一种与市场预期误差最小的信用风险评价模型及实证  

SME Credit Rating Based on the Minimizing Error to Market Expectation Credit Risk

作　　者：徐占东[1] 程砚秋[2] 迟国泰[3] 徐子恒 XU Zhan-dong;CHENG Yan-qiu;CHI Guo-tai;XU Zhi-heng(School of Economics,Northeast University of Finance and Economics,Dalian 116023,China;School of Account,Northeast University of F.inance and Economics,Dalian 116023,China;School Management,Dalian University of Technology,Dalian 116025,China;School of Mathematics,China University of Mining and Technology,Xuzhou 221000,China)

机构地区：[1]东北财经大学经济学院,辽宁大连116025 [2]东北财经大学会计学院,辽宁大连116025 [3]大连理工大学工商管理学院,辽宁大连116024 [4]中国矿业大学数学学院,江苏徐州221000

出　　处：《数学的实践与认识》2019年第3期94-107,共14页Mathematics in Practice and Theory

基　　金：2018年国家自然科学基金重点项目(71731003);大数据环境下的微观信用评价理论与方法研究;2018年教育部人文社会科学研究青年基金资助项目(18YJC790017);多源数据下基于级别高于关系的小企业信用风险动态评价理论与方法研究

摘　　要：利用KMV测算的违约距离,反映市场预期的违约风险.引入R平方构建信息比率测算指标体系的信息含量,解决指标筛选过程中的信息含量测算问题,筛选出的财务指标体系既满足分散化原则,又符合信息含量最大原则.基于与市场预期违约风险一致原则,通过构建与市场预期违约风险误差最小的有约束优化模型确定指标权重,解决没有公开和完备贷款违约数据库时的信用风险评价问题.以中小企业板块上市公司作为样本进行了实证分析,评价结果表明,建立的与市场预期风险误差最小的信用风险评价体系能够准确反映我国中小企业违约风险的现状.In this paper, the default distance was find by KMV to reflect market expectations of default risk. Information ratio was supplied by the R-square to determine the information of index system The index system we setup both satisfy the principle of diversification and maximum information Based on the principle of consistency with market expectations default risk, an constrained optimization model was built to determine the index weight under the situation that without publicly and complete loan default database. The empirical analysis to the small and medium-sized listing corporation shows that the result of credit risk evaluation are consistent with the fact.

关 键 词：中小企业信用评级 市场预期信用风险 误差最小的指标赋权模型 违约距离 

分 类 号：F276.3[经济管理—企业管理] F832.4[经济管理—国民经济]