CAJ | 학술논문

文章给出了资产价值跳跃情景下地方融资平台的违约风险要素及其信用风险的测度公式，并基于我国各级地方政府及其所属国有企业控制的上市公司资产负债状况和资产波动性特征，对各级融资平台的信用风险进行了设定情景下的近似压力测试。研究表明：（1）若不在地方融资平台的资产价值中嵌入跳跃过程，则可能严重低估了地方融资平台风险对银行业的负面冲击；（2）对地方融资平台的信用风险与其市场压力情景之间的映射关系的测试表明，当地方融资平台资产价值的跃降幅度超过30％时，在7．66万亿元的地方融资平台债务中约有2万亿元处于违约风险状态，这是“问题”融资平台货款普遍违约的理论边界。
문장급출료자산개치도약정경하지방융자평태적위약풍험요소급기신용풍험적측도공식，병기우아국각급지방정부급기소속국유기업공제적상시공사자산부채상황화자산파동성특정，대각급융자평태적신용풍험진행료설정정경하적근사압력측시。연구표명：（1）약불재지방융자평태적자산개치중감입도약과정，칙가능엄중저고료지방융자평태풍험대은행업적부면충격；（2）대지방융자평태적신용풍험여기시장압력정경지간적영사관계적측시표명，당지방융자평태자산개치적약강폭도초과30％시，재7．66만억원적지방융자평태채무중약유2만억원처우위약풍험상태，저시“문제”융자평태화관보편위약적이론변계。
This paper puts forward the formulas for measuring the de- fault risk factors of local financing platforms and relevant credit risk under the jumps in asset values. Based on the asset-liability situation and asset vol- atility characteristics of listed companies controlled by local governments at all levels and their affiliated state-owned companies, this paper makes the approximate stress test for credit risk for local financing platforms. It rea- ches the following conclusions： firstly, it may seriously underestimate the negative effects of credit risk for local financing platforms on banking if ig- noring the jumps in asset values; secondly, the test for the mapping rela- tionship between credit risk for local financing platforms and relevant market stress scenarios shows that if the decrease in asset values of local financing platforms exceeds 30%, about 2 trillion yuan of local financing platforms debt will be in a default state, which is the theoretical limit for general de- fault of troubled financing platforms debt.