经济波动与公司的信用风险
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摘要
商业银行亲周期性(Pro-cyclicality)行为加剧了经济波动,对经济周期具有放大作用,它表现为,在宏观经济处于萧条时期,信用违约将会显著增加;相反,在经济处于繁荣时期,信贷质量则会明显改善,因而银行信用也呈现萧条时收缩,繁荣时扩张的特点。国外众多学者的理论和实证研究结果都表明信用风险对经济周期表现为负相关性,在经济周期上升阶段,通常违约率下降,信用风险降低。但在经济周期下降阶段,总需求下降,企业的盈利水平下降,导致偿还能力下降,企业违约概率上升。因此,要增强金融体系和宏观经济的稳定性,就必须从信用风险管理的角度入手,合理的监管商业银行的信贷投放,控制银行的信用风险。
Merton(1974)基于期权定价理论的违约预测方法,把银行的放款问题倒转过来,从借款企业股权持有者的角度考虑贷款偿还激励问题。企业的违约取决于企业资产的市场价值和价值的波动性,当资产价值低于负债的账面价值时,企业所有者会选择违约,并将企业的剩余资产移交给放款人(银行)。反之,企业所有者有动力偿还贷款。因此违约概率取决于资产价值与违约点(债务账面价值)的距离。当经济衰退时,企业的资产价值下降,违约距离缩短,违约概率上升,反之,则违约概率下降。通过以上基于期权定价理论的KMV结构模型,借助违约距离这一指标度量企业的信用风险,并观察在宏观经济周期性波动过程中,违约距离的变化,以考察信用风险与经济周期性波动的相关性,可以为金融机构的信用风险管理提供指导。
本文选取了钢铁、房地产、公用事业这三个具有典型特征的行业中不同信用等级企业,通过考察公司违约距离的变化历史,分析公司的信用风险与宏观经济周期波动性的相关关系。实证结果表明,随着我国市场经济程度提高,1998年后,钢铁和房地产这类亲周期性行业,公司的信用风险与经济周期呈现负相关性,而信用级别低的公司和公用事业类公司,其信用风险与经济周期的相关性更多的是由公司治理等其它微观要素决定。
Pro-cyclical behavior of commercial banks increased economic volatility, the amplification of the economic cycle. In the macro-economic recession in the period, credit will be a significant increase in default. In contrast, during the economic boom, credit quality will be significantly improved , which also has bank credit contraction depression and expansion. Many foreign theory and empirical research results show that the credit risk on the performance of the economic cycle for the negative correlation in the rise phase of the economic cycle, default rates generally declined and credit risk reduction. Therefore, in order to strengthen the financial system and macroeconomic stability, it is necessary from the perspective of credit risk management approach, a reasonable regulation of commercial banks loans, the bank's credit risk control.
Merton (1974) based on the option pricing theory, problem loans to banks turned around and stake holders from the borrowers point of view the question of loan repayment incentives. The default depends on the enterprise market value of corporate assets and the volatility of the value, when the value of the assets is lower than the book value of liabilities, the business owners will choose to default, and the remaining business assets to the lenders (banks). Instead, business owners have power to repay the loan. Therefore the probability of default depends on the value of the assets and the default point (the debt book value) of the distance. When the economic recession, the decline in the value of corporate assets, breach of contract to shorten the distance, increased the probability of default, on the contrary, it decreased the probability of default. More than the theory of option pricing based on the KMV model, by default from the target measure of corporate credit risk, and to observe the cyclical fluctuations in the macroeconomic process of change from the default in order to study the credit risk of cyclical fluctuations and economic relevance, with a view to provide guidance on credit risk management.
In this paper, selected for iron and steel, real estate, public utilities have the typical characteristics of the three different sectors of the credit rating companies, inspection companies through the change from the default history of the company's credit risk analysis of macroeconomic cycles and the correlation between volatility. Empirical results show that with the improvement of China's market economy, after 1998, steel and real estate of such pro-cyclical industry, the company's credit risk and related negative economic cycle, while low-level credit companies and public utility companies, the credit risk associated with the economic cycle is more decided by the corporate governance and other micro-elements.
Merton(1974)基于期权定价理论的违约预测方法,把银行的放款问题倒转过来,从借款企业股权持有者的角度考虑贷款偿还激励问题。企业的违约取决于企业资产的市场价值和价值的波动性,当资产价值低于负债的账面价值时,企业所有者会选择违约,并将企业的剩余资产移交给放款人(银行)。反之,企业所有者有动力偿还贷款。因此违约概率取决于资产价值与违约点(债务账面价值)的距离。当经济衰退时,企业的资产价值下降,违约距离缩短,违约概率上升,反之,则违约概率下降。通过以上基于期权定价理论的KMV结构模型,借助违约距离这一指标度量企业的信用风险,并观察在宏观经济周期性波动过程中,违约距离的变化,以考察信用风险与经济周期性波动的相关性,可以为金融机构的信用风险管理提供指导。
本文选取了钢铁、房地产、公用事业这三个具有典型特征的行业中不同信用等级企业,通过考察公司违约距离的变化历史,分析公司的信用风险与宏观经济周期波动性的相关关系。实证结果表明,随着我国市场经济程度提高,1998年后,钢铁和房地产这类亲周期性行业,公司的信用风险与经济周期呈现负相关性,而信用级别低的公司和公用事业类公司,其信用风险与经济周期的相关性更多的是由公司治理等其它微观要素决定。
Pro-cyclical behavior of commercial banks increased economic volatility, the amplification of the economic cycle. In the macro-economic recession in the period, credit will be a significant increase in default. In contrast, during the economic boom, credit quality will be significantly improved , which also has bank credit contraction depression and expansion. Many foreign theory and empirical research results show that the credit risk on the performance of the economic cycle for the negative correlation in the rise phase of the economic cycle, default rates generally declined and credit risk reduction. Therefore, in order to strengthen the financial system and macroeconomic stability, it is necessary from the perspective of credit risk management approach, a reasonable regulation of commercial banks loans, the bank's credit risk control.
