基于会计信息和市场信息的信用风险模型一致性研究
|
摘要
度量信用风险的模型根据其信息源的不同分为两类——会计信息信用风险模型和市场信息信用风险模型。虽然两类模型的信息源不同,评价方法也大相径庭,但是它们都是针对相同的评价主体进行信用状态的辨识,因此两者应当以相似或相近的结论共同反映出评价主体的信用状态变化。它是模型间比较研究的基础。然而,近来国内许多相关研究中出现了相互矛盾的结论,这直接挑战了上述两类模型间的根本联系。
为了证明这一内在联系的现实性,本文首先系统的讨论了两类信用风险模型一致性问题的内涵及分析框架。其次,分别利用代表两类模型的logistic和KMV对288家上市公司的进行信用状态的度量与排序。最后,利用两个模型评价的序数结果在面板数据多维信息空间中进行层级性和趋势性上的一致性判研。
结果显示,时序上两类模型序数结果一致,都能反映出评价主体自身信用状态的变化趋势;而截面上的层级序数结果则无法证明两者相关性的存在。可见,评价主体间信用状态评价结果的差异不仅仅只是评价效率上的区别,还存在着其他限制性因素破坏了内在的联系。
According to various information sources, there are two different models measuring credit risks, accounting credit risk model and marketing credit risk model. They are entire diverse models using different information sources and estimation approaches; however, they are identification models of risks based on the same estimation object, which is the fundamental of comparative study among models. Nevertheless, those emerging antinomies from domestic research are directly challenged the internal logic between the two models foresaid.
In order to prove the consistency of internal logic connection of accounting credit risk model and marketing credit risk model, this dissertation systematically discussed the definitions and analysis framework of consistency problem of two kinds of credit risk models at first. Then, to measure and rank the credit estate of 288 listing companies, it adopted LOGISTIC and KMV model, which are dealt with different credit risks. Lastly, we focused on distinguishing the consistency of ranking and trend by the ordinal results in the pool data of models.
The conclusion reveals that the two kinds of credit risk models have the same ordinal results from time series perspective, as well as they reflect the changing trends of estimation object’s credit statement, but the consistency from cross-section. Due to the various models’efficiencies and other restrict factors existing, the different credit risk models led to diversity occurring between credit estates of different estimation objects.
为了证明这一内在联系的现实性,本文首先系统的讨论了两类信用风险模型一致性问题的内涵及分析框架。其次,分别利用代表两类模型的logistic和KMV对288家上市公司的进行信用状态的度量与排序。最后,利用两个模型评价的序数结果在面板数据多维信息空间中进行层级性和趋势性上的一致性判研。
结果显示,时序上两类模型序数结果一致,都能反映出评价主体自身信用状态的变化趋势;而截面上的层级序数结果则无法证明两者相关性的存在。可见,评价主体间信用状态评价结果的差异不仅仅只是评价效率上的区别,还存在着其他限制性因素破坏了内在的联系。
According to various information sources, there are two different models measuring credit risks, accounting credit risk model and marketing credit risk model. They are entire diverse models using different information sources and estimation approaches; however, they are identification models of risks based on the same estimation object, which is the fundamental of comparative study among models. Nevertheless, those emerging antinomies from domestic research are directly challenged the internal logic between the two models foresaid.
In order to prove the consistency of internal logic connection of accounting credit risk model and marketing credit risk model, this dissertation systematically discussed the definitions and analysis framework of consistency problem of two kinds of credit risk models at first. Then, to measure and rank the credit estate of 288 listing companies, it adopted LOGISTIC and KMV model, which are dealt with different credit risks. Lastly, we focused on distinguishing the consistency of ranking and trend by the ordinal results in the pool data of models.
The conclusion reveals that the two kinds of credit risk models have the same ordinal results from time series perspective, as well as they reflect the changing trends of estimation object’s credit statement, but the consistency from cross-section. Due to the various models’efficiencies and other restrict factors existing, the different credit risk models led to diversity occurring between credit estates of different estimation objects.
