基于政府隐性担保退出预期的金融机构违约风险重定价

取消政府隐性担保或将成为未来政策重点，这将引起隐性担保退出的市场预期，导致金融机构违约风险的重定价。在金融机构自身资产价值随机运动的情形下，文章分别分析了离散时间隐性担保与连续时间隐性担保下金融机构总资产价值的动态随机运动规律，在结构化模型框架内构建了考虑政府隐性担保预期的违约风险模型，度量了政府隐性担保退出过程中不同风险状态金融机构的违约概率与预期损失。研究表明：（1）随着政府隐性担保逐步退出，金融机构违约概率逐渐增加，预期损失呈现先增加后递减的过程。（2）金融机构资产价值波动率越大，杠杆率越高，在政府隐性担保退出过程中其违约概率与预期损失越大。

Repricing the Default Risk of Financial Institutions Based on the Expectation of an Implicit Government Guarantee Withdrawal

Removing the implicit government guarantee will be a policy priority in the future, which will trigger the expectation of withdrawal of implicit guarantees and lead to the repricing of default risk of financial institutions. In the situation of financial institutions asset value random movement, under discrete time and continuous time implicit guarantee the article depicts the rule of the dynamic random movement of the total asset value of financial institutions, and within the framework of the structured model constructs default risk model considering the government's recessive guarantee, in the process of government's recessive guarantee quit measures default probability and expected loss of different risk state financial institutions. The research shows that:(1) with the gradual withdrawal of implicit government guarantee, the probability of default of financial institutions increases gradually and converges to the situation of complete non-guarantee, but the expected loss climbs up and then declines. (2) the higher the volatility of asset value and the leverage ratio of financial institutions, the greater the default probability and expected loss in the process of the withdrawal of implicit government guarantee. Based on the above research conclusions, policy suggestions are put forward to prevent systemic risks.