本文關(guān)鍵詞：基于ordered probit模型的我國(guó)上市公司信用評(píng)級(jí)的研究　出處：《大連理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 上市公司 信用評(píng)級(jí) 財(cái)務(wù)指標(biāo) 非財(cái)務(wù)指標(biāo) 有序概率模型 逐步回歸 AIC值 拉格朗日乘數(shù)檢驗(yàn)法 正態(tài)性假定

【摘要】：受國(guó)際經(jīng)濟(jì)形勢(shì)的影響,我國(guó)的市場(chǎng)經(jīng)濟(jì)也在不斷的發(fā)展和變化,隨之而來(lái)的信用評(píng)級(jí)在經(jīng)濟(jì)的發(fā)展中扮演著越來(lái)越重要的角色。投資行業(yè)、銀行業(yè)等對(duì)于準(zhǔn)確估計(jì)企業(yè)信用等級(jí)也提出了更高的要求,而現(xiàn)有的信用評(píng)級(jí)體系和方法主要是建立在財(cái)務(wù)指標(biāo)數(shù)據(jù)上得到的,通過(guò)借鑒國(guó)內(nèi)外信用評(píng)級(jí)的研究成果發(fā)現(xiàn),非財(cái)務(wù)指標(biāo)對(duì)企業(yè)信用評(píng)級(jí)也有重大影響,綜合考量財(cái)務(wù)指標(biāo)和非財(cái)務(wù)指標(biāo)能夠更準(zhǔn)確的估計(jì)企業(yè)信用等級(jí)。又因?yàn)樾庞玫燃?jí)是多分類有序變量,本文選用了有序概率模型,這種模型是估計(jì)有序離散變量最常采用的模型之一。 本文收集了38家上市公司的財(cái)務(wù)指標(biāo)與非財(cái)務(wù)指標(biāo)作為樣本數(shù)據(jù),利用統(tǒng)計(jì)軟件R語(yǔ)言對(duì)數(shù)據(jù)進(jìn)行描述性統(tǒng)計(jì)分析、相關(guān)性分析及回歸分析,使用逐步回歸法簡(jiǎn)化模型。估計(jì)結(jié)果顯示非財(cái)務(wù)指標(biāo)對(duì)信用評(píng)級(jí)確有顯著影響,逐步回歸后得到的模型AIC值最小,擬合優(yōu)度較好,模型中保留的變量對(duì)企業(yè)信用評(píng)級(jí)均有顯著影響。有序概率模型是以隨機(jī)擾動(dòng)項(xiàng)服從標(biāo)準(zhǔn)正態(tài)分布為基本假定,得到如上估計(jì)結(jié)果,因此本文使用拉格朗日乘數(shù)檢驗(yàn)法對(duì)該假定做出判斷,檢驗(yàn)結(jié)果顯示不能拒絕模型中隨機(jī)擾動(dòng)項(xiàng)服從標(biāo)準(zhǔn)正態(tài)分布。
[Abstract]:The impact of the international economic situation, China's market economy is also in constant development and change, the credit rating plays an increasingly important role in economic development. The investment banking industry, for the accurate estimation of corporate credit rating is also put forward higher requirements, and the existing credit rating system and method the main is to establish in the financial index data, based on the research results of the domestic and foreign credit rating that non-financial indicators have a significant impact on the enterprise credit rating, comprehensive consideration of financial and non-financial indicators of corporate credit rating can be estimated more accurately. And because the credit rating is ordered categorical variables, the the ordered probability model, this model is one of the estimated model ordered discrete variables are most often used.
This paper collected 38 listed companies of the financial indicators and non-financial indicators as sample data, descriptive statistical analysis of data using statistical software R, correlation analysis and regression analysis, using stepwise regression method to simplify the model. The estimation results show significant influence on the non-financial indicators of credit rating is obtained after the stepwise regression model of AIC value the smallest, good fitting, the model variables retained significant influence on enterprise credit rating. The ordered probability model is perturbed obey standard normal distribution assumption in a random, such as on the estimation results, so this paper use the method to judge the Lagrange multiplier test assumes that the test results show that the model cannot be rejected in random the disturbance obeys normal distribution.

【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F270

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本文編號(hào)：1386044