内生因素与外生因素对信用风险的共同作用机制，并利用实证分析和数值方法检验理论结果，从而本质上发展现代信用风险模型。在此基础上，应用关于内生信用风险模型的结论与方法，改进和发展信用衍生品定价以及企业投融资最优决策的已有研究工作。由此，拓展了信用风险模型的研究方向和范畴，为研究信用风险提供了崭新的、令人激动的视角和研究路径。