基于主成分与灰度关联的短期融资券信用评价研究

发布时间：2018-08-14 19:54

【摘要】：自短期融资券发行以来，由于其低成本、高收益受到发行人和投资者的青睐，发行量和交易量不断增加。但伴随着市场规模的扩大和发行企业的增多，如何防范短期融资券可能存在的信用风险成为一个现实问题。目前我国大部分短期融资券的评级都非常集中于A-1级（短期融资券最高信用评级），但最高的信用评级并不意味着短期融资券的风险很低。相反，相同的信用等级无法区分不同标的之间信用风险的差异，一旦市场扩容，后果将不堪设想。如违规拆借福禧事件、力诺集团以及山东魏桥等发行的短期融资券也都曾引起过市场对其兑付能力的担忧。美国次贷危机中雷曼兄弟宣布破产，商业票据市场急剧面临崩溃。因此国内外事实显示，加强对短期融资券进行信用评价的研究，引导资金的合理流向，保护投资者的合法权益，具有非常重要的理论与现实意义。本文结合短期融资券的特性分析及前人的研究基础之上，从企业素质、募集资金概况、财务质量、偿债能力、风险水平和发展能力等六个方面，构建了短期融资券信用评价指标体系。从研究方法上，本文基于主成分分析与灰度关联相结合的评价模型，对本文选用的210个短期融资券样本进行了信用评价。采用主成分分析来达到降维指标变量，并根据各指标贡献度的大小，计算得到灰度关联分析时所需的各综合指标的权重。采用灰度关联对短期融资券进行信用评价，，克服以往评价方法中过多要求和主观因素等缺陷。根据资本资产定价理论，对评价结果进行了统计回归分析检验，证明本文得出的短期融资券信用评价结果与理论、实际都相符合。最后运用本文的评价结论，对新的短期融资券样本进行初步判断其信用状况，再基于本文构建的短期融资券信用评价模型作进一步的判定。一方面检验评价结果的应用性如何，另一方面再一次检验本文构建的短期融资券信用评价模型，并且都能达到较满意的效果。因此，本文构建的短期融资券信用评价模型及评价结果的应用，为各方投资者及相关利益者对短期融资券的信用评价提供了简单、可行的操作方法，为投资者进行投资决策和评级机构的评级提供了一定的参考作用。
[Abstract]:Because of its low cost, high yield has been favored by issuers and investors since the issuance of short-term financing bills, and the volume of issuance and trading volume has been increasing. However, with the expansion of market scale and the increase of issuing enterprises, how to prevent the possible credit risk of short-term financing bonds becomes a realistic problem. At present the ratings of most short-term financing bonds in China are very concentrated in the A-1 grade (the highest credit rating of short-term financing bonds) but the highest credit rating does not mean that the risk of short-term financing bonds is very low. On the contrary, the same credit rating can not distinguish the difference of credit risk between different targets, once the market expands, the consequences will be unthinkable. Short-term financing bills issued by Linuo Group and Shandong Weiqiao have also raised concerns about their ability to pay, such as the Fuxi scandal. In the US subprime crisis, Lehman Brothers declared bankruptcy, and the commercial paper market faced a sharp collapse. Therefore, the facts at home and abroad show that it is of great theoretical and practical significance to strengthen the research on the credit evaluation of short-term financing bills, to guide the reasonable flow of funds and to protect the legitimate rights and interests of investors. Based on the analysis of the characteristics of short-term financing bills and the previous studies, this paper analyzes the quality of enterprises, the general situation of raising funds, the financial quality, the solvency, the risk level and the development ability. The credit evaluation index system of short-term financing bond is constructed. Based on the principal component analysis (PCA) and gray correlation evaluation model, this paper evaluates the credit of 210 samples of short term financing bills selected in this paper. The principal component analysis (PCA) is used to achieve the dimensionality reduction index variable, and according to the contribution degree of each index, the weight of each comprehensive index needed in gray correlation analysis is calculated. Gray correlation is used to evaluate the credit of short-term financing bills to overcome the defects of the previous evaluation methods such as excessive requirements and subjective factors. According to the capital asset pricing theory, the statistical regression analysis is carried out to test the evaluation results. It is proved that the credit evaluation results of short-term financing securities obtained in this paper are in accordance with the theory and practice. Finally, using the evaluation conclusion of this paper, the credit status of the new short term financing bond sample is preliminarily judged, and then the credit evaluation model of the short term financing bond is constructed in this paper to make a further judgment. On the one hand, the application of the evaluation results is tested, and on the other hand, the credit evaluation model of short-term financing bonds constructed in this paper is tested again, and the results are satisfactory. Therefore, the credit evaluation model and the application of the evaluation results in this paper provide a simple and feasible method for investors and relevant stakeholders to evaluate the credit of short-term financing bills. For investors to make investment decisions and rating agencies to provide a certain reference.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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