中小企业集合债券发行主体发债比例确定——一个基于多元t-Copula-KMV模型的实证研究  

Determination of the Debt Ratios of the Corresponding Enterprises in SME Collective Bonds: An Empirical Study Based on Multivariate t- Copula- KMV Model

作　　者：谢赤[1,2] 李为章[1] 

机构地区：[1]湖南大学工商管理学院,湖南长沙410082 [2]湖南大学金融与投资管理研究中心,湖南长沙410082

出　　处：《湘潭大学学报（哲学社会科学版）》2014年第2期37-41,共5页Journal of Xiangtan University:Philosophy And Social Sciences

基　　金：国家自然科学基金项目(项目编号:71373072);国家自然科学基金创新研究群体基金项目(项目编号:71221001);国家软科学研究计划项目(项目编号:2010GXS5B141);高等学校博士点专项科研基金项目(项目编号:0161110031)

摘　　要：结合KMV模型和多元t-Copula模型,构建中小企业集合债券发行主体发债比例优化模型,用以考察各发债企业的最优发债比例。为了排除宏观环境以及行业差异等因素的影响,同时考虑到数据的可得性,尽可能选取与现有中小企业集合债券发债企业处于同一行业的样本,具体以证券市场中小企业板块的上市公司为研究对象。实证结果表明,所确定的集合债券发债主体的最优发债比例能保证中小企业集合债券的信用风险预期损失率实现最小化。Combining KMV model and multivariate t - Copula model, an optimization model of deciding the proportion that the corre- sponding enterprises occupy in the total sum of SME collective bonds is proposed. In order to exclude the influence of the difference in the macro environment as well as industries, to consider the availability of data, this paper tries to select the enterprises which come from the similar industries to the corresponding enterprises for the existing SME collective bonds, then chooses 10 listed SME as the re- search object, and examines the determination of the ratio that the corresponding enterprises account for in the total sum of the SME collective bonds. Moreover, the empirical results indicate that the optimal debt ratios for the corresponding enterprises in SME collec- tive bonds in this paper minimize the expected loss rate of the credit exposure for SME collective bonds.

关 键 词：中小企业 集合债券 发债比例 多元t-Copula模型 KMV模型 

分 类 号：F830.9[经济管理—金融学]