本文關(guān)鍵詞： 房地產(chǎn)市場(chǎng) 信用風(fēng)險(xiǎn)管理 KMV模型 聚類(lèi)分析　出處：《南京大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：眾所周知在過(guò)去的2013年全國(guó)70個(gè)大中型城市的房?jī)r(jià)是一幅欣欣向榮的景象,但從2014年年初曝出杭州部分樓盤(pán)大幅降價(jià)銷(xiāo)售開(kāi)始,關(guān)于商品房銷(xiāo)售價(jià)格的下跌卻呈現(xiàn)越演越烈的態(tài)勢(shì),而我們知道房地產(chǎn)行業(yè)是個(gè)高負(fù)債的行業(yè),今年國(guó)家也沒(méi)有出臺(tái)嚴(yán)厲的房地產(chǎn)調(diào)控政策,由此我們不禁對(duì)房地產(chǎn)企業(yè)的信用風(fēng)險(xiǎn)狀況格外關(guān)注,本文正是基于此嘗試研究上市房地產(chǎn)企業(yè)的信用風(fēng)險(xiǎn)。本文在論述了信用風(fēng)險(xiǎn)相關(guān)基礎(chǔ)理論,并在分析了目前國(guó)際上比較流行的四個(gè)信用風(fēng)險(xiǎn)度量模型之后,選擇了KMV模型對(duì)我國(guó)上市房地產(chǎn)企業(yè)所面臨的信用危險(xiǎn)進(jìn)行實(shí)際檢驗(yàn)分析。本文在對(duì)無(wú)風(fēng)險(xiǎn)利率參數(shù)的確定上考慮到互聯(lián)網(wǎng)金融的影響；通過(guò)聚類(lèi)分析的統(tǒng)計(jì)方法來(lái)選取樣本,使得實(shí)證研究的結(jié)果的可信度有所增加。經(jīng)過(guò)計(jì)算,本文得出了我國(guó)上市房地產(chǎn)公司2013年的信用風(fēng)險(xiǎn)狀況較2012年有所改善、業(yè)績(jī)優(yōu)秀的房地產(chǎn)上市公司違約的可能性要大大低于業(yè)績(jī)表現(xiàn)不良的上市房地產(chǎn)公司的結(jié)論,這些結(jié)論是與基本經(jīng)濟(jì)原則相吻合,驗(yàn)證了KMV模型對(duì)于我國(guó)上市房地產(chǎn)企業(yè)信用危機(jī)管理的適用性和可靠性。不可否認(rèn)我國(guó)在信用風(fēng)險(xiǎn)管理方面跟歐美發(fā)達(dá)國(guó)家還有較大差距,當(dāng)務(wù)之急是需要積累上市房地產(chǎn)公司發(fā)生信用違約的數(shù)據(jù),加快相關(guān)企業(yè)信用違約數(shù)據(jù)庫(kù)的建設(shè),此外我們還需要繼續(xù)加強(qiáng)對(duì)信用風(fēng)險(xiǎn)度量模型的研究,根據(jù)此次實(shí)證研究過(guò)程和結(jié)果在本文結(jié)論中提出一些建議,希望有益于提升我國(guó)A股市場(chǎng)房地產(chǎn)企業(yè)信用風(fēng)險(xiǎn)管理水平。
[Abstract]:It is well known that in the past 2013, the housing prices of 70 large and medium-sized cities in the country is a thriving scene, but since early 2014, it was revealed that some of the real estate in Hangzhou has been sold at a large price. About the commercial housing sales price decline is showing increasingly strong trend, and we know that the real estate industry is a highly indebted industry, this year the country has not issued strict real estate regulation and control policies. Therefore, we can not help but pay special attention to the credit risk of real estate enterprises. This paper tries to study the credit risk of listed real estate enterprises based on this. This paper discusses the basic theory of credit risk. And after analyzing the four credit risk measurement models which are popular in the world at present. The KMV model is selected to test and analyze the credit risk faced by listed real estate enterprises in China. This paper considers the influence of Internet finance on the determination of risk-free interest rate parameters. Through the statistical method of cluster analysis to select samples, the reliability of the results of empirical research has been increased. This paper draws a conclusion that the credit risk situation of listed real estate companies in China in 2013 is better than that in 2012. The possibility of default of outstanding listed real estate companies is much lower than that of listed real estate companies with poor performance. These conclusions are consistent with the basic economic principles. Verify the applicability and reliability of KMV model for the credit crisis management of listed real estate enterprises in China. There is no denying that there is still a big gap between China and the developed countries in credit risk management. The urgent task is to accumulate credit default data of listed real estate companies and accelerate the construction of credit default database. In addition, we need to continue to strengthen the study of credit risk measurement model. According to the process and results of this empirical study, some suggestions are put forward in this paper, hoping to improve the credit risk management level of real estate enterprises in A-share market.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F299.233.4;F832.51

【共引文獻(xiàn)】

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1 李懋;巴塞爾新資本協(xié)議下中國(guó)商業(yè)銀行操作風(fēng)險(xiǎn)管理研究[D];云南財(cái)經(jīng)大學(xué);2011年

2 盧曉慶;XT縣農(nóng)業(yè)發(fā)展銀行流動(dòng)性風(fēng)險(xiǎn)管理研究[D];湘潭大學(xué);2013年

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7 尤日旺;S銀行對(duì)A公司房地產(chǎn)項(xiàng)目貸款的信用風(fēng)險(xiǎn)管理研究[D];華南理工大學(xué);2014年

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10 李旭東;XX銀行湖南省分行信貸風(fēng)險(xiǎn)全過(guò)程管理研究[D];湘潭大學(xué);2014年

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