信用风险度量模型比较及在我国的适用性分析

发布时间：2018-08-08 16:01

【摘要】：信用风险对现代经济社会的影响是多方面深层次的,小到居民日常生活、企业正常经营,大到国家经济发展和宏观政策的制定。本世纪初的次贷危机引发了波及全球的金融危机,引起了各国政府、金融机构对于信用风险管理的高度重视。随着我国利率市场化改革逐步完成,资本市场不断完善,商业银行与投资者不得不投入更多人力物力进行信用风险管理。目前,西方发达国家的信用风险评价已经由基于经济能力的评价深入到基于经济关系乃至人文心理的评价,信用风险度量模型已经经历了由简单定性分析到基于财务指标的线性及非线性模型,再到多种现代科学交叉运用的复杂量化模型的过程。系统梳理西方信用风险评价模型,并结合中国特色社会主义市场经济治理结构的相关特点与实践,开发出适合我国的信用风险度量技术与模型,无疑是摆在我们理论与实践工作者面前的一个紧迫任务。“它山之石,可以攻玉”。为了建立中国特色的信用风险评价体系,一个有效的办法和路径就是借鉴—改造—创新。本文根据信用风险评价模型发展的历史脉络,依据信用风险管理理论的演进特征将信用风险评价模型划分为传统模型与现代模型,在对两类模型进行系统梳理的基础上,分别对有代表性模型的假设条件,模型评价优劣进行了深入的剖析与比较,揭示了这些信用风险评价模型在实践中的评价风险。同时,本文还选择了信用风险评价模型中的两类有代表性的模型,KMV模型和Logit模型,以这两类模型为案例,结合我国上市公司的实际数据,分别对我国上市公司的信用风险状况进行了实证分析,并根据实证结果探讨了适合我国的信用风险评价模型的有效性。全文共分为七章：第一章是本文的绪论部分,说明了本文研究的背景及意义、国内外研究现状以及本文的框架结构。第二章对信用风险的内涵、信用风险评价理论的演进过程以及我国信用风险评价的现状进行了阐述。第三四五章对信用风险度量模型传统方法和现代方法进行了详细的介绍,并从多个角度对这几类模型进行比较分析。第六章是实证分析,分别利用大型企业和中小型企业的相关数据,运用KMV模型和Logit模型对这两类企业的信用风险状况进行了实证分析,并对其实证结论进行了有效性比较。第七章是结论和进一步研究展望。
[Abstract]:The impact of credit risk on modern economy and society is deep in many aspects, ranging from the daily life of residents, the normal operation of enterprises, the development of national economy and the formulation of macro policies. The subprime mortgage crisis at the beginning of this century has caused the global financial crisis and caused the governments and financial institutions to attach great importance to credit risk management. With the gradual completion of interest rate marketization reform and the continuous improvement of capital market, commercial banks and investors have to invest more manpower and material resources in credit risk management. At present, the evaluation of credit risk in western developed countries has gone from the evaluation based on economic ability to the evaluation based on economic relationship and even humanistic psychology. The credit risk measurement model has experienced the process from simple qualitative analysis to linear and nonlinear model based on financial index, and then to a variety of complex quantitative models which are cross-applied by modern science. Systematically combing the western credit risk evaluation models and combining the relevant characteristics and practice of the governance structure of the socialist market economy with Chinese characteristics, the paper develops the credit risk measurement technology and model suitable for our country. Undoubtedly, it is an urgent task in front of our theoretical and practical workers. It is the stone of the mountain that can attack the jade. In order to establish the credit risk evaluation system with Chinese characteristics, an effective method and path is to learn from-transform-innovate. According to the history of the development of credit risk evaluation model and the evolution characteristics of credit risk management theory, this paper divides credit risk evaluation model into traditional model and modern model, on the basis of systematically combing the two kinds of models. This paper analyzes and compares the hypothetical conditions of the representative models and the merits and demerits of the models, and reveals the evaluation risk of these credit risk evaluation models in practice. At the same time, this paper also selects two representative models of credit risk evaluation model: KMV model and Logit model, taking these two models as an example, combined with the actual data of listed companies in China. Based on the empirical analysis of the credit risk of listed companies in China, the validity of the credit risk evaluation model suitable for our country is discussed. This paper is divided into seven chapters: the first chapter is the introduction of this paper, which explains the background and significance of this study, the current research situation at home and abroad and the frame structure of this paper. The second chapter expounds the connotation of credit risk, the evolution of credit risk evaluation theory and the present situation of credit risk evaluation in China. In chapter three and five, the traditional and modern methods of credit risk measurement model are introduced in detail, and these models are compared and analyzed from several angles. The sixth chapter is the empirical analysis, using the relevant data of large enterprises and small and medium-sized enterprises, using the KMV model and Logit model to analyze the credit risk status of these two types of enterprises, and to compare the validity of the empirical conclusions. Chapter seven is the conclusion and prospect of further research.
【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F279.2;F832.2

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