本文選題：房地產(chǎn)公司 + 違約風(fēng)險��； 參考：《清華大學(xué)》2013年碩士論文

【摘要】：近年來我國房地產(chǎn)業(yè)不確定性日益增加，行業(yè)內(nèi)部出現(xiàn)明顯分化，部分房地產(chǎn)公司的信用水平不斷惡化。與此同時，，房地產(chǎn)業(yè)的外部融資環(huán)境正在發(fā)生深刻變化，金融脫媒和利率市場化的疊加效應(yīng)勢必會對準(zhǔn)確有效的公司違約風(fēng)險度量提出更高要求。但是，現(xiàn)有房地產(chǎn)公司違約風(fēng)險度量方法在信息利用方面仍然存在不足，為了提高風(fēng)險度量的準(zhǔn)確性和可靠性，本文從信息視角構(gòu)建了一個度量違約風(fēng)險的完整框架。 論文系統(tǒng)梳理了房地產(chǎn)公司違約的理論基礎(chǔ)，指出信息不對稱引致的信息優(yōu)勢方的機會主義行為是產(chǎn)生違約風(fēng)險的根本原因。基于這一認識，本文主要從三個方面完善違約風(fēng)險度量方法：一是在數(shù)據(jù)結(jié)構(gòu)上，重點比較相同信息類型條件下靜態(tài)數(shù)據(jù)結(jié)構(gòu)和動態(tài)數(shù)據(jù)結(jié)構(gòu)對模型判別能力的影響差異；二是在模型方法上，側(cè)重于考察基于股票市場信息的結(jié)構(gòu)化模型能否提供宏觀經(jīng)濟和會計信息以外有關(guān)公司違約的額外信息；三是在信息類型方面，考慮到我國宏觀經(jīng)濟信息、會計信息及市場信息等“硬”信息可能存在的信息質(zhì)量問題，本文進一步從“軟”信息入手，通過設(shè)計一種實證方法，從銀企關(guān)系角度間接度量并檢驗“軟”信息對違約風(fēng)險度量模型的改進作用。 基于本文收集整理的中國房地產(chǎn)上市公司銀行信貸違約歷史數(shù)據(jù)，論文實證研究發(fā)現(xiàn)：①在相同的“硬”信息條件下，相比靜態(tài)數(shù)據(jù)模型，動態(tài)數(shù)據(jù)模型能夠捕捉更多的有效信息，提高違約風(fēng)險度量的準(zhǔn)確性；②使用結(jié)構(gòu)化模型預(yù)測中國房地產(chǎn)公司違約是有效的，但是相比宏觀經(jīng)濟和會計信息，樣本期內(nèi)股票市場信息并不能提供有關(guān)公司違約的額外信息；③“軟”信息對于改進違約風(fēng)險度量模型具有重要價值，不僅能夠顯著提高風(fēng)險判別的準(zhǔn)確性，而且有助于減小不同數(shù)據(jù)結(jié)構(gòu)對模型估計的影響。論文的研究結(jié)果為不同信息在房地產(chǎn)公司違約風(fēng)險度量中的實際作用提供了經(jīng)驗證據(jù)，對于改進和完善公司違約模型具有借鑒意義。
[Abstract]:In recent years, the uncertainty of China's real estate industry is increasing, and the credit level of some real estate companies is deteriorating. At the same time, the external financing environment of the real estate industry is undergoing profound changes. The superposition effect of financial disintermediation and interest rate marketization will inevitably put forward higher requirements for accurate and effective corporate default risk measurement. In order to improve the accuracy and reliability of risk measurement, this paper constructs a complete framework to measure default risk from the perspective of information. The paper systematically combs the theoretical basis of the default of real estate companies, and points out that the opportunistic behavior of the information advantage party caused by asymmetric information is the fundamental reason for the risk of default. Based on this understanding, this paper mainly from three aspects to improve the default risk measurement methods: first, in the data structure, focus on the same information types of static data structure and dynamic data structure on the model discriminant ability difference; The second is whether the structured model based on stock market information can provide additional information about corporate default in addition to macroeconomic and accounting information, and the third is considering the macroeconomic information of our country in terms of information types, the second is whether the structured model based on stock market information can provide any additional information about corporate default in addition to macroeconomic and accounting information. Accounting information and market information and other "hard" information may exist information quality problems, this paper further from the "soft" information, through the design of an empirical method, Indirectly measure and test the "soft" information to improve the default risk measurement model from the perspective of the relationship between banks and enterprises. Based on the historical data of bank credit default of listed Chinese real estate companies collected in this paper, the empirical study shows that under the same "hard" information condition, compared with the static data model, Dynamic data model can capture more effective information and improve the accuracy of default risk measurement. 2 it is effective to use structured model to predict Chinese real estate company default, but compared with macroeconomic and accounting information, dynamic data model is effective. The stock market information in the sample period can not provide additional information about the company default. The soft information has important value for improving the default risk measurement model, and not only can significantly improve the accuracy of risk discrimination. It also helps to reduce the influence of different data structures on model estimation. The results of this paper provide empirical evidence for the actual role of different information in the measurement of default risk of real estate companies, and have reference significance for improving and perfecting the default model of real estate companies.
【學(xué)位授予單位】：清華大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F299.233.4;F832.4

【參考文獻】

相關(guān)期刊論文 前10條

1 何韌;;銀企關(guān)系與銀行貸款定價的實證研究[J];財經(jīng)論叢;2010年01期

2 何韌;王維誠;;銀企關(guān)系與中小企業(yè)成長——關(guān)系借貸價值的經(jīng)驗證據(jù)[J];財經(jīng)研究;2009年10期

3 石軍偉;胡立君;付海艷;;企業(yè)社會資本的功效結(jié)構(gòu):基于中國上市公司的實證研究[J];中國工業(yè)經(jīng)濟;2007年02期

4 黃純純;公司上市、關(guān)系貸款與中國銀企關(guān)系的重建[J];管理世界;2003年12期

5 程民選;;信用的經(jīng)濟學(xué)內(nèi)涵及其相關(guān)概念辨析[J];廣州大學(xué)學(xué)報(社會科學(xué)版);2006年11期

6 張榮艷;章愛文;黃絲絲;;基于現(xiàn)金流量的房地產(chǎn)上市公司財務(wù)預(yù)警[J];財會月刊;2012年33期

7 沈藝峰;劉微芳;游家興;;嵌入性:企業(yè)社會資本和企業(yè)融資結(jié)構(gòu)——來自我國房地產(chǎn)上市公司的經(jīng)驗證據(jù)[J];經(jīng)濟管理;2009年05期

8 劉鳳芹;不完全合約與履約障礙——以訂單農(nóng)業(yè)為例[J];經(jīng)濟研究;2003年04期

9 羅黨論;唐清泉;;政府控制、銀企關(guān)系與企業(yè)擔(dān)保行為研究——來自中國上市公司的經(jīng)驗證據(jù)[J];金融研究;2007年03期

10 何軍峰;;基于修正KMV模型對房地產(chǎn)上市公司信用風(fēng)險評估[J];價值工程;2011年34期

本文編號：1965495