基于KMV模型的科技型中小企业上市公司信用风险度量研究

发布时间：2018-10-08 16:52

【摘要】：科技型中小企业是科技创新的主体,是优化我国产业结构、推动经济供给侧结构性改革、促进社会生产力水平提高的重要力量,现在已经成为促进我国经济发展水平提高的一股强大力量。从全球性的金融危机以来,信用风险越来越严重,其主体从金融银行业转为企业,一个公司的信用风险高低制约企业的信贷规模和公司盈利水平。科技型中小企业的融资渠道少和融资难制约其快速的发展,信用风险高是科技型中小企业融资难的很大原因,其中信用风险的评估的不当是融资难的根源所在。KMV模型是我国目前度量信用风险的高级模型,具有前瞻性和动态性的优点。因此,本文选择KMV模型对科技型中小企业上市公司的信用风险进行度量。本文运用KMV模型对科技型中小企业的信用风险进行度量,为金融机构度量和研究信用风险提供参考。本文首先对国内外信用风险的相关文献进行了归纳和总结,并且介绍了信用风险和科技型中小企业的相关理论,其次介绍了现代信用风险度量模型中KMV模型的基本思路、假设条件、计算步骤和优缺点,并提出KMV模型适合度量科技型中小企业的信用风险的观点。在此基础上以创业板的60家科技型中小企业上市公司为研究对象,使用KMV模型以科技型中小企业为研究目标对其信用风险进行了评估求出了违约距离,并对其进行检验,然后从公司规模、公司治理、偿债能力、营运能力、盈利能力和成长能力等方面对公司的信用风险进行影响因素进行多元回归分析,结果显示总资产占比、总资产周转率、净资产收益率、营业收入增长率和流动比率是影响信用风险变动的主要因素。最后得出了本文的结论并提出关于科技型中小企业的信用风险的相关建议。本文的研究一方面可以评估样本公司的信用风险,有利于金融机构对科技型中小企业上市公司贷款融资提供依据,另一方面可以加强企业自身的信用风险管理。
[Abstract]:Science and technology small and medium-sized enterprises are the main body of science and technology innovation. They are the important force to optimize the industrial structure of our country, to promote the structural reform on the supply side of the economy, and to promote the improvement of the level of social productivity. Now it has become a powerful force to promote the level of economic development in our country. Since the global financial crisis, the credit risk has become more and more serious, its main body has changed from the financial banking to the enterprise, the credit risk of a company restricts the enterprise's credit scale and the company's profit level. The lack of financing channels and the difficulty of financing for small and medium-sized scientific and technological enterprises restrict their rapid development. The high credit risk is the major reason for the difficulty of financing for the small and medium-sized technological enterprises. The improper evaluation of credit risk is the root of the difficulty of financing. KMV model is the advanced model to measure credit risk in China at present, which has the advantages of prospective and dynamic. Therefore, this paper chooses KMV model to measure the credit risk of the listed companies. In this paper, KMV model is used to measure the credit risk of small and medium-sized technological enterprises, which provides a reference for financial institutions to measure and study credit risk. In this paper, we first summarize the relevant literature on credit risk at home and abroad, and introduce the relevant theories of credit risk and science and technology small and medium-sized enterprises, and then introduce the basic ideas of KMV model in modern credit risk measurement model. The assumption conditions, calculation steps, advantages and disadvantages, and the point of view that KMV model is suitable to measure the credit risk of small and medium-sized technological enterprises is put forward. On the basis of this, 60 listed companies in the gem are taken as the research object, and the credit risk of the SMEs is evaluated by using KMV model, and the distance of default is calculated and tested. Then, from the aspects of company size, corporate governance, solvency, operating capacity, profitability and growth ability, the factors affecting the credit risk of the company are analyzed in multivariate regression analysis. The results show that the ratio of total assets to total assets, the turnover rate of total assets, etc. The rate of return on net assets, the growth rate of operating income and the current ratio are the main factors influencing the change of credit risk. Finally, the paper draws a conclusion and puts forward some suggestions on credit risk of small and medium-sized S & T enterprises. On the one hand, the research in this paper can evaluate the credit risk of the sample company, which is helpful for the financial institutions to provide the basis for loan financing of the listed companies of small and medium-sized technological enterprises, on the other hand, it can strengthen the credit risk management of the enterprises themselves.
【学位授予单位】：贵州财经大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F276.44;F275;F832

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