联系我们

论文查询结果	返回搜索

论文编号：	5550
作者编号：	2120112428
上传时间：	2013/6/12 23:46:37
中文题目：	中国房地产上市公司信用风险研究 ——基于KMV模型
英文题目：	Study on the Credit Risk of Real Estate Listed Companies in China based on KMV Model
指导老师：	余娟
中文关键字：	KMV模型，信用风险，房地产市场
英文关键字：	KMV Model, Credit Risk, Real Estate Market
中文摘要：	我国的房地产市场在经历了近20年的高速增长之后，从2008年起进入了深度调整期，各级政府相继出台大量抑制房价过快增长的房地产调控政策。近期出台的国5条再次引起了房地产市场的剧烈震荡，房地产市场未来不确定性增强。我国房地产企业普遍具有较高的资产负债率，并且负债多集中于商业银行贷款，房地产企业的信用风险已经成为商业银行的重要风险点。在国外，信用风险，尤其是房地产行业的信用风险一直是学术界和实践领域的研究重点；在中国，针对信用风险的研究则是近几年刚刚兴起。本研究有理论和实践两方面的意义：理论上，本文验证了KMV模型对于衡量我国房地产市场的信用风险的适用性，而国内运用KMV模型研究房地产市场信用风险的相关文献较少，本研究填补了这一研究领域的空白；实践上，本文引进了KMV模型来研究房地产市场的信用风险，为实践中研究房地产企业的信用风险提供一个解决方案。 本文首先比较国际上广泛应用的四种现代信用风险度量模型：Credit Metrics模型、Credit Risk+模型、Credit Portfolio View模型和KMV模型，并且结合中国金融市场特点分析四种模型对我国信用风险衡量的适用性；其次，结合我国房地产业的发展现状理论分析我国房地产市场的信用风险形成机理和特点；再次，实证检验KMV模型对于我国房地产市场的适用性，利用KMV模型预测我国房地产市场的信用风险情况，并通过回归验证影响KMV违约距离的财务指标。最后，分别对KMV模型在我国的应用和我国房地产市场的信用风险管理提出建议。 本文有主要得出以下四个结论：一是在Credit Metrics模型、Credit Risk+模型、Credit Portfolio View模型和KMV模型四个模型中，KMV模型最适用于我国房地产行业的信用风险度量；二是KMV模型中经典违约点的设定最为合理；三是房地产行业未来平均预期违约率上升，整体信用状况不容乐观，并且行业信用风险水平两级分化较为明显；四是得出速动比率、资产负债率、主营业务利润率、总资产增长率、总资产五项财务指标对房地产行业信用风险影响显著的结论。
英文摘要：	After speedy growth for nearly 20 year, the estate market in China heads into an adjustment period from 2008. The governments publicized a package of regulatory policies. Recently, the Five Regulations of Estate Market, which is just issued, aroused intensive violent jarring and increased uncertainty in estate market. In China, the estate businesses usually have a relatively high asset-liability ratio and their debt mainly focus on loan from commercial bank. Credit risks in estate business have be a major potential risk for commercial bank. In foreign countries, the credit risk, especially credit in estate business has become the research hot topic in both academic circle and practical fields, however, in China, the research focus on the credit risk just about to start. This paper is very meaningful in both theory and practice field：In theory, it tested KMV Model’s applicability in measuring the credit risk of China’s estate market, filling the relevant research blank in this filed. In practice, it introduced the KMV Model to study estate market’s credit risk, providing a solution to exam the credit risk of estate enterprise. Firstly, this paper compared four prevalent modern credit risk measure model – Credit Metrics Model, Credit Risk+ Model, Credit Portfolio View Model and KMV Model and analyzed applicability for them after considered features of Chinese financial market; Secondly, it analyzed formation mechanism and features of credit risk in Chinese estate market; Thirdly, it tested the applicability of KMV Model with empirical practice, predicted the credit risk and tested the financial indicators that influence the KMV breach distance by regression analysis. At the end, this paper proposed some suggestions for the implementation of KMV Model in China and for the credit risk management in Chinese estate market. This paper mainly achieved following four conclusions: Firstly, KMV Model is the best method to measure the credit risk of China; Secondly, the setting of default point (DP) in KMV Model is most reasonable; Thirdly, the average expected default frequency (EDF) in estate industry is increasing, while the industry credit risk’s polarization is getting more significant; At last, quick ratio, asset-liability ratio，debt to asset ratio, main operating profit margin，total assets growth rate and total asset can significantly influent the estate market’s credit risk.
查看全文：	预览  下载(下载需要进行登录)