發(fā)布時(shí)間：2018-07-18 17:29

【摘要】：隨著我國改革開放的逐步深入和經(jīng)濟(jì)的迅速發(fā)展,金融市場也得到了空前的發(fā)展。作為金融市場上最重要的中介機(jī)構(gòu)——商業(yè)銀行,在規(guī)模迅速擴(kuò)張的同時(shí),也在一定程度上增加了信用風(fēng)險(xiǎn),客觀上對其風(fēng)險(xiǎn)管理的能力提出了更高的要求。隨著銀行的股份制改革和成功上市,銀行作為一個(gè)獨(dú)立的經(jīng)濟(jì)體參與整個(gè)市場經(jīng)濟(jì)的運(yùn)作,面臨激烈的競爭和各種各樣的風(fēng)險(xiǎn)。在其所有面臨的所有風(fēng)險(xiǎn)中,信用風(fēng)險(xiǎn)顯得尤為重要。上市公司作為整個(gè)資本市場的基礎(chǔ),對資本市場的發(fā)展起著關(guān)鍵性作用,因此,對上市公司的信用風(fēng)險(xiǎn)做一定的研究有著切實(shí)的現(xiàn)實(shí)意義。 本文首先介紹了傳統(tǒng)的信用風(fēng)險(xiǎn)評價(jià)方法和現(xiàn)代金融工程模型,并具體分析了四種現(xiàn)代金融工程模型(Credit Metric；模型、Credit Risl書模型、Credit Portfolio Vie咿模型和KMV模型)的優(yōu)缺點(diǎn),認(rèn)為KMV模型適合作為研究我國上市公司信用風(fēng)險(xiǎn)度量的模型。接下來重點(diǎn)介紹了KMV模型的理論基礎(chǔ)和計(jì)算過程,并根據(jù)我國資本市場的實(shí)際情況對一些參數(shù)進(jìn)行了必要的修正,使其更能與我國資本市場的實(shí)際情況相適應(yīng)。最后通過使用MATLAB軟件編程進(jìn)行實(shí)證分析,目前在我國滬深兩市上市的農(nóng)業(yè)類上市公司共有60家,其中有幾家(時(shí)期一中有3家,時(shí)期二中有12家)因?yàn)樯鲜袝r(shí)間較短,無法獲取足夠的交易數(shù)據(jù)而被排除在樣本之外。在計(jì)算出違約距離的基礎(chǔ)上,本文首先分析了時(shí)期一和時(shí)期二的整體信用風(fēng)險(xiǎn)變動(dòng)情況,得出時(shí)期二時(shí)的信用風(fēng)險(xiǎn)相對于時(shí)期一來講,有明顯的下降；然后又將總樣本根據(jù)上市板塊的不同分為主板、中小板和創(chuàng)業(yè)板,分別計(jì)算其違約距離,并比較其變動(dòng)趨勢,得出中小板和創(chuàng)業(yè)板上市公司的違約距離在時(shí)期二有較大幅度的增加,而主板上市公司的違約距離卻有小幅下降,即中小板和創(chuàng)業(yè)板上市公司的信用風(fēng)險(xiǎn)在時(shí)期二有較大幅度的降低,而主板上市公司的違約風(fēng)險(xiǎn)卻有小幅度升高。最后,又在農(nóng)業(yè)這一大類中分成不同的子行業(yè),得出林業(yè)板塊的違約風(fēng)險(xiǎn)有較大幅度的增加,而果業(yè)、畜禽、海產(chǎn)品和飼料類上市公司的違約風(fēng)險(xiǎn)有較大幅度的下降。 根據(jù)以上研究結(jié)論,本文提出以下政策建議：第一,加強(qiáng)市場監(jiān)管,提高上市公司質(zhì)量。第二,建立和完善違約數(shù)據(jù)庫。第三,繼續(xù)加強(qiáng)KMV模型的修正工作。第四,提高農(nóng)業(yè)地位,細(xì)化農(nóng)業(yè)補(bǔ)貼。
[Abstract]:With the deepening of China's reform and opening up and the rapid economic development, the financial market has also been unprecedented development. As the most important intermediary in the financial market, commercial banks increase the credit risk to a certain extent while the scale expands rapidly, and put forward higher requirements on the ability of risk management. With the joint-stock system reform and successful listing of banks, as an independent economy, participate in the operation of the entire market economy, facing fierce competition and various risks. In all the risks it faces, credit risk is particularly important. As the basis of the whole capital market, listed companies play a key role in the development of capital market. Therefore, it is of practical significance to study the credit risk of listed companies. This paper first introduces the traditional credit risk assessment methods and modern financial engineering models, and analyzes the advantages and disadvantages of the four modern financial engineering models (Credit Metrics (Credit Risl book model), Credit portfolio Vie model and KMV model). The KMV model is suitable for the study of credit risk measurement of listed companies in China. Then the theoretical basis and calculation process of the KMV model are introduced, and some parameters are modified according to the actual situation of China's capital market to make it more suitable for the actual situation of China's capital market. Finally, through the use of MATLAB software programming for empirical analysis, there are 60 agricultural listed companies listed in the Shanghai and Shenzhen stock markets at present, of which several are listed (3 in the first and 12 in the second) because of the short time of listing. Unable to obtain enough transaction data to be excluded from the sample. On the basis of calculating the distance of breach of contract, this paper first analyzes the whole credit risk of period one and period two, and draws the conclusion that the credit risk of period 02:00 is obviously lower than that of period one. Then the total sample is divided into main board, small and medium-sized board and growth enterprise board according to the different listed plates. The distance of breach of contract is calculated respectively, and the trend of change is compared. It is concluded that the default distance between the small and medium-sized board and the gem listed companies has increased by a large margin in the second period, while the default distance of the main board listed companies has decreased slightly. That is, the credit risk of the listed companies in the small and medium board and the growth Enterprise Market is reduced by a large margin in the second period, while the default risk of the listed companies on the main Board is increased by a small margin. Finally, it is divided into different sub-industries in agriculture. It is concluded that the default risk of forestry plate has a large increase, while the default risk of fruit industry, livestock, seafood and feed listed companies has a large decline. According to the above conclusions, this paper puts forward the following policy suggestions: first, strengthen market supervision and improve the quality of listed companies. Second, establish and perfect default database. Third, continue to strengthen the revision of the KMV model. Fourth, improve agricultural status, refine agricultural subsidies.
【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F324;F832.4

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