本文關鍵詞：基于KMV模型的我國上市公司信用風險評估實證研究　出處：《中南大學》2012年碩士論文　論文類型：學位論文

  更多相關文章： 信用風險 違約距離 KMV模型 上市公司

【摘要】：隨著近年來次貸危機和歐債危機的爆發(fā),世界各國金融機構(gòu)面臨的信用風險問題日益嚴重,各國金融系統(tǒng)中的信用風險已成為人們關注的焦點。我國證券市場經(jīng)過二十多年的發(fā)展取得了巨大的成就,但同時也積累了很多問題,上市公司的信用風險問題是最主要的問題之一。上市公司是證券市場的核心,是國民經(jīng)濟的重要組成部分,上市公司質(zhì)量的高低、財務狀況的好壞將直接影響我國資本市場健康有序的發(fā)展和投資者的利益�，F(xiàn)代市場經(jīng)濟本質(zhì)即信用經(jīng)濟,作為國民經(jīng)濟重要組成部分的上市公司,其信用風險問題不容忽視。那么,如何準確度量企業(yè)的信用風險,以及哪種信用風險度量方法適用于我國企業(yè)已成為金融機構(gòu)、投資者和政府監(jiān)管部門關注的焦點,同時也是學術研究領域面臨的重大課題。 本文采用理論和實證檢驗相結(jié)合的方法,以我國A股市場176家上市公司為研究對象,利用股票市場數(shù)據(jù)和公司季度財務報告數(shù)據(jù),采用信用風險度量模型—KMV模型為計量方法對我國上市公司季度信用風險進行了度量分析。 通過計算獲得樣本企業(yè)的違約距離后,本文首先運用四種非參數(shù)檢驗法對ST公司信用違約距離和非ST公司信用違約距離進行了檢驗。檢驗結(jié)果表明基于KMV模型計算所得到的ST公司與非ST公司之間的違約距離有顯著差異。利用KMV模型計算獲得的信用違約距離能夠很好的區(qū)分我國上市公司信用風險狀況。 然后,本文對各行業(yè)在2009年至2012年間的信用違約風險變動情況進行對比分析。研究發(fā)現(xiàn)在2009年一季度到2010年一季度之間各行業(yè)的違約風險變動情況趨于一致,從2010年第二季度開始,各行業(yè)違約風險變化趨勢明顯不同。 最后,本文對運輸與倉儲業(yè)及制造業(yè)兩個行業(yè)上市公司違約距離與宏觀經(jīng)濟指標和行業(yè)財務指標均值進行逐步多元線性回歸分析。研究發(fā)現(xiàn)運輸與倉儲行業(yè)上市公司的信用違約風險受利率變動因素影響顯著,并與企業(yè)財務指標中速動比率變化情況存在顯著相關性。制造業(yè)上市公司的違約距離與GDP變動情況、利率變動、企業(yè)經(jīng)營性現(xiàn)金凈流量(同比增長率)、速動比率變化情況存在顯著相關性。由此可知,影響不同行業(yè)信用風險大小的因素有很大的差異。
[Abstract]:With the outbreak of subprime mortgage crisis and European debt crisis in recent years, the credit risk problems faced by financial institutions around the world are becoming more and more serious. The credit risk in the financial system of various countries has become the focus of attention. After more than 20 years of development, China's securities market has made great achievements, but at the same time, it has accumulated a lot of problems. The credit risk of listed companies is one of the most important problems. Listed companies are the core of the securities market, an important part of the national economy, and the quality of listed companies. The financial situation will directly affect the healthy and orderly development of our capital market and the interests of investors. The essence of modern market economy is credit economy, as an important part of the national economy listed companies. The problem of credit risk can not be ignored. Then, how to accurately measure the credit risk of enterprises, and which kind of credit risk measurement method is suitable for Chinese enterprises has become a financial institution. Investors and government regulators are also the focus of academic research. This paper takes 176 listed companies in China's A-share market as the research object, using stock market data and quarterly financial report data. Using the credit risk measurement model-KMV model as the measurement method, this paper analyzes the quarterly credit risk of listed companies in China. After calculating the default distance of the sample enterprise. In this paper, four kinds of nonparametric testing methods are used to test the distance between St company credit default and non-St company credit default. The results show that the St company and non-St company are calculated based on KMV model. There are significant differences in the default distance between companies. The credit default distance calculated by KMV model can distinguish the credit risk situation of listed companies in China. And... This paper makes a comparative analysis of the changes of credit default risk between 2009 and 2012 in various industries. The study finds that the default risk changes between the first quarter of 2009 and the first quarter of 2010. The movement tends to converge. Since in the second quarter of 2010, the trend of default risk in different industries is obviously different. Finally. This paper makes a stepwise linear regression analysis of the distance of default and the mean value of macro-economic index and industry financial index of listed companies in transport and storage industry and manufacturing industry. The risk of credit default is significantly affected by the change of interest rate. And there is a significant correlation with the change of the quick ratio in the financial index. The distance of default and the change of GDP, the change of interest rate, the net cash flow of enterprise (year-on-year growth rate) of listed companies in manufacturing industry. There is a significant correlation between the changes of the quick ratio. Therefore, there are great differences in the factors affecting the size of credit risk in different industries.
【學位授予單位】：中南大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.4;F276.6;F224

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