本文選題：KMV模型　切入點：信用風(fēng)險　出處：《首都經(jīng)濟(jì)貿(mào)易大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來,我國經(jīng)濟(jì)總量穩(wěn)步增長,科技水平快速提高,在國際中的地位也越來越顯著,許多企業(yè)響應(yīng)國家的“走出去”戰(zhàn)略,增加自身實力,紛紛進(jìn)行了改革與創(chuàng)新。而從企業(yè)戰(zhàn)略發(fā)展的角度來看,為滿足提高競爭力的需求,融資是必不可少的一個環(huán)節(jié)。隨著融資規(guī)模的不斷增加,金融業(yè)也呈現(xiàn)一片欣欣向榮的態(tài)勢,同時,為了給實體經(jīng)濟(jì)鋪路,滿足融資需求,政府對國內(nèi)金融市場進(jìn)行改革,在國家政策的引領(lǐng)下下,金融市場上推出了越來越多靈活、方便的金融產(chǎn)品。其中,近些年,中國銀行間交易商協(xié)會推出的以注冊制發(fā)行的非金融企業(yè)債務(wù)融資工具備受關(guān)注,2016年全年發(fā)行規(guī)模超過5萬億。但是隨著發(fā)行量與發(fā)行企業(yè)數(shù)量的增加,債券市場中的信用風(fēng)險也在逐步擴(kuò)大,違約事件頻繁發(fā)生,極大的損害了投資者的利益,擾亂了市場秩序。因此,當(dāng)務(wù)之急是加強(qiáng)債券市場信用風(fēng)險防控能力,減少信用違約帶來的損失。目前,我國信用評級體系不夠完備,隨著中國銀行間市場債券發(fā)行規(guī)模的逐年增加,對債券信用風(fēng)險識別的要求也水漲船高。而同時我國在風(fēng)險控制和度量領(lǐng)域的理論和方法研究相較一些發(fā)達(dá)國家有所欠缺。因此,本文為探究出合適于中國市場的風(fēng)險評估方法,將運(yùn)用KMV模型對非金融企業(yè)債務(wù)融資工具進(jìn)行研究分析。考慮到KMV模型是來自美國的舶來品,本文根據(jù)我國債券市場的實際情況對KMV模型的參數(shù)進(jìn)行改良。首先,本文采用ARMA模型、GARCH模型計算股權(quán)價值波動率。接著本文選用2014年至2016年期間的70家發(fā)生債券違約的上市公司,截取它們的財務(wù)數(shù)據(jù),對其進(jìn)行OLS估計,確定出最適合我國債券市場的違約點計算公式,得了最貼合我國銀行間債券市場的KMV模型。最后,使用KMV模型研究我國銀行間市場上市公司發(fā)行的非金融企業(yè)債務(wù)融資工具,求出平均違約距離,并對上市公司進(jìn)行區(qū)分,其結(jié)果與傳統(tǒng)評級互相印證,證明修正后的KMV模型能夠較好的評估發(fā)行債券的上市公司信用風(fēng)險,有利于完善中國信用評級機(jī)制,防范信用風(fēng)險的發(fā)生的同時又可以促進(jìn)有關(guān)信用評級改革。
[Abstract]:In recent years, China's total economic volume has steadily increased, the level of science and technology has improved rapidly, and its position in the international community has become more and more prominent. Many enterprises have responded to the "going out" strategy of the country and increased their own strength. Reform and innovation have been carried out one after another. In view of the strategic development of enterprises, financing is an indispensable link in order to meet the needs of improving competitiveness. At the same time, in order to pave the way for the real economy and meet the financing needs, the government has reformed the domestic financial market. Under the guidance of national policies, more and more flexibility has been introduced in the financial market. Convenient financial products. Among them, in recent years, The debt financing instrument of non-financial enterprises issued by the China Association of Interbank Dealers, issued on a registered basis, attracted much attention. In 2016, the size of the issue exceeded 5 trillion. But as the number of issuers and issuers increased, The credit risk in the bond market is also gradually expanding, and the frequent occurrence of default events has greatly damaged the interests of investors and disturbed the market order. Therefore, it is imperative to strengthen the ability of preventing and controlling credit risks in the bond market. At present, China's credit rating system is not complete. With the increase in the size of bond issuance in China's inter-bank market, At the same time, the research on the theory and method in the field of risk control and measurement in China is less than that in some developed countries. In order to explore a risk assessment method suitable for the Chinese market, this paper will use KMV model to study and analyze the debt financing tools of non-financial enterprises, considering that the KMV model is imported from the United States. This paper improves the parameters of KMV model according to the actual situation of China's bond market. In this paper, ARMA model is used to calculate the volatility of equity value. Then, 70 listed companies with bond defaults from 2014 to 2016 are selected to intercept their financial data and estimate them by OLS. The best formula for calculating the default point of China's bond market is determined, and the KMV model is obtained, which is most suitable for China's interbank bond market. Finally, the KMV model is used to study the non-financial enterprise debt financing tools issued by the listed companies in the interbank market of our country. To find out the average default distance and distinguish the listed companies, the results are confirmed with the traditional rating, which proves that the modified KMV model can better evaluate the credit risk of the listed companies issuing bonds, which is helpful to improve the credit rating mechanism of China. Preventing the occurrence of credit risk can also promote the credit rating reform.
【學(xué)位授予單位】：首都經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1624469