Merton (1974) based on the option pricing theory, problem loans to banks turned around and stake holders from the borrowers point of view the question of loan repayment incentives. The default depends on the enterprise market value of corporate assets and the volatility of the value, when the value of the assets is lower than the book value of liabilities, the business owners will choose to default, and the remaining business assets to the lenders (banks). Instead, business owners have power to repay the loan. Therefore the probability of default depends on the value of the assets and the default point (the debt book value) of the distance. When the economic recession, the decline in the value of corporate assets, breach of contract to shorten the distance, increased the probability of default, on the contrary, it decreased the probability of default. More than the theory of option pricing based on the KMV model, by default from the target measure of corporate credit risk, and to observe the cyclical fluctuations in the macroeconomic process of change from the default in order to study the credit risk of cyclical fluctuations and economic relevance, with a view to provide guidance on credit risk management.
In this paper, selected for iron and steel, real estate, public utilities have the typical characteristics of the three different sectors of the credit rating companies, inspection companies through the change from the default history of the company's credit risk analysis of macroeconomic cycles and the correlation between volatility. Empirical results show that with the improvement of China's market economy, after 1998, steel and real estate of such pro-cyclical industry, the company's credit risk and related negative economic cycle, while low-level credit companies and public utility companies, the credit risk associated with the economic cycle is more decided by the corporate governance and other micro-elements.
引文
[1]Bangia,A.,F.Diebold,A.Kronimus,C.Schagen,and T.Schuermann(2002).Ratings migration and the business cycle,with application to credit portfolio stress testing.Journal of Banking and Finance 26(2-3),445-474.
[2]Nickell,P.,W.Perraudin,and S.Varotto(2000).Stability of rating transitions.Journal of Banking and Finance 24(1-2),203-227.
[3]Gupton,Greg M.,and Roger M.Stein,2002,LossCalc:Moody's model for predictingloss given default(LGD).Working Paper,Moody's Investors Services,Global Credit Research,New York.
[4]John C.Hull,Option,futures and other derivatives 3rd Prentice--Hall Intenational,Inc.1997:232-235
[5]Black.Fand M.Scholes.The Pricing of Options and Coporate Libilities Journal of Political Economy(5-6):637-654,1973
[6]张义强、杨星,“我国上市公司信用风险管理实证研究-KMV在信用评估中的作用,”《经济论坛》,2003年7月。
[7]程鹏、吴冲锋,“上市公司信用状况分析新方法,”《系统下程理论方法应用》,2002年第2期,第89-93页。
[8]鲁炜、赵恒衍、方兆本、刘冀云,“KMV模型在公司价值评估中的应用,”《管理科学》,2003年第3期第30-33页。
[9]张玲,杨贞柿,“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年11月,第84-89页。
[10]韩立岩、郑承利,“基于模糊随机方法的公司违约风险预测研究”,《金融研究》,2003年第8期,第48-53页。
[11]张连城:本轮周期的波长、波幅特征与通货膨胀的发展趋势。《经济与管理研究》2008年第8期
[12]张屹山等著,《宏观金融风险形成的微观机理研究--数理模型、计量方法与智能模拟》经济科学出版社2008年版 P345
[13]Keith Cuthbertson,Dirk Nitzsche著 张陶伟等译 《金融工程--衍生品与风险管理》中国人民大学出版社 2004年版 P371
[14]周明生,经济周期、房地产市场波动与金融安全。中国经济增长与经济周期(2008)。中国经济出版社 2008年9月
[2]Nickell,P.,W.Perraudin,and S.Varotto(2000).Stability of rating transitions.Journal of Banking and Finance 24(1-2),203-227.
[3]Gupton,Greg M.,and Roger M.Stein,2002,LossCalc:Moody's model for predictingloss given default(LGD).Working Paper,Moody's Investors Services,Global Credit Research,New York.
[4]John C.Hull,Option,futures and other derivatives 3rd Prentice--Hall Intenational,Inc.1997:232-235
[5]Black.Fand M.Scholes.The Pricing of Options and Coporate Libilities Journal of Political Economy(5-6):637-654,1973
[6]张义强、杨星,“我国上市公司信用风险管理实证研究-KMV在信用评估中的作用,”《经济论坛》,2003年7月。
[7]程鹏、吴冲锋,“上市公司信用状况分析新方法,”《系统下程理论方法应用》,2002年第2期,第89-93页。
[8]鲁炜、赵恒衍、方兆本、刘冀云,“KMV模型在公司价值评估中的应用,”《管理科学》,2003年第3期第30-33页。
[9]张玲,杨贞柿,“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年11月,第84-89页。
[10]韩立岩、郑承利,“基于模糊随机方法的公司违约风险预测研究”,《金融研究》,2003年第8期,第48-53页。
[11]张连城:本轮周期的波长、波幅特征与通货膨胀的发展趋势。《经济与管理研究》2008年第8期
[12]张屹山等著,《宏观金融风险形成的微观机理研究--数理模型、计量方法与智能模拟》经济科学出版社2008年版 P345
[13]Keith Cuthbertson,Dirk Nitzsche著 张陶伟等译 《金融工程--衍生品与风险管理》中国人民大学出版社 2004年版 P371
[14]周明生,经济周期、房地产市场波动与金融安全。中国经济增长与经济周期(2008)。中国经济出版社 2008年9月