【作者】 盖润英；

【导师】 沈沛龙；

【作者基本信息】 山西财经大学 ， 金融学， 2012， 硕士

【摘要】 受金融危机影响，欧洲主权风险激增，主权债务危机爆发并成为困扰全球金融稳定的重要因素。由于导致主权债务风险的因素较为复杂，并且部分影响因素无法定量分析，对主权风险的量化分析成为各国金融监管部门和国际投资者研究的重要课题。本文回顾了主权风险和债务危机分析的理论文献，对主权风险和债务危机分析的现状进行了总结分析，并对或有权分析框架进行了理论阐释，引出本文的理论基础。采用或有权分析模型，针对主权信用风险进行量化分析，以形成一个测量主权风险的相对统一的标准。针对欧洲主权债务危机的爆发和演进进程，本文从经济结构、社会结构、欧盟制度设计、金融内部相关性等方面欧洲主权债务危机的原因进行了分析。与传统采用宏观经济指标、政治风险和经常账户等因素的主权风险分析方法不同，本文以企业债务风险的或有权分析模型为基础，并对或有权模型进行修正构建了主权资产负债表。为了验证采用或有权模型衡量主权风险的准确度，本文对模型推导的信用利差和市场CDS数据进行了相关性分析，以检验模型指标衡量主权债务风险的准确性和实用价值。最后，结合历次主权债务危机的解决方案与欧债危机原因，推出解决欧元区主权债务危机的路径选择，并在欧洲主权债务的实证研究的基础上，分析我国银行业金融机构和国际投资者应对主权风险时的策略选择。更多还原

【Abstract】 Affected by global financial crisis, the European sovereign risk surged, and theEuropean sovereign debt crisis has become an important factor to global financialstability. As the factors of sovereign debt risk are complex, and some leading factorsare impossible to quantitative analysis, it has become an important research topicfor financial regulatory authorities and international investors.This paper used contingent claim analysis model to construct a sovereignbalance sheet, in order to form a uniform standard to measure sovereign risk. Thispaper reviewed the interpretation of contingent claim analysis method for debt riskpricing, which leads to the theoretical basis of this paper.According to the evolution process of European sovereign debt crisis, thisarticle analyzed the causes of European sovereign debt crisis from the aspect ofeconomic structure, social structure, the EU financial internal correlation.Dislike the traditional sovereign risk analysis methods of usingmacroeconomic indicators, political risk and the current account factors, this articlerevise the corporate debt risk model to construct sovereign balance sheet. In orderto measure the model and the accuracy and practical value of sovereign debt risksindicator, this article made research on the correlation of the credit spreads indicatorand CDS data from the market.Finally, combined with the previous sovereign debt crisis solution, this articlelaunched a path of resolving the euro zone sovereign debt crisis. Based on the empirical research, this article offered a strategy choice for international financialinstitutions and international investors.更多还原