关键词: 地方政府债券, 信用风险缓释, 违约概率, 衍生工具定价

Abstract: With the expansion of the scale of local government bonds, the credit risk of local government debt is increasingly prominent. This study takes the launch of credit risk mitigation tools for corporate bonds as an opportunity to learn from the idea of structured model and the logic of KMV model to solve the default probability. By the Carlo method we simulate the default process of local government, directly calculate the overall default probability of local government; combined with the idea of simplified model, we calculate the specific default probability of local government bonds, the theoretical price of credit risk mitigation tools, thus construct the mixed pricing model of credit risk mitigation tools of local government bonds. It is found that the theoretical price of the model based on corporate bonds is basically consistent with the market quotation, and the sensitivity test of parameters further verifies the theoretical self consistency and empirical reliability of the model. The above conclusions may provide new ideas for the governance and control of local government debt and the prevention of regional and systemic financial risks in China during the implementation of the new budget law.

Key words: local government bonds, credit risk mitigation, default probability, derivative pricing