基于违约状态判别的小企业债信评级  

Debt rating of small enterprise based on default identification

作　　者：孟斌 迟国泰 Meng Bin;Chi Guotai(Faculty of Management and Economics,Dalian University of Technology,Dalian 116024,China)

机构地区：[1]大连理工大学管理与经济学部,辽宁大连116024

出　　处：《系统工程学报》2018年第4期565-576,共12页Journal of Systems Engineering

基　　金：国家自然科学基金资助项目(71731003; 71471027; 71431002; 71171031);国家社会科学基金资助项目(16BTJ017);辽宁省社科规划基金资助项目(L16BJY016);大连银行小企业信用风险评级系统与贷款定价资助项目(2012–01);中国邮政储蓄银行总行小额贷款信用风险评价与贷款定价资助项目(2009–07)

摘　　要：文章对1 231笔小企业贷款数据进行实证分析,通过方差齐性检验和R聚类构建了对违约状态影响显著的小企业债信评级指标体系;通过区分违约状态越显著的指标、权重越大的思路进行赋权,建立债信评分模型;通过债信等级越高、违约损失率越低的标准划分债信等级,建立了债信评级体系.实证结果表明:速动比率、法人代表信用卡记录等21个指标构成的指标体系不但可以显著区分小企业的违约状态、而且避免了重复反映信息的指标重叠和冗余.This paper analyzes the data of small enterprise loans empirically. Using F test and R-type cluster analysis method, a debt rating index system is established that has significant influence on the default state. The debt evaluation model gives a larger weight to indices with higher default rates.Further, the higher the rating, the lower the default rate. The empirical results reveal that： the index system with 21 indexes such as the quick ratio, corporate legal disputes and so on, can not only distinguish the default situation of small enterprises, but also avoid the overlap and redundancy of duplicating the information index.

关 键 词：小企业评级 债信评级 违约状态鉴别 方差齐性检验 

分 类 号：F830.56[经济管理—金融学]