《保险研究》20250403-《全局博弈下的城投债务风险定价结构化分析模型》（傅国耕）

［摘   要］截至2023年底保险资金运用余额达到28.2万亿元，其中部分资金投向城投公司。从保险公司视角看，进一步理解城投公司债券风险定价模式，对于有效管理投资组合、维护资金保值增值具有重要意义。本研究以城投公司决策受其股东地方政府管理作为切入点，聚焦城投公司的内生违约决策机制，通过构建微观博弈机制模型，对城投公司债务隐性担保下的定价进行动态描述，并将全局博弈与债券市场中广泛使用的结构化信用模型结合，进一步解释城投公司债券的区域化“信用分层”现象，为城投公司违约情况下的风险外溢与系统性风险提供了量化分析框架。本研究构建的模型框架有助于深化对城投公司债务风险定价理解，为保险公司在动态投资环境中做出决策提供增益信息。

［关键词］地方政府性债务；城投债；信用风险；全局博弈；系统性风险

［作者简介］傅国耕，清华大学五道口金融学院博士，现就职于中国国际金融股份有限公司，研究方向：地方债务、金融稳定、国际金融。

A Global Game-Based Structural Model for Risk Pricing of China′s Municipal Investment Bonds

FU Guo-geng

Abstract：As of the end of 2023，the insurance fund reached 28.2 trillion yuan，with a portion allocated to municipal investment companies.From the perspective of insurers，the proper understanding of the risk-pricing mechanism for bonds issued by these companies is critical for managing investment portfolios effectively and preserving capital value.This study begins with the unique governance structure of municipal investment companies—where decision-making is influenced by their shareholders （local governments）—and focuses on their endogenous default decision mechanism.By constructing a micro-level game model，the paper dynamically characterizes bond pricing under implicit guarantees.Furthermore，integrating global game  with the structural credit model widely adopted in bond markets，this paper explains the regionalized “credit stratification” phenomenon observed in municipal investment bonds.It also establishes a quantitative framework to analyze risk spillover and systemic risks arising from potential municipal investment company defaults.The proposed model advances the understanding of risk pricing for municipal investment bonds and provides actionable insights for insurers to optimize decision-making in dynamic investment environments.

Key words：local government debt;municipal investment bonds;credit risk;global game;systemic risk