中国发债公司信用风险的实证分析

发布时间：2018-01-09 03:27

本文关键词：中国发债公司信用风险的实证分析　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：近年来,伴随着金融业的发展,我国的债券市场取得了迅猛的发展。越来越多的企业到债券市场上发行债券,募集资金,债券的品种和数量都有了极大的增长。投资者在购买债券获得收益的同时,也要承担债券发行者可能违约带来的损失。对发债企业的信用风险的评估成为债券市场参与者关注的焦点,对信用风险的评估和控制不仅影响着投资者的利益,还关系着债券市场的健康发展,乃至国民经济的正常运行。因此本文着力建立一个评估发债公司信用风险的模型,来评估发债公司的信用风险。本文寻求影响公司信用风险的各种因素运用定量的分析方法,建立评估发债公司信用风险的模型,为投资者、监管当局度量市场上的信用风险提供参考,促进我国债券市场健康、有序、平稳的发展。本文参考现有的研究成果,对信用风险的理论进行阐述,分析我国债券市场的现状,从发行主体和债券品种方面,分析了我国债券市场的结构。接着介绍了信用评级的经济理论和主流评级公司的评级方法,并分析发达国家和我国的信用风险分析技术的发展及应用情况。构建了BP神经网络模型,对发债公司的信用风险进行评估。利用2011年进行过信用评级发债公司的数据,作为模型的样本,构建合适的信用风险评估指标体系。然后对模型进行计算和检验,得出结论,并分析了模型的局限性。研究结果表明,选取的12个财务指标基本反映了发债公司的信用风险状况,构建的评估模型对我国发债公司信用风险的评估比较合理,可以较好的评估发债公司的信用风险状况,具有较好的短期预测功能。
[Abstract]:In recent years, with the development of the financial industry, China's bond market has made a rapid development. More and more enterprises to the bond market to issue bonds, raise funds. The variety and quantity of bonds have grown tremendously. Investors are making gains while buying bonds. The assessment of credit risk of bond issuing enterprises becomes the focus of the bond market participants, the assessment and control of credit risk not only affects the interests of investors. It is also related to the healthy development of the bond market and even the normal operation of the national economy. In order to evaluate the credit risk of the bond issuing company, this paper seeks to use the quantitative analysis method to establish a model to evaluate the credit risk of the bond issuing company, which is the investor of the various factors that affect the credit risk of the company. The regulatory authority measures the credit risk in the market and promotes the healthy, orderly and stable development of China's bond market. This paper, referring to the existing research results, expounds the theory of credit risk, and analyzes the present situation of the bond market in China, from the aspects of the issuer and the variety of bonds. This paper analyzes the structure of China's bond market, and then introduces the economic theory of credit rating and the rating methods of mainstream rating companies. The development and application of credit risk analysis technology in developed countries and China are analyzed, and BP neural network model is constructed. The credit risk of the bond issuing company was evaluated. The data of the credit rating issuing company in 2011 were used as a sample of the model. A suitable credit risk evaluation index system is constructed, and then the model is calculated and tested, and the conclusion is drawn, and the limitations of the model are analyzed. The results show that the 12 financial indicators selected basically reflect the credit risk situation of the bond issuing companies, and the evaluation model is reasonable for the credit risk assessment of the bond issuing companies in China. It can evaluate the credit risk of bond issuing companies and has good short-term forecasting function.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5

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