A Research on the Credit Risk Measurement of the Listed Companies in China

【摘要 (中文/英文)】 在当前我国的金融体系中,以银行贷款为主的间接融资方式仍然占主导地位,这决定了我国的金融风险主要表现为信用风险。因此,如何对信用风险进行有效管理关系到我国金融体系的稳定以及国民经济的健康发展。信用风险度量是信用风险管理的基础,由于我国金融体制改革和银行业改革起步较晚,在信用风险管理方面,我国银行业最为薄弱的环节就是利用先进的模型对各类公司的信用风险进行度量以及量化管理。因此,通过借鉴和改进国际上先进的信用风险度量技术和方法,建立适合我国国情的信用风险度量模型和方法,是目前我国银行业面临的一个重要课题。正是在这样的背景下,本文就我国上市公司的信用风险度量问题进行了相关研究。 全文共分五章,各章的结构安排如下:第一章是前言部分,叙述了本文的写作背景、目的及意义,梳理了国内外相关文献,提出了本文的基本框架与创新之处。第二章信用风险概述,总结了信用风险的概念、分类与特点。第三章关于信用风险度量方法的演进,分别介绍了传统的信用风险度量方法、单一贷款信用风险度量方法和现代信用风险度量方法,并对KMV等四种现代信用风险度量方法进行了比较,探讨了各自在我国的适用性,得出目前相对于其他三种模型而言, KM...更多V模型更适合在我国应用的结论。第四章关于KMV模型的修正及对我国上市公司信用风险的度量。本章在继承现有研究成果的基础上,对KMV模型加以进一步的修正,不再假定公司资产价值增长率为零,而是以公司可持续增长率加以表示,并根据数据对我国上市公司的信用风险进行了度量。接着,在此基础上,本章设定了信用风险影响因素的相关量化指标,将公司违约距离作为被解释变量,以资产规模、股权结构、成长能力、流动性、行业前景、公司经营状况作为解释变量,建立了多元线性回归模型,并利用样本数据对上市公司信用风险的影响因素进行了实证分析。第五章是本文的总结部分,概括了本文的研究结论,找出不足之处,提出今后有待研究的问题,并就推动我国银行业运用KMV模型对上市公司的信用风险进行度量以及管理提出了相应的政策建议。 

 At present, indirect finance, a financing method of funding with the bank loans as its leading channel, is the key financing method in our finance system,which determines the credit risk as the main style of existence of our finance risk.Therefore, the efficient management of the credit risk is related to the stability of the financial system and the development of Chinese economy.Credit risk measurement is the basis of Credit risk management. Because of late starting of the reformationg of the financial system and bank industry, China’banking lacks the ability to measure and manage credit risk quantitatively. Therefore, it is an important task for China’banking to take and modify the advanced technology of credit risk management from other countries for reference and set up models and methods suitable for China. With the above background, this paper decided to choose the credit risk measurement of China’listed companies as its research subject. The paper consists of five sections.The first part is an introduction,which explains the background and significance of the topic,reviews the related literature,and puts forward the basic frame and the innovations.The second part is a basic statement about credit risk,summarizes the connotations and the characteristics of the credit risk.The third part closes to the summary of the traditional credit risk measure model、the single loan credit risk mearure model and modern credit risk measure model,analyzes and compares four kinds of modern credit risk measurement models,and analyzes the application of these models in our country.We find out that KMV model has the relative better service ability in our country than the other three kinds of models.The forth part is about the modification about KMV model and its application in credit risk evaluation of the listed companies in China. Based on the current researching achievements, this part modifies this model furtherly and makes an empirical analyzation of our listed companies while the increasing rate, no longer supposed to be zero,is represented by the sustainable growth rate.Then, taking default distance as dependent variable,and assets、share structure、growth abilities、liquidity、 industry prospect and the situation of company as independent variables,we establish a multi-element linear regression model, and make an empirical analyzation of the factors influencing the credit risk of our listed companies.The last part points up the limitations of the research,offers my suggestions for further development ,and gives some policy proposals in order to encourage China’banking to estimate and manage credit risk with KMV model.

【关键词 (中文/英文)】 信用风险; KMV模型; 上市公司; 违约距离

Credit Risk; KMV Model; Listed Companies; Default Distance