基于KMV模型与聚类分析方法的上市房地产公司信用风险分析研究

发布时间：2018-01-30 08:15

本文关键词： 房地产市场信用风险管理 KMV模型聚类分析　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：众所周知在过去的2013年全国70个大中型城市的房价是一幅欣欣向荣的景象,但从2014年年初曝出杭州部分楼盘大幅降价销售开始,关于商品房销售价格的下跌却呈现越演越烈的态势,而我们知道房地产行业是个高负债的行业,今年国家也没有出台严厉的房地产调控政策,由此我们不禁对房地产企业的信用风险状况格外关注,本文正是基于此尝试研究上市房地产企业的信用风险。本文在论述了信用风险相关基础理论,并在分析了目前国际上比较流行的四个信用风险度量模型之后,选择了KMV模型对我国上市房地产企业所面临的信用危险进行实际检验分析。本文在对无风险利率参数的确定上考虑到互联网金融的影响；通过聚类分析的统计方法来选取样本,使得实证研究的结果的可信度有所增加。经过计算,本文得出了我国上市房地产公司2013年的信用风险状况较2012年有所改善、业绩优秀的房地产上市公司违约的可能性要大大低于业绩表现不良的上市房地产公司的结论,这些结论是与基本经济原则相吻合,验证了KMV模型对于我国上市房地产企业信用危机管理的适用性和可靠性。不可否认我国在信用风险管理方面跟欧美发达国家还有较大差距,当务之急是需要积累上市房地产公司发生信用违约的数据,加快相关企业信用违约数据库的建设,此外我们还需要继续加强对信用风险度量模型的研究,根据此次实证研究过程和结果在本文结论中提出一些建议,希望有益于提升我国A股市场房地产企业信用风险管理水平。
[Abstract]:It is well known that in the past 2013, the housing prices of 70 large and medium-sized cities in the country is a thriving scene, but since early 2014, it was revealed that some of the real estate in Hangzhou has been sold at a large price. About the commercial housing sales price decline is showing increasingly strong trend, and we know that the real estate industry is a highly indebted industry, this year the country has not issued strict real estate regulation and control policies. Therefore, we can not help but pay special attention to the credit risk of real estate enterprises. This paper tries to study the credit risk of listed real estate enterprises based on this. This paper discusses the basic theory of credit risk. And after analyzing the four credit risk measurement models which are popular in the world at present. The KMV model is selected to test and analyze the credit risk faced by listed real estate enterprises in China. This paper considers the influence of Internet finance on the determination of risk-free interest rate parameters. Through the statistical method of cluster analysis to select samples, the reliability of the results of empirical research has been increased. This paper draws a conclusion that the credit risk situation of listed real estate companies in China in 2013 is better than that in 2012. The possibility of default of outstanding listed real estate companies is much lower than that of listed real estate companies with poor performance. These conclusions are consistent with the basic economic principles. Verify the applicability and reliability of KMV model for the credit crisis management of listed real estate enterprises in China. There is no denying that there is still a big gap between China and the developed countries in credit risk management. The urgent task is to accumulate credit default data of listed real estate companies and accelerate the construction of credit default database. In addition, we need to continue to strengthen the study of credit risk measurement model. According to the process and results of this empirical study, some suggestions are put forward in this paper, hoping to improve the credit risk management level of real estate enterprises in A-share market.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F299.233.4;F832.51

【共引文献】