商业银行对中小企业信用分析模型研究及实证检验

发布时间：2018-11-12 17:54

【摘要】：本文对目前我国商业银行在信用评级研究中采用的各种信用测度模型进行了系统的回顾与总结,对现有各种评级方法的优缺点及适用场合等进行了比较研究。本文认为,在目前我国信用风险评级测度方法研究成果中,一方面存在模型研究与指标体系研究相脱节的现象,另一方面国内以往研究成果在样本选择上存在不透明以及缺乏代表性等诸多不足。针对这些缺陷,本文在国内外对信用测度模型的研究基础上,构建了完善的信用评测指标体系,并利用公开信息数据,采用Logistic回归模型对国内中小企业债券评级变动进行了实证研究。研究发现,本文构建的信用评测指标体系和Logistic回归模型能较好的解释并预测中小企业债券的评级变动,进一步的根据实证研究结果给出了本文的结论及启示。
[Abstract]:This paper makes a systematic review and summary of the various credit measure models used by commercial banks in the study of credit rating in China, and makes a comparative study of the advantages and disadvantages of the existing rating methods and their applications. This paper holds that, in the present research results of credit risk rating measurement method in China, there is a disconnection between the model research and the index system study on the one hand, On the other hand, there are many shortcomings in sample selection such as opacity and lack of representativeness. Aiming at these defects, based on the research of credit measure model at home and abroad, this paper constructs a perfect credit evaluation index system, and makes use of public information data. The Logistic regression model is used to study the bond rating change of small and medium-sized enterprises in China. It is found that the credit evaluation index system and Logistic regression model constructed in this paper can better explain and predict the change of the bond rating of small and medium-sized enterprises, and further give the conclusion and inspiration of this paper according to the empirical research results.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.33;F276.3

【相似文献】