本文選題：第三產業(yè)板塊 + 行業(yè)信用風險��； 參考：《湖南大學》2014年博士論文

【摘要】：第三產業(yè)顯著影響經濟體系的資金流、物流、信息流等。在經濟結構調整和經濟轉型時期,第三產業(yè)得到政府的大力扶持,而第三產業(yè)上市公司也從中受益,成為證券市場上的潛在熱點。但是,第三產業(yè)各行業(yè)間存在較強的風險關聯(lián)性,且其信用風險傳染效應較為顯著。在此背景下,第三產業(yè)出現(xiàn)連鎖性行業(yè)危機的可能性較大,而且其信用風險擴大效應明顯。因此,為了推動第三產業(yè)的健康持續(xù)發(fā)展,提高第三產業(yè)信用風險管理效率,對證券市場第三產業(yè)板塊行業(yè)間信用風險傳染展開深入研究十分必要。 在理論分析部分,本文從信用風險傳染的界定、信用風險傳染的影響因素以及信用風險傳染的機理等三個方面進行闡述。首先討論信用風險傳染的內涵及特點,繼而分析證券市場第三產業(yè)板塊及第三產業(yè)上市公司信用風險概況,并考察第三產業(yè)行業(yè)信用風險傳染的影響因素,最后探討第三產業(yè)行業(yè)信用風險的傳染機理,為后續(xù)探索第三產業(yè)板塊行業(yè)間信用風險傳染奠定理論基礎。 就實證研究而言,本文以逐步遞進的方式,從證券市場第三產業(yè)板塊行業(yè)信用風險的度量、第三產業(yè)板塊行業(yè)間信用風險傳染路徑的分析、第三產業(yè)板塊行業(yè)間信用風險傳染效應的測度、第三產業(yè)板塊行業(yè)間信用風險傳染影響因素的判定等4個方面出發(fā),系統(tǒng)探討第三產業(yè)板塊行業(yè)間信用風險傳染問題。首先,構建行業(yè)信用風險度量模型,對第三產業(yè)板塊各行業(yè)的信用風險進行量化分析。發(fā)現(xiàn)相較于單個預測模型,該組合模型能更準確地預測公司的違約概率,且犯第一類錯誤的概率更小。然后,選取多變量Granger因果檢驗法,對第三產業(yè)行業(yè)信用風險傳染路徑進行探討,檢測出兩變量Granger因果檢驗中不能分辨出來的信息技術業(yè)對交通運輸倉儲業(yè)、交通運輸倉儲業(yè)對房地產業(yè)、社會服務業(yè)對交通運輸倉儲業(yè)的偽因果關系。且發(fā)現(xiàn)其它各行業(yè)的信用風險變化均會直接傳導至交通運輸倉儲業(yè),使交通運輸倉儲業(yè)也發(fā)生信用風險變化。接著,構建行業(yè)信用風險傳染效應度量模型,考察第三產業(yè)板塊5個行業(yè)間的信用風險傳染效應,證實交通運輸倉儲業(yè)與其它4個行業(yè)、房地產業(yè)與社會服務業(yè)、批發(fā)和零售貿易業(yè)與社會服務業(yè)間的信用風險傳染效應較明顯。并發(fā)現(xiàn)行業(yè)間信用風險傳染效應大致都呈現(xiàn)一個震蕩上行的趨勢,說明樣本期內第三產業(yè)板塊各行業(yè)間信用風險傳染效應日益增強。最后,從不同行業(yè)間信用風險傳染影響因素差異性的角度,分別構建不同行業(yè)間信用風險傳染影響因素分析模型,證實第三產業(yè)板塊行業(yè)間信用風險傳染與經濟發(fā)展態(tài)勢負相關、與通貨膨脹程度負相關、與經濟事件發(fā)生情況正相關、與行業(yè)負債流動性呈負相關、與行業(yè)規(guī)模正相關。而且對不同行業(yè)信用風險傳染程度起決定作用的影響因素是有差異的。 在應用研究方面,本文基于中國證券市場第三產業(yè)上市公司信用風險管理現(xiàn)狀,參考歐美等國家第三產業(yè)信用風險管理的經驗,從信用風險管理體系、信用風險管理技術和信用風險管理流程等三個方面出發(fā),探討第三產業(yè)信用風險管理創(chuàng)新策略。
[Abstract]:The third industry has a significant impact on the financial flow, logistics, information flow and so on. In the period of economic restructuring and economic transformation, the third industry has been strongly supported by the government, and the third industry listed companies also benefit from it and become a potential hot spot in the securities market. However, there are strong risk associations among the various industries of the third industry, and The effect of the credit risk contagion is more significant. Under this background, the third industry is more likely to have a chain industry crisis, and its credit risk expansion effect is obvious. Therefore, in order to promote the healthy and sustained development of the third industry, improve the management efficiency of the credit risk of the third industry, and to the inter industry credit of the third industry plate of the securities market. It is necessary to study the risk contagion in depth.
In the part of the theoretical analysis, this paper expounds the definition of the contagion of credit risk, the influencing factors of the contagion of credit risk and the mechanism of the contagion of credit risk. Firstly, it discusses the connotation and characteristics of the contagion of credit risk, and then analyzes the general situation of the credit risk of the third industry and the listed companies of the third industry, and investigates the general situation of the credit risk of the stock market and the third industry. The factors affecting the contagion of credit risk in the third industry industry, and finally discuss the contagious mechanism of the credit risk in the third industry industry, and lay a theoretical foundation for the follow-up exploration of the credit risk infection among the third industry plate industries.
As far as empirical research is concerned, this paper takes the way of gradual progress, from the measure of credit risk in the third industry plate industry of the securities market, the analysis of the contagious path of credit risk among the third industry plate industries, the measure of the contagious effect of the credit risk among the third industry plate industries, the judgment of the influence factors of the credit risk contagion among the third industry plate industries. Starting from 4 aspects, this paper systematically discusses the problem of the credit risk contagion among the third industry plate industries. First, we construct the industry credit risk measurement model and quantify the credit risk of the third industry sectors. It is found that compared with the single prediction model, the combination model can be more accurate for the Forecast Ltd's default probability and make the first one. The probability of class error is smaller. Then, the multivariable Granger causality test is selected to explore the contagious path of credit risk in the third industry. The information technology industry, which can not be distinguished from the two variable Granger causality test, is detected for the transportation and storage industry, the transportation and storage industry to the real estate industry, the social service industry to the transportation warehouse. In addition, it is found that the change of credit risk in other industries will be directly transmitted to the transportation and warehousing industry, and the credit risk changes in the transportation and warehousing industry. Then, the measurement model of the contagious effect of the industry credit risk is constructed, and the contagious effect of the credit risk among the 5 industries of the third industry plate is examined, and the traffic is confirmed. The effect of the credit risk contagion between the transportation and storage industry with the other 4 industries, the real estate industry and social service industry, the wholesale and retail trade and the social service industry is more obvious. It is found that the contagious effect of the inter industry credit risk is generally a trend of oscillation, indicating the credit risk contagion between the third industry sectors in the sample period. Finally, from the angle of the difference of the influence factors of the credit risk infection among different industries, the analysis model of the influence factors of the credit risk infection among different industries is constructed respectively. It is confirmed that the credit risk contagion between the third industries is negatively related to the economic development situation, and has a negative correlation with the degree of inflation and the occurrence of the economic events. There is a positive correlation in the situation, which is negatively related to the liquidity of the industry, and is positively related to the industry size. And the factors that affect the degree of credit risk contagion in different industries are different.
In the field of applied research, based on the status of the credit risk management of the listed companies in the third industry of China's securities market and the experience of the third industry credit risk management in Europe and America and other countries, this paper discusses the management of the credit risk of the third industry from the three aspects of the credit risk management system, the credit risk management technology and the credit risk management process. Innovation strategy.

