不同规模中小型企业不良贷款回收率结构特征研究

发布时间：2018-08-20 14:44

【摘要】：依托于国内最大不良贷款回收情况数据库LossMetrics ~(TM)数据库中以中小型企业债务人为主体的数据,针对不同规模注册资本金的中小企业不良贷款数据,从银行贷款金额和转让协议金额两方面分析了不同规模中小型企业资产和债务间的关系;利用聚类的方式划分出有相似回收率结构特征的四类不同规模企业,并用Logistic分类方法对不同规模的企业分别建模,进一步研究影响每一类企业回收率结构的关键因素,给出不同企业不良贷款的质量判别,发现不同规模企业间的回收信用风险差异十分显著.实证研究结果表明:形成不良贷款的大部分中小型企业都存在资不抵债、贷款数量过于庞大的问题;注册资本金在1000万到3000万之间的企业的不良贷款数量最为庞大,应引起银行的重点监控;Logistic模型中以企业的经营情况、不良贷款的处置方式及有效抵质押情况为最重要的判别因素.研究结果对处于金融危机的中小型企业贷款融资和银行业风险管理提供了帮助和参考指标.
[Abstract]:Relying on the data of small and medium-sized enterprises debtor in LossMetrics ~ (TM) database of the largest non-performing loan recovery situation in China, aiming at the non-performing loan data of small and medium-sized enterprises with different scale registered capital, This paper analyzes the relationship between assets and liabilities of small and medium-sized enterprises with different sizes from two aspects of bank loan amount and transfer agreement amount, and classifies four kinds of different scale enterprises with similar recovery structure by means of clustering. The Logistic classification method is used to model the enterprises of different sizes, and the key factors that affect the recovery structure of each kind of enterprises are further studied, and the quality discrimination of non-performing loans in different enterprises is given. It is found that the difference of recovery credit risk among different scale enterprises is very significant. The empirical results show that most of the small and medium-sized enterprises that form non-performing loans have the problem of being insolvent and the amount of loans is too large, and the number of non-performing loans of enterprises with registered capital between 10 million and 30 million is the largest. In the Logistic model, the most important factors are the management of the enterprises, the disposal of non-performing loans and the effective pledge of non-performing loans. The results of the study are helpful and reference indicators for SME loan financing and banking risk management in the financial crisis.
【作者单位】：北京交通大学经济管理学院;中央财经大学管理科学与工程学院;中国科学院数学与系统科学研究院;
【基金】：国家科技部基础研究计划(973项目)(2007CB814902) 国家自然科学基金(70221001,70331001,10628104,10721101) 中央财经大学“211工程”三期资助项目
【分类号】：F832.4;F276.3

【共引文献】