引文
[1] Altman E. “Financial ratios, discriminant analysis and the prediction of corporate bankruptcy using capital market data”. Journal of Finance, 1968,23(4): 589-609
[2] Merton, Robert C. “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 1973,16(4):141-83
[3] Merton, Robert C. “On The Pricing of Corporate Debt: The Risk Structure of Interest Rates”, The Journal of Finance, 1974,29(5), 449-70
[4] Black F and Cox J. "Valuing Corporate Securities: Some Effects of Bond Indenture Frovision." Journal of Finance, 1976,31(2)351-367
[5] Duffie, D. and K. Singleton. “Modeling term structures of defaultable bonds.” The Review of Financial Studies, 1999,12(4):687-720
[6] Jarrow, R.A. and Stuart M. Turnbull. “Pricing Derivatives on Financial Securities Subject to Credit Risk.” Journal of Finance, 1995,50(1): 53-85
[7] Jarrow, R.A. and Stuart M. Turnbull. “A Markov Model of The Term Structure of Credit Risk Spreads.” Review of Financial Studies, 1997,10(2):481-523
[8] Zhou C, “The Term Structure of Credit Spreads with Jump Risk.” Journal of Banking & Finance, 2001,25(4):2015-2040
[9] Kealhofer S, Kurbat M. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rate.” Journal of Finance, 1974,29(4):449-470
[10] Press S J, Wilson S. “Choosing between logistic regression and discriminant analysis.” American statistics association, 1978,73(3): 699-705
[11] Sjur W, Wijst N. default probabilities in a corporate bank portfolio: a logistic model approach.” European journal of operational research, 2001,135(6): 338-349.
[12] Altman E I. “Revisiting credit scoring models in Basel 2 environment.” Working paper, Stern School of Business, New York University, 2001
[13] 石晓军, 任若恩. 基于期权与基于会计信息信用模型的一致性研究. 系统工程理论与实践, 2005,25(10):11-20
[14] 谭久均. 财务指标与违约距离相融合的上市公司财务预警模型. 系统工程, 2005,23(9):111-117
[15] 马若微.KMV 模型运用于中国上市公司财务困境预警的实证检验. 数理统计与管理, 2006,25(5):594-601
[16] 陈静. 上市公司财务恶化预测的实证分析. 会计研究, 1999,23(4):31-38
[17] 张玲, 张佳林. 信用风险评估方法发展趋势. 预测, 2000,19(4):72-75
[18] 吴世农 , 卢贤义 . 我国上市公司财务困境的预测模型研究 . 经济研究 , 2001,(6):46-55
[19] 王春峰, 万海晖, 张维. 商业银行信用风险评估及其实证研究. 管理科学学报, 1998,1(1):68-72
[20] 王春峰. 金融市场风险管理. 天津:天津大学出版社, 2001
[21] 王春峰, 李文华. 商业银行信用风险评估:投影寻踪判别分析模型. 管理工程学报, 2000,14(2):43-47
[22] 张爱民, 祝春山. 上市公司财务失败的主成分预测模型及其实证研究. 金融研究, 2001,(3): 10-25
[23] 李秉祥. 基于主成分分析法的我国上市公司信用风险评价模型. 西安理工大学学报, 2005,21(2):219-222
[24] 张宗益, 朱小宗, 耿华丹, 吴俊. 传统信用风险度量模型的实证比较与适用性分析. 预测, 2005,24(2):55-59
[25] 吴冲锋, 程鹏. 上市公司信用状况分析新方法. 系统工程理论方法应用, 2002,11(2): 89-93
[26] 鲁炜, 赵恒, 刘冀云. KMV 模型关系函数推测及其在中国股市的验证. 运筹与管理, 2003,12(3):43-48
[27] 杨星, 张义强. 中国上市公司信用风险管理实证研究——EDF 模型在信用评估中的应用. 中国软科学, 2004,23(1):47-51
[28] 张玲, 杨贞柿, 陈收. KMV 模型在上市公司信用风险评价中的应用研究. 系统工程, 2004,22(11):84-89
[29] 康伟刚. 公司债券违约率的结构化模型研究. 系统工程, 2004,22(9): 46-53
[30] 卢世春, 欧阳植. 商业银行信用风险跟踪预警检测模型. 数量经济技术经济研究, 1999,16(1):59-62
[31] 梁琪. 商业银行信贷风险度量研究. 北京:中国金融出版社, 2005
[32] 沈沛龙. 上市公司财务风险分析与信用评级. 投资理财, 2006,20(12):57-60
[33] 周 昭 雄 . 基 于 我 国 上 市 公 司 的 KMV 模 型 研 究 . 工 业 技 术 经 济 , 2006,25(7):142-148
