基于KMV模型的我国农业类上市公司信用风险研究

发布时间：2018-07-18 17:29

【摘要】：随着我国改革开放的逐步深入和经济的迅速发展,金融市场也得到了空前的发展。作为金融市场上最重要的中介机构——商业银行,在规模迅速扩张的同时,也在一定程度上增加了信用风险,客观上对其风险管理的能力提出了更高的要求。随着银行的股份制改革和成功上市,银行作为一个独立的经济体参与整个市场经济的运作,面临激烈的竞争和各种各样的风险。在其所有面临的所有风险中,信用风险显得尤为重要。上市公司作为整个资本市场的基础,对资本市场的发展起着关键性作用,因此,对上市公司的信用风险做一定的研究有着切实的现实意义。本文首先介绍了传统的信用风险评价方法和现代金融工程模型,并具体分析了四种现代金融工程模型(Credit Metric；模型、Credit Risl书模型、Credit Portfolio Vie咿模型和KMV模型)的优缺点,认为KMV模型适合作为研究我国上市公司信用风险度量的模型。接下来重点介绍了KMV模型的理论基础和计算过程,并根据我国资本市场的实际情况对一些参数进行了必要的修正,使其更能与我国资本市场的实际情况相适应。最后通过使用MATLAB软件编程进行实证分析,目前在我国沪深两市上市的农业类上市公司共有60家,其中有几家(时期一中有3家,时期二中有12家)因为上市时间较短,无法获取足够的交易数据而被排除在样本之外。在计算出违约距离的基础上,本文首先分析了时期一和时期二的整体信用风险变动情况,得出时期二时的信用风险相对于时期一来讲,有明显的下降；然后又将总样本根据上市板块的不同分为主板、中小板和创业板,分别计算其违约距离,并比较其变动趋势,得出中小板和创业板上市公司的违约距离在时期二有较大幅度的增加,而主板上市公司的违约距离却有小幅下降,即中小板和创业板上市公司的信用风险在时期二有较大幅度的降低,而主板上市公司的违约风险却有小幅度升高。最后,又在农业这一大类中分成不同的子行业,得出林业板块的违约风险有较大幅度的增加,而果业、畜禽、海产品和饲料类上市公司的违约风险有较大幅度的下降。根据以上研究结论,本文提出以下政策建议：第一,加强市场监管,提高上市公司质量。第二,建立和完善违约数据库。第三,继续加强KMV模型的修正工作。第四,提高农业地位,细化农业补贴。
[Abstract]:With the deepening of China's reform and opening up and the rapid economic development, the financial market has also been unprecedented development. As the most important intermediary in the financial market, commercial banks increase the credit risk to a certain extent while the scale expands rapidly, and put forward higher requirements on the ability of risk management. With the joint-stock system reform and successful listing of banks, as an independent economy, participate in the operation of the entire market economy, facing fierce competition and various risks. In all the risks it faces, credit risk is particularly important. As the basis of the whole capital market, listed companies play a key role in the development of capital market. Therefore, it is of practical significance to study the credit risk of listed companies. This paper first introduces the traditional credit risk assessment methods and modern financial engineering models, and analyzes the advantages and disadvantages of the four modern financial engineering models (Credit Metrics (Credit Risl book model), Credit portfolio Vie model and KMV model). The KMV model is suitable for the study of credit risk measurement of listed companies in China. Then the theoretical basis and calculation process of the KMV model are introduced, and some parameters are modified according to the actual situation of China's capital market to make it more suitable for the actual situation of China's capital market. Finally, through the use of MATLAB software programming for empirical analysis, there are 60 agricultural listed companies listed in the Shanghai and Shenzhen stock markets at present, of which several are listed (3 in the first and 12 in the second) because of the short time of listing. Unable to obtain enough transaction data to be excluded from the sample. On the basis of calculating the distance of breach of contract, this paper first analyzes the whole credit risk of period one and period two, and draws the conclusion that the credit risk of period 02:00 is obviously lower than that of period one. Then the total sample is divided into main board, small and medium-sized board and growth enterprise board according to the different listed plates. The distance of breach of contract is calculated respectively, and the trend of change is compared. It is concluded that the default distance between the small and medium-sized board and the gem listed companies has increased by a large margin in the second period, while the default distance of the main board listed companies has decreased slightly. That is, the credit risk of the listed companies in the small and medium board and the growth Enterprise Market is reduced by a large margin in the second period, while the default risk of the listed companies on the main Board is increased by a small margin. Finally, it is divided into different sub-industries in agriculture. It is concluded that the default risk of forestry plate has a large increase, while the default risk of fruit industry, livestock, seafood and feed listed companies has a large decline. According to the above conclusions, this paper puts forward the following policy suggestions: first, strengthen market supervision and improve the quality of listed companies. Second, establish and perfect default database. Third, continue to strengthen the revision of the KMV model. Fourth, improve agricultural status, refine agricultural subsidies.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F324;F832.4

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