【摘要】：信用風(fēng)險是金融市場中最古老的和最重要的風(fēng)險形式之一，也是金融機(jī)構(gòu)所面臨的主要風(fēng)險。2007年美國的次貸金融危機(jī)，給經(jīng)濟(jì)和社會造成了嚴(yán)重?fù)p害，也給全球范圍內(nèi)的信用風(fēng)險管理提出了新的挑戰(zhàn)。目前，在全世界范圍內(nèi)，建立具有較強(qiáng)現(xiàn)實(shí)意義的信用風(fēng)險計(jì)量模型，并能將其有效地運(yùn)用于現(xiàn)實(shí)風(fēng)險管理過程當(dāng)中，已經(jīng)成為一個受到廣泛關(guān)注而且刻不容緩的工作。 基于以上的現(xiàn)實(shí)，本文選取著名的信用風(fēng)險度量模型——KMV模型作為主要的研究對象。論文首先介紹了信用風(fēng)險的定義、企業(yè)信用風(fēng)險的主要特征以及主要計(jì)量指標(biāo)等基本內(nèi)容，接著介紹企業(yè)信用風(fēng)險度量方法的演變，其中，著重介紹KMV模型的基本思想、應(yīng)用框架和評價，并在此基礎(chǔ)上將市場分割因素和利率隨機(jī)變動的因素納入模型的考慮范圍，從而構(gòu)建出全新的KMV模型，能夠?qū)μ幱趶?fù)雜環(huán)境中的上市公司的信用風(fēng)險做出全面和準(zhǔn)確的度量。更進(jìn)一步地，本文選取了20家處在市場分割和隨機(jī)利率環(huán)境中的A+H上市公司作為實(shí)證研究對象，，對其違約距離做實(shí)證分析以驗(yàn)證新模型的有效性，最終的實(shí)證分析結(jié)果表明在存在市場分割的條件下，對于利率敏感性的行業(yè)，采用隨機(jī)利率下的KMV模型更能反映公司的真實(shí)信用風(fēng)險情況；而對于利率非敏感性的行業(yè)，采用兩類KMV模型的實(shí)證分析結(jié)果則差別不大。 本文綜合考慮了市場分割和利率隨機(jī)變動兩個因素對于A+H上市公司信用風(fēng)險的影響，通過對其違約距離的測量和對比分析，進(jìn)一步提升了投資者和監(jiān)管當(dāng)局對于A+H上市公司整體信用風(fēng)險的認(rèn)識，為各金融主體提供了有價值的參考意見。
[Abstract]:Credit risk is one of the oldest and most important forms of risk in the financial market, and it is also the main risk faced by financial institutions. It also presents a new challenge to the global credit risk management. At present, the establishment of credit risk measurement model with strong practical significance and its effective application in the process of real risk management in the world has become a widespread concern and urgent work. Based on the above facts, this paper selects the famous credit risk measurement model-KMV model as the main research object. The paper first introduces the definition of credit risk, the main characteristics of enterprise credit risk and the main measurement index, and then introduces the evolution of enterprise credit risk measurement method, in which the basic idea of KMV model is emphasized. On the basis of applying the framework and evaluation, the factors of market segmentation and random change of interest rate are taken into account in the model, and a new KMV model is constructed. Able to make a comprehensive and accurate measurement of the credit risk of listed companies in a complex environment. Furthermore, this paper selects 20 A-H listed companies in the market segmentation and stochastic interest rate environment as the empirical research object, and makes an empirical analysis on the default distance to verify the validity of the new model. The results of the final empirical analysis show that under the condition of market segmentation, the KMV model under stochastic interest rate can better reflect the real credit risk of the company for the industry with interest rate sensitivity, while for the industry that interest rate is not sensitive, the KMV model can better reflect the real credit risk of the company. The results of empirical analysis using two kinds of KMV models are not different. This paper synthetically considers the influence of market segmentation and random change of interest rate on the credit risk of A H listed companies, through the measurement and comparative analysis of the distance of breach of contract. It further improves the understanding of the credit risk of A H listed companies by investors and regulatory authorities, and provides valuable reference for all financial entities.
【學(xué)位授予單位】：廣東財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F224;F832.51;F270

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