[34] Longstaff, F. and Schwartz, E. “Interest Rate Volatility and the Term Structure: a Two-Factor General Equilibrium Model.” Journal of Finance, 1992,47(6):1259-1282
[35] Longstaff, F. and Schwartz, E. “A Simple Spproach to Valuing Risky Fixed and Floating Rate Debt and Determining Swap Spreads.” Discussion Paper, AndersonGraduate School of Management, University of California, Los Angeles, 1994
[36] Longstaff, F.A, and Schwartz, E. “The Pricing of Credit Derivatives.” Journal of Fixed Income, 1995,5(1):6-14
[37] Shimko, Teijima and Van Deventer. “The Pricing of Risky Debt when Interest Rates are Stochastic”, The Journal of Fixed Income , 1993,113(9):58-65
[38] Franks and Torous. “A Comparision of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations” , Journal of Financial Economics, 1994,35(3):349-70
[39] Leland and Toft, “Optimal Capital Structure , Endogenous Bankruptcy and the Term Structure of Credit Spreads”, Journal of Finance, 1996,51(3):987-1019
[40] Beaver W. H. Financial Ratios as Predictors of Failure. Journal of Accounting Research, 1966, 23(4): 71-102
[41] Duffee,G.R. “on measuring credit risks of derivative instruments”, working paper, Federal Reserve Board, February, 1995
[42] Duffee,G.R. “the variation of default risk with treasury yields”, working paper, Federal Reserve Board, February, 1995
[43] Ohlson J. “Financial ratios and the probabilistic prediction of bankruptcy”. Journal of Accounting Research, 1980,18(4): 109-131
[44] 乔卓, 薛峰. 上市公司财务困境预测 logit 模型实证研究. 华东经济管理, 2002,16(5):103-104
[45] 瞿东升, 曹运发. FISHER 判别式分析模型在上市公司信用风险度量中的应用. 林业经济, 2006,45(3):62-65
[46] 傅强, 李永涛. logistic 模型在上市公司信用风险评价中的应用. 重庆建筑大学学报, 2005,27(5):113-122
[47] 庞素林, 王燕鸣, 黎荣舟. 基于 BP 算法的信用风险评价模型研究. 数学的实践与认识, 2003,33(8): 48-55
[48] 王乃静, 油永华. 基于 FISHER 判别分析的企业信用评价模型. 技术经济与管理研究, 2006,11(4): 41-42
[49] 易丹辉, 吴建民. 上市公司信用风险计量研究——KMV 模型及其应用. 统计与信息论坛, 2004, 19(6):8-11
[50] 石晓军. 商业银行信用风险管理研究:模型与实证. 北京:人民邮电出版社, 2007
[51] 王小华, 邵斌. 基于 LELAND—TOFT 模型的我国上市公司信用风险研究. 财经研究, 2005,31(8): 38-58
[52] 赵跃琼, 严广乐. KMV 模型在银行贷款定价中的应用. 上海理工大学学报,2006,28(1):23-26
[53] Duffie, D. and Lando, D. "Term structures of credit spreads with incomplete accounting informations.” Working paper, Graduate School of Business, Stanford University, 1997
[54] Zavgren C. “Assessing the Vulnerability to Failure of American Industrial Firms: A Logistic Analysis”. Journal of Business, Finance and Accounting, 1985,12(3):19-45
[55] Health, D., Jarrow. R., and Merton, A. “Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation.” Econometrica, 1992,60(1):77-105
[56] Hull, J. and A. White. “Numerical Procedures for Implementing Term Structure Models Ⅰ : Single-Factor Models.” Journal of Derivatives, 1994,21(2):7-16
[57] Hull, J. and A. white. “Numerical procedures for implementing term structure models Ⅱ : Two-Factor Models.” Journal of Derivatives, 1994, 21(2):37-48.
