【摘要】：自短期融資券發(fā)行以來，由于其低成本、高收益受到發(fā)行人和投資者的青睞，發(fā)行量和交易量不斷增加。但伴隨著市場(chǎng)規(guī)模的擴(kuò)大和發(fā)行企業(yè)的增多，如何防范短期融資券可能存在的信用風(fēng)險(xiǎn)成為一個(gè)現(xiàn)實(shí)問題。目前我國大部分短期融資券的評(píng)級(jí)都非常集中于A-1級(jí)（短期融資券最高信用評(píng)級(jí)），但最高的信用評(píng)級(jí)并不意味著短期融資券的風(fēng)險(xiǎn)很低。相反，相同的信用等級(jí)無法區(qū)分不同標(biāo)的之間信用風(fēng)險(xiǎn)的差異，一旦市場(chǎng)擴(kuò)容，后果將不堪設(shè)想。如違規(guī)拆借福禧事件、力諾集團(tuán)以及山東魏橋等發(fā)行的短期融資券也都曾引起過市場(chǎng)對(duì)其兌付能力的擔(dān)憂。美國次貸危機(jī)中雷曼兄弟宣布破產(chǎn)，商業(yè)票據(jù)市場(chǎng)急劇面臨崩潰。因此國內(nèi)外事實(shí)顯示，加強(qiáng)對(duì)短期融資券進(jìn)行信用評(píng)價(jià)的研究，引導(dǎo)資金的合理流向，保護(hù)投資者的合法權(quán)益，具有非常重要的理論與現(xiàn)實(shí)意義。 本文結(jié)合短期融資券的特性分析及前人的研究基礎(chǔ)之上，從企業(yè)素質(zhì)、募集資金概況、財(cái)務(wù)質(zhì)量、償債能力、風(fēng)險(xiǎn)水平和發(fā)展能力等六個(gè)方面，構(gòu)建了短期融資券信用評(píng)價(jià)指標(biāo)體系。從研究方法上，本文基于主成分分析與灰度關(guān)聯(lián)相結(jié)合的評(píng)價(jià)模型，對(duì)本文選用的210個(gè)短期融資券樣本進(jìn)行了信用評(píng)價(jià)。采用主成分分析來達(dá)到降維指標(biāo)變量，并根據(jù)各指標(biāo)貢獻(xiàn)度的大小，計(jì)算得到灰度關(guān)聯(lián)分析時(shí)所需的各綜合指標(biāo)的權(quán)重。采用灰度關(guān)聯(lián)對(duì)短期融資券進(jìn)行信用評(píng)價(jià)，，克服以往評(píng)價(jià)方法中過多要求和主觀因素等缺陷。根據(jù)資本資產(chǎn)定價(jià)理論，對(duì)評(píng)價(jià)結(jié)果進(jìn)行了統(tǒng)計(jì)回歸分析檢驗(yàn)，證明本文得出的短期融資券信用評(píng)價(jià)結(jié)果與理論、實(shí)際都相符合。最后運(yùn)用本文的評(píng)價(jià)結(jié)論，對(duì)新的短期融資券樣本進(jìn)行初步判斷其信用狀況，再基于本文構(gòu)建的短期融資券信用評(píng)價(jià)模型作進(jìn)一步的判定。一方面檢驗(yàn)評(píng)價(jià)結(jié)果的應(yīng)用性如何，另一方面再一次檢驗(yàn)本文構(gòu)建的短期融資券信用評(píng)價(jià)模型，并且都能達(dá)到較滿意的效果。 因此，本文構(gòu)建的短期融資券信用評(píng)價(jià)模型及評(píng)價(jià)結(jié)果的應(yīng)用，為各方投資者及相關(guān)利益者對(duì)短期融資券的信用評(píng)價(jià)提供了簡(jiǎn)單、可行的操作方法，為投資者進(jìn)行投資決策和評(píng)級(jí)機(jī)構(gòu)的評(píng)級(jí)提供了一定的參考作用。
[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.
【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F224

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