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基于经济周期的信用风险转移矩阵实证研究

发表时间:2010-05-15  浏览量:1834  下载量:880
全部作者: 李静一,秦学志
作者单位: 大连理工大学管理学院
摘 要: 研究了基于经济周期和Z模型的信用风险转移矩阵的构建方法,选用1993年至2007年上市公司的实际数据,实证构建了经济周期不同阶段我国上市公司的信用风险转移矩阵。然后分析了这些信用风险转移矩阵所表现的不同特征,得出我国上市公司的信用等级转移矩阵具有波动性大、稳定性差的结论,且经济周期不同阶段呈现不同的信用风险。最后,为我国的信用风险管理提供了一些建议:金融机构在衰退时期应采取谨慎的信用政策和贷款政策,而在复苏、萧条和繁荣时期应逐渐放宽信用政策和贷款政策;政府要为降低上市公司的整体信用风险提供制度保障和稳定的外部环境。
关 键 词: 管理工程;Z模型;逐步判别法;马尔可夫过程;信用风险转移矩阵;经济周期
Title: Empirical research on credit rating transition matrix based on economic cycle
Author: LI Jingyi,QIN Xuezhi
Organization: School of Management, Dalian University of Technology
Abstract: This paper studies the construction of credit rating transition matrix based on economic cycle and Z-score model. Using the actual data of listed companies from 1993 to 2007 in China, the paper constructs credit rating transition matrices of different economic cycles. Then the paper analyses these credit rating transition matrices and draws a conclusion that credit rating transition matrix in China has a poor stability and different economic cycles have different credit risks. Finally, this paper suggests that financial institutions adopt prudent credit policies in the recession and loose credit policies step by step in time of economic recovery, depression and prosperous economy. And this paper suggests the government should provide a stable external environment and perfect system for listed companies.
Key words: management engineering; Z-score model; stepwise discrimination method; Markov process; credit risk transition matrix; economic cycle
发表期数: 2010年5月第9期
引用格式: 李静一,秦学志. 基于经济周期的信用风险转移矩阵实证研究[J]. 中国科技论文在线精品论文,2010,3(9):924-929.
 
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