[58] Madan, D and H. Unal. “Pricing The Risks of Default.” Review of Derivatives Research, 1998,2(2/3), 121-160
[59] 王琼, 陈金贤. 信用风险定价方法与模型研究. 现代财经, 2002,22(4):14-16
[60] Arnaud de Servigny, Olivier Renault .信用风险度量与管理. 任若恩, 徐晓肆, 马向前, 蒋云赟译. 中国财政经济出版社
[61] 李萌 . logit 模型在商业银行信用风险评估中的应用研究 . 管理科学 , 2005,18(2):33-38
[62] 张红舸, 夏佳南. KMV 信用风险度量模型在我国的适应性研究. 经济工作, 2006,12(11):101-103
[2] Merton, Robert C. “Theory of Rational Option Pricing”, Bell Journal of Economics and Management Science, 1973,16(4):141-83
[3] Merton, Robert C. “On The Pricing of Corporate Debt: The Risk Structure of Interest Rates”, The Journal of Finance, 1974,29(5), 449-70
[4] Black F and Cox J. "Valuing Corporate Securities: Some Effects of Bond Indenture Frovision." Journal of Finance, 1976,31(2)351-367
[5] Duffie, D. and K. Singleton. “Modeling term structures of defaultable bonds.” The Review of Financial Studies, 1999,12(4):687-720
[6] Jarrow, R.A. and Stuart M. Turnbull. “Pricing Derivatives on Financial Securities Subject to Credit Risk.” Journal of Finance, 1995,50(1): 53-85
[7] Jarrow, R.A. and Stuart M. Turnbull. “A Markov Model of The Term Structure of Credit Risk Spreads.” Review of Financial Studies, 1997,10(2):481-523
[8] Zhou C, “The Term Structure of Credit Spreads with Jump Risk.” Journal of Banking & Finance, 2001,25(4):2015-2040
[9] Kealhofer S, Kurbat M. “On the Pricing of Corporate Debt: The Risk Structure of Interest Rate.” Journal of Finance, 1974,29(4):449-470
[10] Press S J, Wilson S. “Choosing between logistic regression and discriminant analysis.” American statistics association, 1978,73(3): 699-705
[11] Sjur W, Wijst N. default probabilities in a corporate bank portfolio: a logistic model approach.” European journal of operational research, 2001,135(6): 338-349.
[12] Altman E I. “Revisiting credit scoring models in Basel 2 environment.” Working paper, Stern School of Business, New York University, 2001
[13] 石晓军, 任若恩. 基于期权与基于会计信息信用模型的一致性研究. 系统工程理论与实践, 2005,25(10):11-20
[14] 谭久均. 财务指标与违约距离相融合的上市公司财务预警模型. 系统工程, 2005,23(9):111-117
[15] 马若微.KMV 模型运用于中国上市公司财务困境预警的实证检验. 数理统计与管理, 2006,25(5):594-601
[16] 陈静. 上市公司财务恶化预测的实证分析. 会计研究, 1999,23(4):31-38
[17] 张玲, 张佳林. 信用风险评估方法发展趋势. 预测, 2000,19(4):72-75
[18] 吴世农 , 卢贤义 . 我国上市公司财务困境的预测模型研究 . 经济研究 , 2001,(6):46-55
[19] 王春峰, 万海晖, 张维. 商业银行信用风险评估及其实证研究. 管理科学学报, 1998,1(1):68-72
[20] 王春峰. 金融市场风险管理. 天津:天津大学出版社, 2001
[21] 王春峰, 李文华. 商业银行信用风险评估:投影寻踪判别分析模型. 管理工程学报, 2000,14(2):43-47
[22] 张爱民, 祝春山. 上市公司财务失败的主成分预测模型及其实证研究. 金融研究, 2001,(3): 10-25
[23] 李秉祥. 基于主成分分析法的我国上市公司信用风险评价模型. 西安理工大学学报, 2005,21(2):219-222
[24] 张宗益, 朱小宗, 耿华丹, 吴俊. 传统信用风险度量模型的实证比较与适用性分析. 预测, 2005,24(2):55-59
[25] 吴冲锋, 程鹏. 上市公司信用状况分析新方法. 系统工程理论方法应用, 2002,11(2): 89-93
[26] 鲁炜, 赵恒, 刘冀云. KMV 模型关系函数推测及其在中国股市的验证. 运筹与管理, 2003,12(3):43-48
[27] 杨星, 张义强. 中国上市公司信用风险管理实证研究——EDF 模型在信用评估中的应用. 中国软科学, 2004,23(1):47-51
[28] 张玲, 杨贞柿, 陈收. KMV 模型在上市公司信用风险评价中的应用研究. 系统工程, 2004,22(11):84-89
[29] 康伟刚. 公司债券违约率的结构化模型研究. 系统工程, 2004,22(9): 46-53
[30] 卢世春, 欧阳植. 商业银行信用风险跟踪预警检测模型. 数量经济技术经济研究, 1999,16(1):59-62
[31] 梁琪. 商业银行信贷风险度量研究. 北京:中国金融出版社, 2005
[32] 沈沛龙. 上市公司财务风险分析与信用评级. 投资理财, 2006,20(12):57-60
[33] 周 昭 雄 . 基 于 我 国 上 市 公 司 的 KMV 模 型 研 究 . 工 业 技 术 经 济 , 2006,25(7):142-148
