本文關(guān)鍵詞：中國發(fā)債公司信用風(fēng)險(xiǎn)的實(shí)證分析　出處：《天津財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 信用風(fēng)險(xiǎn) BP神經(jīng)網(wǎng)絡(luò) 信用風(fēng)險(xiǎn)評估 發(fā)債公司

【摘要】：近年來,伴隨著金融業(yè)的發(fā)展,我國的債券市場取得了迅猛的發(fā)展。越來越多的企業(yè)到債券市場上發(fā)行債券,募集資金,債券的品種和數(shù)量都有了極大的增長。投資者在購買債券獲得收益的同時(shí),也要承擔(dān)債券發(fā)行者可能違約帶來的損失。對發(fā)債企業(yè)的信用風(fēng)險(xiǎn)的評估成為債券市場參與者關(guān)注的焦點(diǎn),對信用風(fēng)險(xiǎn)的評估和控制不僅影響著投資者的利益,還關(guān)系著債券市場的健康發(fā)展,乃至國民經(jīng)濟(jì)的正常運(yùn)行。因此本文著力建立一個評估發(fā)債公司信用風(fēng)險(xiǎn)的模型,來評估發(fā)債公司的信用風(fēng)險(xiǎn)。本文尋求影響公司信用風(fēng)險(xiǎn)的各種因素運(yùn)用定量的分析方法,建立評估發(fā)債公司信用風(fēng)險(xiǎn)的模型,為投資者、監(jiān)管當(dāng)局度量市場上的信用風(fēng)險(xiǎn)提供參考,促進(jìn)我國債券市場健康、有序、平穩(wěn)的發(fā)展。 本文參考現(xiàn)有的研究成果,對信用風(fēng)險(xiǎn)的理論進(jìn)行闡述,分析我國債券市場的現(xiàn)狀,從發(fā)行主體和債券品種方面,分析了我國債券市場的結(jié)構(gòu)。接著介紹了信用評級的經(jīng)濟(jì)理論和主流評級公司的評級方法,并分析發(fā)達(dá)國家和我國的信用風(fēng)險(xiǎn)分析技術(shù)的發(fā)展及應(yīng)用情況。構(gòu)建了BP神經(jīng)網(wǎng)絡(luò)模型,對發(fā)債公司的信用風(fēng)險(xiǎn)進(jìn)行評估。利用2011年進(jìn)行過信用評級發(fā)債公司的數(shù)據(jù),作為模型的樣本,構(gòu)建合適的信用風(fēng)險(xiǎn)評估指標(biāo)體系。然后對模型進(jìn)行計(jì)算和檢驗(yàn),得出結(jié)論,并分析了模型的局限性。 研究結(jié)果表明,選取的12個財(cái)務(wù)指標(biāo)基本反映了發(fā)債公司的信用風(fēng)險(xiǎn)狀況,構(gòu)建的評估模型對我國發(fā)債公司信用風(fēng)險(xiǎn)的評估比較合理,可以較好的評估發(fā)債公司的信用風(fēng)險(xiǎn)狀況,具有較好的短期預(yù)測功能。
[Abstract]:In recent years, with the development of the financial industry, China's bond market has made a rapid development. More and more enterprises to the bond market to issue bonds, raise funds. The variety and quantity of bonds have grown tremendously. Investors are making gains while buying bonds. The assessment of credit risk of bond issuing enterprises becomes the focus of the bond market participants, the assessment and control of credit risk not only affects the interests of investors. It is also related to the healthy development of the bond market and even the normal operation of the national economy. In order to evaluate the credit risk of the bond issuing company, this paper seeks to use the quantitative analysis method to establish a model to evaluate the credit risk of the bond issuing company, which is the investor of the various factors that affect the credit risk of the company. The regulatory authority measures the credit risk in the market and promotes the healthy, orderly and stable development of China's bond market. This paper, referring to the existing research results, expounds the theory of credit risk, and analyzes the present situation of the bond market in China, from the aspects of the issuer and the variety of bonds. This paper analyzes the structure of China's bond market, and then introduces the economic theory of credit rating and the rating methods of mainstream rating companies. The development and application of credit risk analysis technology in developed countries and China are analyzed, and BP neural network model is constructed. The credit risk of the bond issuing company was evaluated. The data of the credit rating issuing company in 2011 were used as a sample of the model. A suitable credit risk evaluation index system is constructed, and then the model is calculated and tested, and the conclusion is drawn, and the limitations of the model are analyzed. The results show that the 12 financial indicators selected basically reflect the credit risk situation of the bond issuing companies, and the evaluation model is reasonable for the credit risk assessment of the bond issuing companies in China. It can evaluate the credit risk of bond issuing companies and has good short-term forecasting function.
【學(xué)位授予單位】：天津財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5

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本文編號：1399840