基于信用评级的企业债券信用风险预测研究

发布时间：2018-04-20 23:02

本文选题：企业债券 + 违约风险　；参考：《四川师范大学》2017年硕士论文

【摘要】：十八届三中全会以来,我国强调发挥市场在资源配置中的决定性作用,大力发展市场经济,而市场经济的本质就是信用经济。在信用经济下,交易者以自身的信用为基础,通过建立债权债务来实现资本转移,因此在信用经济中最首要的条件就是遵守信用协议,否则就会产生信用风险。债券融资作为信用经济下企业融资的主要方式之一,对促进我国经济发展、实现资源优化配置具有重大作用。目前,债券融资在融资总额和占社会融资比重两个方面均超过股票融资,然而在债券融资日益重要的同时,信用风险不断凸显。自2014年我国首例企业债券违约以来,企业债券违约事件不断爆发,违约主体从民营延伸到国企,违约金额从利息违约发展到本金违约,违约债种几乎涉及了所有的企业债券品种。因此,企业债券违约风险成为资本市场广泛关注的焦点。在我国,企业债券必须经过行政认可的信用评级机构进行信用评级才可发行,信用等级用于揭示信用风险,解决债权债务人之间信息不对称等问题。但由于我国信用评级业起步晚、收费模式不合理、缺乏公信力和跟踪评级机制不完善等问题,一些学者认为我国信用评级无法准确揭示信用风险。因此,本文基于信用评级视角,在文献研究法的基础上,用实证研究法验证信用等级是否能够揭示信用风险,并对我国企业债券违约风险进行预测。研究结果表明:(1)虽然我国信用评级行业存在诸多问题,但依然能揭示企业债券信用风险,发行主体或债项信用等级与其违约概率呈负相关关系,但公众的质疑说明:我国还需要致力发展和完善信用评级业,促使其与债券市场同步快速发展。(2)从Logistic回归模型的预测分类结果来看,Logistic回归模型的预测精度、预测稳健性以及对结果的可理解性都比较理想,适用于对企业债券违约风险的。同时,出现投资者较为关注的第一类预测错误(实际发生违约,但在预测时,将其预测为正常履约企业)的机率较小,满足投资者的要求。
[Abstract]:Since the third Plenary session of the 18th CPC Central Committee, China has emphasized the decisive role of the market in the allocation of resources and vigorously developed the market economy, the essence of which is credit economy. Under the credit economy, the trader realizes the capital transfer by establishing the creditor's rights and debts on the basis of his own credit, so the most important condition in the credit economy is to abide by the credit agreement, otherwise there will be credit risk. As one of the main ways of enterprise financing in credit economy, bond financing plays an important role in promoting the economic development of our country and realizing the optimal allocation of resources. At present, bond financing exceeds stock financing in both the total amount of financing and the proportion of social financing. However, with the increasing importance of bond financing, credit risk is becoming increasingly prominent. Since the first corporate bond default in China in 2014, the enterprise bond default has been breaking out continuously. The main body of default extends from private to state-owned enterprise, and the amount of default develops from interest default to principal default. Default debt covers almost all types of corporate bonds. Therefore, corporate bond default risk has become the focus of attention in the capital market. In our country, corporate bonds can only be issued through an administratively recognized credit rating agency. The credit rating is used to reveal the credit risk and solve the problem of information asymmetry between creditors and debtors. However, due to the problems of late start of credit rating industry, unreasonable charging model, lack of credibility and imperfect tracking rating mechanism, some scholars believe that credit rating in China can not accurately reveal credit risk. Therefore, based on the perspective of credit rating and on the basis of literature research, this paper uses empirical research to verify whether credit rating can reveal credit risk, and forecasts the default risk of corporate bonds in China. The results show that although there are many problems in China's credit rating industry, it can still reveal the negative correlation between the credit risk of corporate bonds, the credit rating of the issuer or the debt item and the probability of default. However, the public doubt shows that our country still needs to develop and perfect the credit rating industry, and promote its rapid development with the bond market.) from the forecast and classification results of the Logistic regression model, we can see the prediction accuracy of the logistic regression model. The prediction robustness and the comprehensibility of the results are both ideal and suitable for the default risk of corporate bonds. At the same time, the probability of the first kind of forecasting errors which investors pay more attention to (the actual default occurs, but in the forecast, it is predicted as the normal performing enterprise) is relatively small, which meets the requirements of the investors.
【学位授予单位】：四川师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F275;F832.4

【参考文献】