[34] Longstaff, F. and Schwartz, E. “Interest Rate Volatility and the Term Structure: a Two-Factor General Equilibrium Model.” Journal of Finance, 1992,47(6):1259-1282
[35] Longstaff, F. and Schwartz, E. “A Simple Spproach to Valuing Risky Fixed and Floating Rate Debt and Determining Swap Spreads.” Discussion Paper, AndersonGraduate School of Management, University of California, Los Angeles, 1994
[36] Longstaff, F.A, and Schwartz, E. “The Pricing of Credit Derivatives.” Journal of Fixed Income, 1995,5(1):6-14
[37] Shimko, Teijima and Van Deventer. “The Pricing of Risky Debt when Interest Rates are Stochastic”, The Journal of Fixed Income , 1993,113(9):58-65
[38] Franks and Torous. “A Comparision of Financial Recontracting in Distressed Exchanges and Chapter 11 Reorganizations” , Journal of Financial Economics, 1994,35(3):349-70
[39] Leland and Toft, “Optimal Capital Structure , Endogenous Bankruptcy and the Term Structure of Credit Spreads”, Journal of Finance, 1996,51(3):987-1019
[40] Beaver W. H. Financial Ratios as Predictors of Failure. Journal of Accounting Research, 1966, 23(4): 71-102
[41] Duffee,G.R. “on measuring credit risks of derivative instruments”, working paper, Federal Reserve Board, February, 1995
[42] Duffee,G.R. “the variation of default risk with treasury yields”, working paper, Federal Reserve Board, February, 1995
[43] Ohlson J. “Financial ratios and the probabilistic prediction of bankruptcy”. Journal of Accounting Research, 1980,18(4): 109-131
[44] 乔卓, 薛峰. 上市公司财务困境预测 logit 模型实证研究. 华东经济管理, 2002,16(5):103-104
[45] 瞿东升, 曹运发. FISHER 判别式分析模型在上市公司信用风险度量中的应用. 林业经济, 2006,45(3):62-65
[46] 傅强, 李永涛. logistic 模型在上市公司信用风险评价中的应用. 重庆建筑大学学报, 2005,27(5):113-122
[47] 庞素林, 王燕鸣, 黎荣舟. 基于 BP 算法的信用风险评价模型研究. 数学的实践与认识, 2003,33(8): 48-55
[48] 王乃静, 油永华. 基于 FISHER 判别分析的企业信用评价模型. 技术经济与管理研究, 2006,11(4): 41-42
[49] 易丹辉, 吴建民. 上市公司信用风险计量研究——KMV 模型及其应用. 统计与信息论坛, 2004, 19(6):8-11
[50] 石晓军. 商业银行信用风险管理研究:模型与实证. 北京:人民邮电出版社, 2007
[51] 王小华, 邵斌. 基于 LELAND—TOFT 模型的我国上市公司信用风险研究. 财经研究, 2005,31(8): 38-58
[52] 赵跃琼, 严广乐. KMV 模型在银行贷款定价中的应用. 上海理工大学学报,2006,28(1):23-26
[53] Duffie, D. and Lando, D. "Term structures of credit spreads with incomplete accounting informations.” Working paper, Graduate School of Business, Stanford University, 1997
[54] Zavgren C. “Assessing the Vulnerability to Failure of American Industrial Firms: A Logistic Analysis”. Journal of Business, Finance and Accounting, 1985,12(3):19-45
[55] Health, D., Jarrow. R., and Merton, A. “Bond pricing and the term structure of interest rates: a new methodology for contingent claims valuation.” Econometrica, 1992,60(1):77-105
[56] Hull, J. and A. White. “Numerical Procedures for Implementing Term Structure Models Ⅰ : Single-Factor Models.” Journal of Derivatives, 1994,21(2):7-16
[57] Hull, J. and A. white. “Numerical procedures for implementing term structure models Ⅱ : Two-Factor Models.” Journal of Derivatives, 1994, 21(2):37-48.
[58] Madan, D and H. Unal. “Pricing The Risks of Default.” Review of Derivatives Research, 1998,2(2/3), 121-160
[59] 王琼, 陈金贤. 信用风险定价方法与模型研究. 现代财经, 2002,22(4):14-16
[60] Arnaud de Servigny, Olivier Renault .信用风险度量与管理. 任若恩, 徐晓肆, 马向前, 蒋云赟译. 中国财政经济出版社
[61] 李萌 . logit 模型在商业银行信用风险评估中的应用研究 . 管理科学 , 2005,18(2):33-38
[62] 张红舸, 夏佳南. KMV 信用风险度量模型在我国的适应性研究. 经济工作, 2006,12(11):101-103