2024届硕士专业学位研究生学位论文
分类号：学校代码：10269
密级：学号：51244407075
East China Normal University
硕士专业学位论文
Master’s Degree Thesis (Professional)
论文题目：《城投债信用风险测度
优化研究——以浙江省城投债为
例》
院系：经济与管理学院
专业学位类别：金融硕士
专业学位领域：金融
学位申请人：周璇
指导教师：蓝发钦教授
2024年5月
Thesis for Master’s Degree (Professional)in 2024
University code:10269
Student ID:51244407075
East China Normal University
Title:Research on Credit Risk Measurement Optimization
of Urban Investment Bonds—Taking Zhejiang Province as
an Example
Department/School:Faculty of Economics and Management
Category:Master of Finance
Field:Finance
Candidate:Xuan Zhou
Supervisor:Professor Lan Faqin
May,2024
周璇硕士学位论文答辩委员会成员名单
姓名职称单位备注
龙翠红教授华东师范大学主席
汪莉副教授华东师范大学
鲁文龙高级经济师兴业银行
摘要
1994年实行的分税制改革及地方政府债券发行的限制，使得城投债孕育而
生。同时，为了助力中国城镇化发展，以及配合金融危机后出台的刺激性政
策，城投债迎来了爆发式增长。但城投债爆发式增长导致了地方政府债务的累
积，我国为此出台了一系列监管政策持续防范地方债务风险，剥离城投平台与
政府的关系，打破“城投信仰”。而“城投信仰”的打破会使得城投债市场面临
挑战，可能会带来信用风险的上升。基于此情形，需要确定对城投债信用风险
更明确的认知，以做出对城投债信用风险的防范、监测和应对措施，助力债券
市场持续健康发展。
本文对影响城投债信用风险的因素的分析从宏观经济、地方政府、城投平
台和城投债4个层面展开，重点从政府隐性担保的角度将地方政府层面因素分
为地方政府支持能力和救助意愿。本文对应影响因素选取了30个指标，并建立
逻辑回归评分卡模型，利用回归结果构造直观的评分卡对城投债进行信用评
估。本文将模型运用于2018-2023年浙江省存量城投债，获得了较高的预测准
确度。
本文根据模型结果发现，包含区域经济发展水平、地方政府财政实力和债
务水平的地方政府支持能力和以城投平台行政级别代表的地方政府救助意愿均
具有较强的预测能力，指标设置合理。同时，逻辑回归评分卡相较于外部评级
变化更为灵敏准确。另外，模型结果显示市场对于城投平台自身资质开始更加
重视，但地方政府隐性担保仍然存在。最终，本文针对结论提出了相应的政策
建议，包括推动城投平台市场化平稳转型，建立准确实效的城投债风险评价体
系，加强政府部门和社会资本的合作和积极使用“一揽子化债方案”四部分。
关键词：城投债信用风险政府隐性担保发行利差逻辑回归模型
I
ABSTRACT
The tax-sharing reform implemented in 1994led to a situation where fiscal authority
was centralized while administrative responsibilities were decentralized.Concurrently,
the Budget Law enacted that year stipulated that local governments could not issue local
government bonds unless otherwise provided for by law or by the State Council.In this
unique institutional context,urban investment bonds came into being.To support the
development of urbanization in China and to align with the stimulative policies
introduced after the financial crisis,these bonds experienced explosive growth.But the
explosive growth of the bonds has led to the accumulation of local government debt.
Consequently,China has introduced a series of regulatory policies to continuously
prevent local debt risks,to sever the ties between the urban investment platforms and
the government,and to break the "Urban Investment Faith."The breaking of the "urban
investment faith"would pose challenges to the urban investment bond market and
potentially lead to an increase in credit risk.Against this backdrop,it is necessary to
establish a reasonable recognition of the credit risk of urban investment bonds to
formulate corresponding measures and support the sustainable and healthy
development of the bond market.
This paper examines the various factors that influence the credit risk associated with
the bonds from four dimensions:macroeconomics,local governments,the platforms,
and the bonds themselves,focusing on the implicit government guarantee.It divides
the factors at the local government level into the government's support capacity and
willingness to rescue.After a systematic and comprehensive analysis of the influencing
factors,this paper selects 30indicators and establishes a Logistic Regression (LR)
scorecard model.It uses the logistic regression results to construct an intuitive scorecard
for the credit assessment of urban investment bonds.The model was applied to the stock
of urban investment bonds in Zhejiang Province from 2018to 2023,achieving a good
predictive accuracy.
II