上市公司违约风险及相关影响因素的实证研究

发布时间：2018-01-23 01:02

本文关键词： 违约风险 logit模型顺周期效应信用评级宏观变量　出处：《华中科技大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文研究基于logit方法的上市公司违约风险的度量问题以及它和来自宏微观的各因素之间的关系。文章对比了当今较为流行的结构化模型、简约化模型和其它统计模型之间的区别和利弊，并引证了logit模型在度量离散时间个体违约风险上的可行性。随后根据我国具体情况，，将被证监会“特别处理”的公司季度列为陷入违约风险的标记，使用51个A股上市公司在包含了“上升-危机-衰退-复苏”这一完整经济周期的2005年至2011年间26个时间段的包括来自公司财务、交易市场和宏观经济的12个自变量的面板数据，进行面板logit模型回归，得到基于logistic函数的违约风险数量式。文章在前人使用logit方法进行单期财务状况预测的研究基础上补充进来自宏观经济和市场的变量，并引入时间序列的估计方法，研究发现该logit方法并不能以确切的违约概率值预测公司是否会发生信用事件，但面板结构数据的拟合结果能给出公司的信用风险走势，从而预测公司在某时期的信用质量变化趋势。同时，实证结果表明公司层面数据的单位变动带来的违约风险变化较小且平缓，相比之下宏观经济和交易市场上的变量如GDP同比增长率、利率等对违约风险的影响较大且剧烈，因而认为公司层面的变量对处于同一市场环境的公司信用评级有参考意义，但对公司的总体违约风险的全面度量必须要考虑进宏观变量。
[Abstract]:This paper studies the measurement of default risk of listed companies based on logit method and the relationship between it and the factors from macro and micro. The difference, advantages and disadvantages between the simplified model and other statistical models, and the feasibility of the logit model in measuring the discrete time individual default risk is cited. Then, according to the specific situation in China. Companies that are "specially processed" by the CSRC will be listed as a sign of risk of default on a quarterly basis. The use of 51 A-share listed companies included corporate finance in the 26 periods between 2005 and 2011, which included the full economic cycle of "rise-crisis-recession-recovery". The panel data of 12 independent variables of trading market and macro economy are regressed by panel logit model, and the quantitative formula of default risk based on logistic function is obtained. On the basis of previous studies of single period financial condition prediction using logit method, this paper adds variables from macro economy and market, and introduces time series estimation method. It is found that the logit method can not predict whether the company will have a credit event with the exact default probability value, but the fitting results of the panel structure data can give the company's credit risk trend. At the same time, the empirical results show that the change of default risk caused by the unit change of the company level data is relatively small and gentle. In contrast, macroeconomic and trading market variables such as GDP growth rate, interest rate and so on have a strong and intense impact on default risk. Therefore, it is considered that the variables at the firm level have reference significance for the credit rating of the company in the same market environment, but the overall measurement of the overall default risk of the company must take into account the macro variables.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F276.6

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