基于违约企业分布约束的上市公司信用等级划分模型  

Listed Company Credit Rating Division Model Based on Defaulting Customer Distribution Constraint

作　　者：周颖[1] 张志鹏[2] Zhou Ying;Zhang Zhipeng(School of Economics and Management,Dalian University of Technology,Dalian 116024;Antai College of Economics&Management,Shanghai Jiao Tong University,Shanghai 200030)

机构地区：[1]大连理工大学经济管理学院,大连116024 [2]上海交通大学安泰经济与管理学院,上海200030

出　　处：《管理评论》2023年第5期3-18,共16页Management Review

基　　金：国家自然科学基金重点项目(71731003);国家自然科学基金面上项目(72071026,72173096,71971051,71971034,71873103);国家自然科学基金青年科学基金项目(71901055,71903019);国家自然科学基金地区科学基金项目(72161033);国家社会科学基金重大项目(18ZDA095)。

摘　　要：信用等级划分是将客户按照信用得分或预期损失划分到相应组别,实现对不同个体信用风险的大小排序。本研究从违约风险、风险损失两方面构建目标规划模型,给出了适用于中国上市公司的信用等级划分新思路。本文的创新与特色:一是提出了新的信用等级划分约束条件,确保违约企业更多分布在较低等级,改变了现有研究将违约企业更多划分在较高等级的不合理现象。二是通过巴塞尔协议关于预期损失与违约风险暴露、违约概率、违约损失率的关系,近似得出上市公司的预期损失,给出了解决上市公司缺乏违约损失数据的方法。研究表明:产权比率、净资产收益率、审计意见类型、流通中现金(M0)供应量同比增长率等53个指标,可用来有效预测上市公司的违约状态。AAA、AA、A、BBB、BB、B、CCC、CC、C级共9个信用等级对应的损失率分别为0.01%、0.05%、0.16%、0.23%、0.80%、1.23%、1.35%、10.10%、66.90%,满足“信用等级越高、损失率越低”这一信用评级的根本要求。Credit rating division is to divide customers into groups according to their credit score or expected losses,and to rank individuals by their credit risk.This study constructs a goal programming model from two aspects of default risk and risk loss,and gives a novel method of credit rating division for Chinese listed companies.This paper makes innovative attempts in two aspects.First,it puts forward new credit rating constraints to ensure that more defaulting customers are distributed in lower grades,thus avoiding the irrationality of the existing researches that distribute more defaulting customers in higher grades.Second,through the relationship between Expected Loss and Exposure at Default,Probability of Default and Loss Given Default in Basel Accord,this paper approximates the Expected Loss of listed companies and provides a solution for the lack of default loss data of listed companies.The results show that 53 indicators,such as equity ratio,return on equity,audit opinion type and the year-on-year growth rate of cash supply in circulation,can be used to effectively predict the default status of listed companies.The research shows that the corresponding loss rates of nine credit grades,such as AAA,AA,A,BBB,BB,B,CCC,CC and C,are 0.01%,0.05%,0.16%,0.23%,0.80%,1.23%,1.35%,10.10%and 66.90%,respectively,and this is in line with the fundamental requirement that the higher credit rating,the lower loss rate.

关 键 词：信用等级划分 损失率 违约 证据权重 上市公司 

分 类 号：F832.51[经济管理—金融学]