【學位授予單位】：湖南大學
【學位級別】：博士
【學位授予年份】：2014
【分類號】：F832.51;F719

【參考文獻】

相關期刊論文 前10條

1 銀莉;陳收;;企業(yè)集團財務危機的“溢出效應”與大股東的支持行為[J];財經論叢;2010年01期

2 李宗怡;李玉海;;我國銀行同業(yè)拆借市場“傳染”風險的實證研究[J];財貿研究;2005年06期

3 程嬋娟;鄒海波;;CPV模型在銀行貸款違約概率計算中的應用研究[J];當代經濟科學;2009年05期

4 胡金焱;馮金余;;次債危機對我國股市的跨國風險傳染——美國、日本、中國香港與滬深A、B股的證據[J];東岳論叢;2010年02期

5 陳林;周宗放;;基于股權比重的企業(yè)集團內母子公司之間信用風險傳遞研究[J];管理工程學報;2009年03期

6 郝項超;梁琪;;企業(yè)財務危機預警:偏最小二乘logistic方法的應用[J];管理工程學報;2010年04期

7 陳為民;張小勇;馬超群;;基于數據挖掘的持卡人信用風險管理研究[J];財經理論與實踐;2012年05期

8 李守偉;何建敏;;不同網絡結構下銀行間傳染風險研究[J];管理工程學報;2012年04期

9 尹群耀;陳庭強;何建敏;吳亞麗;;基于濾子理論的信用風險傳染模型[J];系統(tǒng)工程;2012年12期

10 謝赤;徐國嘏;;銀行信用風險度量Credit Metrics~(TM)模型與CPV模型比較研究[J];湖南大學學報(自然科學版);2006年02期

，

本文編號：1880877