上市公司信用债违约风险评估

发布时间：2018-01-12 17:44

本文关键词：上市公司信用债违约风险评估　出处：《华东理工大学》2017年硕士论文　论文类型：学位论文

【摘要】：债券作为一种融资手段,在我国经济转轨和体制改革以及国际金融危机等时期发挥了重要的积极作用。从2004年到2016年国内信用债从200亿元一跃增长到16万亿元,非金融类信用债从1200多亿元增长到13.4亿元,信用债的井喷式发展以及2016年8月份的43起信用违约事件的发生,让我们认识到信用风险的评价变得越来越重要。本文通过建立Logit模型结合因子分析方法,以2014年至2015年的沪深两市全部上市公司为研究对象,选取能够反映上市公司的偿债能力、盈利能力和成长能力的13个财务指标以及居民消费价格指数来作为样本池,经过Stata软件剔除存在异常值和信息不完整的样本之后,最终得到4252样本数据。利用Logit回归模型对上市公司信用风险进行实证研究并对模型的有效性进行评估,研究结果表明,流动比率、速动比率、居民消费价格指数等6个指标对上市公司是否会发生信用风险的概率具有较大的影响;基于Logit回归模型建立的风险评估模型与样本本身所属风险类别的匹配率可以达到90.12%,模型评估能力较强。
[Abstract]:Bonds as a means of financing. It has played an important and positive role in the period of economic transition, system reform and international financial crisis. From 2004 to 2016, the domestic credit debt increased from 20 billion yuan to 16 tillion yuan. Non-financial credit debt increased from more than 12 billion yuan to 1.34 billion yuan, the blowout development of credit debt and the occurrence of 43 credit default events in August 2016. Let us realize that the evaluation of credit risk is becoming more and more important. This paper establishes Logit model combined with factor analysis method. From 2014 to 2015, all listed companies in Shanghai and Shenzhen stock markets were selected to reflect the solvency of listed companies. The 13 financial indexes of profitability and growth ability as well as the consumer price index are used as sample pool. After Stata software removes the samples with abnormal value and incomplete information. Finally, 4252 sample data are obtained. Using Logit regression model, the credit risk of listed companies is empirically studied and the validity of the model is evaluated. The research results show that the current ratio, the rapid ratio. Six indexes, such as consumer price index, have great influence on the probability of credit risk of listed company. The matching rate between the risk assessment model based on Logit regression model and the risk category of the sample itself can reach 90.12 and the evaluation ability of the model is strong.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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