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论文编号：	6227
作者编号：	2120122576
上传时间：	2014/6/6 8:59:22
中文题目：	判别公司债券违约风险的财务指标研究——基于财务预警理论
英文题目：	Research on the discriminant financial ratios of corporate bonds’ default risk—— based on the financial forewarning theory
指导老师：	王永进
中文关键字：	公司债券;违约风险;财务比率;财务预警
英文关键字：	Corporate Bonds;Default Risk;Financial Ratios;Financial Forewarning System
中文摘要：	新世纪以来，我国公司债券市场迅速发展，市场规模迅速扩张，债券品种创新速度加快，发行人和投资者类型呈现多元化趋势。公司债券的发展前景非常广阔，成为我国债券市场的重要组成部分。但是，债券市场的违约风险如影随形，对此，我们要深入认真应对。 本文将财务预警理论与公司债券违约风险的度量相结合，试图从定量的角度考察我国公司债券的违约风险，并建立模型对公司违约进行预测，希望通过这一研究对国内的债券违约风险研究提供一种新的思路，从而对我国的公司债券违约风险的测定与监管能力的提高有所帮助。 本文首先对公司债券违约评估的研究背景和研究意义进行了阐述，对文中所使用的概念进行了界定。然后，对于信用违约风险管理和财务预警系统理论的国内外文献进行了综述，回顾和总结了两方面的主要研究成果和研究现状。基于国内外研究成果，对财务预警系统进行设计，包括财务预警系统财务指标体系的建立和预警准则、财务预警模型的分析方法。之后，本文对样本进行了设计和选定，把信用评级为AA-级的公司定义为违约公司，把信用为AAA级的公司定义为正常公司，并对样本公司的财务指标进行了正态性检验和均值差异性检验，检验表明财务比率是适于构建模型的。最后，分别采用单变量分析法和多元判别分析法进行实证分析，建立预警模型，并通过样本反代,对模型进行了检验，结果较为理想。
英文摘要：	Since entering the new century, the Chinese corporate bonds market has developed rapidly. The scale of corporate bonds market has expanded and the varieties of corporate bonds have increased. The corporate bonds have become the backbone of the Chinese bonds market. However, the default risk of the market goes hand in hand. So we should deal with this situation seriously. This paper combines the financial forewarning theory with the default risk of corporate bonds, attempts to assess the default risk of corporate bonds from a quantitative point of view, and builds the model to predict the corporate default risk. I hope the research can provide a new way of thinking on assessing the default risk of corporate bonds. So we can improve our ability to measure and supervise the default risk of corporate bonds. The paper firstly introduces the background and significance of the research and defines the basic and important conceptions, then reviews classical theories about the credit default risk management and the financial forewarning system at home and abroad. Based on reviewing and summarizing the main findings and researches, the paper designs the financial forewarning system for assessing the default risk of the corporate bonds, including the establishment of guidelines for the financial forewarning system, the financial indicators’ system, and the analysis methods. After that, the paper designs and selects the research samples. The company of AA- credit rating is defined as the default company. The company of AAA credit rating is defined as a normal company. Then the company's financial indicators samples are tested for normality and mean difference test. The result of test shows that the financial ratios are suitable for building the model. Finally, models are established by using the univariate analysis and the multivariate discriminant analysis method, then put the samples into the financial forewarning model to check the accuracy of the models, and results are satisfactory.
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