【摘要】：自2007年美國次貸危機(jī)以來，金融風(fēng)暴全球蔓延，給全球的金融市場帶來了恐慌和沉重的打擊，一大批公司（尤其是銀行和金融機(jī)構(gòu)）由于資產(chǎn)質(zhì)量急劇下降而遭到信用評級下調(diào)甚至破產(chǎn)，，再加上近期美國國債評級下調(diào)和歐洲主權(quán)債務(wù)危機(jī)蔓延，全球金融市場雪上加霜，許多發(fā)達(dá)國家經(jīng)濟(jì)蕭條，失業(yè)率高居不下。這些事件表明，信用風(fēng)險度量模型缺陷和信用衍生工具的快速發(fā)展以及信用風(fēng)險監(jiān)管的滯后成為這次金融風(fēng)暴的主要原因之一。雖然中國受這次金融危機(jī)的影響較小，但目前市場上一些房地產(chǎn)公司資產(chǎn)負(fù)債率較高、地方政府融資平臺現(xiàn)金流預(yù)期短缺、資金面縮緊的市場環(huán)境下公司以高成本從地下錢莊融資等等，這些跡象表明信用風(fēng)險正在中國市場積聚。因此，有關(guān)信信用風(fēng)險度量模型的改進(jìn)和加強(qiáng)信用風(fēng)險監(jiān)管的措施已成為近期研究的焦點(diǎn)。 信用風(fēng)險度量問題一直是風(fēng)險管理中的一個難題，信用風(fēng)險模型從理論上可以分為兩種，一種是簡約化模型（Reduced-Form Model），一種是結(jié)構(gòu)化模型（StructuralModel）。在實(shí)踐應(yīng)用中，由于結(jié)構(gòu)化模型以公司的資本結(jié)構(gòu)為基礎(chǔ)，在評估違約風(fēng)險時具有簡約化模型無可比擬的數(shù)據(jù)獲取優(yōu)勢，因而受到廣泛推崇。 針對以上問題，本文以結(jié)構(gòu)化信用風(fēng)險模型為基礎(chǔ)，考慮資產(chǎn)價值在信息沖擊下的跳躍行為和股票價格的交易噪音，構(gòu)建狀態(tài)空間模型分析上市公司的信用風(fēng)險。運(yùn)用滬深股市A股上市公司的數(shù)據(jù)進(jìn)行實(shí)證分析，結(jié)果表明ST公司的資產(chǎn)價值在ST期間會存在顯著的跳躍，并且相對于非ST公司，ST公司資產(chǎn)價值整體跳躍更明顯。另外，所有上市公司股票價格都存在交易噪音，如果不考慮交易噪音的影響，會低估其信用風(fēng)險。但也存在一些上市公司，即使被ST，其信用風(fēng)險不大，相反，有些沒有被ST的公司，其信用風(fēng)險卻比較大。這說明，在度量上市公司違約可能性大小時，不能僅僅依靠是否被ST作為評判的標(biāo)準(zhǔn)，還應(yīng)該考慮資產(chǎn)價值跳躍和股價交易噪音的影響，這樣才能更好地區(qū)分上市公司的真實(shí)風(fēng)險。
[Abstract]:Since the subprime mortgage crisis in the United States in 2007, the financial turmoil has spread all over the world, causing panic and heavy blows to the global financial markets. A large number of companies, especially banks and financial institutions, have suffered credit ratings downgrades or even bankruptcies due to a sharp decline in asset quality, compounded by the recent downgrade of US Treasuries and the contagion of the European sovereign debt crisis. Many developed countries have depressed economies and high unemployment rates. These events indicate that the defects of credit risk measurement model, the rapid development of credit derivatives and the lag of credit risk supervision become one of the main reasons for the financial storm. Although China was less affected by the financial crisis, some real estate companies in the market now have relatively high asset-liability ratios, and local government financing platforms are expected to be short of cash flow. In a tight capital-market environment, companies are raising money from underground banks at high cost, and so on, suggesting that credit risk is building up in the Chinese market. Therefore, the improvement of credit risk measurement model and the measures to strengthen credit risk supervision have become the focus of recent research. Credit risk measurement is always a difficult problem in risk management. Credit risk models can be divided into two types theoretically, one is reduced model (Reduced-Form Model),) and the other is structured model (StructuralModel). In practical application, because the structured model is based on the capital structure of the company, it has the advantage of data acquisition which is incomparable to the simplified model when evaluating default risk, so it is widely respected. Based on the structured credit risk model, considering the jumping behavior of asset value under the impact of information and the transaction noise of stock price, this paper constructs a state-space model to analyze the credit risk of listed companies. By using the data of A-share listed companies in Shanghai and Shenzhen stock markets, the results show that there is a significant jump in the asset value of ST during the ST period, and compared with the non-ST companies, the overall jump in the asset value of ST companies is more obvious. In addition, trading noise exists in the stock prices of all listed companies, and credit risk is underestimated if the impact of trading noise is not taken into account. But there are also some listed companies, even if by ST, its credit risk is not big, on the contrary, some companies that have not been ST, its credit risk is relatively big. This shows that when measuring the probability of default of a listed company, it should not only depend on whether it is judged by ST, but also consider the impact of the jump of asset value and the noise of stock price trading. Only in this way can the real risks of listed companies be better distinguished.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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