Fuzzy Numbers in the Credit Rating of Enterprise Financial Condition

Most of the parameters used to describe the credit rating are in linguistic terms, which are vague and difficult to put into precise numerical values. Fuzzy set theory, which was developed to handle this kind of vagueness, is used to represent and to aggregate the various linguistic data usually used in commercial banks. To illustrate the approach, numerical examples are solved and compared with existing approaches.     

信用违约风险传染模型的比较研究

本文试图对几种有代表性的模型进行比较,来分析由于建模方式的不同,而导致的对信用期权定价和对冲的结果的不同.如果将违约风险传染考虑进去,类似德隆帝国崩溃的事件,或许就能避免.     

Default Risk Estimation,Bank Credit Risk,and Corporate Governance

This study explores the relationship between credit risks of banks and the corporate governance structures of these banks from the perspective of creditors. The cumulative default probabilities are estimated for a sample of US commercial and savings banks to measure their risk taking behavior. The results show that one year and five year cumulative default probabilities are time‐varying, with a significant jump observed in the year prior to the financial crisis of 2008–09. Generally speaking, corporate governance structures have a greater impact on US commercial banks than on savings institutions. We provide evidence that, after controlling for firm specific characteristics, commercial banks with larger boards and older CFOs are associated with significantly lower credit risk levels. Lower ownership by institutional investors and more independent boards also have lower credit risk levels, although these effects are somewhat less significant. For all the banks in our sample, large board size, older CFO, and less busy directors are associated with lower credit risk levels. When we restrict the sample to consider the joint effects of the governance variables, the results on board size and busy directors are maintained.     

A Multicriteria Approach for Modeling Small Enterprise Credit Rating: Evidence from China

ABSTRACT

As the engine of China’s economy, small enterprises have been the central to the country’s economic development. However, given the characteristics of the small enterprises loan (i.e., short borrowing period, large volume, small amount and incomplete information), it is extremely challenging for financial institutions to assess their creditworthiness. Thus, it seriously delays and restricts the financing access for small enterprises. In an attempt to relieve the financing difficulty of small enterprises, this article makes use of 687 small wholesale and retail enterprises in a regional commercial bank in China, to establish a credit rating indicator system composed of 17 indicators by using both partial correlation analysis and probit regression. It then utilizes TOPSIS together with fuzzy C-means to score the credit ratings of our sample of small enterprises. With the dual test of default discrimination and ROC curve, the prediction accuracy of the established indicator system has reached 80.10% and 0.917, respectively, indicating the robustness and validity of our credit rating system.     

信用评级业的专家责任问题

传统上,美国信用评级机构主张评级报告属于涉及公共利益的意见,援引宪法第一修正案进行抗辩。作为金融征信的重要内容,信用评级业在未来可能引发一系列专家责任案件,而现今中国法律体系对于专家责任的规定不健全。虽然专家责任的法律属性还需要进一步讨论,但是目前更重要的是先处理专家责任。中国法院在处理信用评级引发的案件时,可以借鉴美国的司法判例,以信用评级报告在商事交易中的作用认定专家责任的大小。     

公司信用债违约风险预警与防范研究

我国债券规模位居世界第二,债券市场已成为企业直接融资的主要渠道;同时我国公司信用债违约频发,违约主体几乎涵盖了全部行业,永煤AAA债券违约事件引发各方关注。在此背景下,本文研究了信用债违约风险预警与防范,搭建了债券违约预警模型:一是深入分析了违约原因,提出了经济下行加剧‘债务-通缩’流动性分层导致再融资困难民企互保引发违约风险串联的观点;二是基于KLR信号分析法,以历史违约主体财报数据为基础构建了上市公司债违约预警模型,抽离出相关指标权重构成预警指标体系,并进行了实证检验;三是基于预警模型,提出加强动态监测、构建债券风险分类管理办法等政策建议。     

我国商业银行中小企业信用评级模型研究

本文在对各种信用评级方法进行简要分析的基础上，提出基于层次分析法构建我国商业银行中小企业信用评级模型。其包括两个模块：一是中小企业信用评级指标体系优化模块，包括财务报表分析、中小企业法人和高级管理层的信用状况、企业发展趋势、员工素质以及市场前景等指标；二是基于层次分析法的指标权重确定模块。通过对可量化的“硬指标”的分析，以及对不可量化的“软指标”权重的确定，保证对中小企业评级的客观、公正和有效。最后本文还提出了各商业银行应建立健全能够支持中小企业贷款的信息系统，各中小企业应提高信息披露的真实性等相应的配套措施。     

信用评级在中国债券市场的影响力

信用评级能够为市场提供风险信息从而增强市场对企业的约束,因此对资本市场的健康发展起着重要的作用。在中国,评级市场刚刚起步。本文利用2007至2009年间发行的企业债数据,用实证的方法研究本土信用评级在债券市场上的影响力。我们建立真实利息成本(TIC)回归模型,以信用评级和其他相关因素对债券的真实利息成本进行计量回归,分析信用评级在一级市场中对债券发行成本的影响。我们发现债券评级和主体评级分别对发行成本具有解释力,但债券评级对发行成本的影响力大于主体评级。     

中美信用评级市场发展比较与启示

本文结合中美信用评级市场发展脉络,从评级机构、收费模式、监管模式等方面分析两国信用评级市场发展过程中的不同特征,认为美国信用评级市场健康发展的原因在于评级机构重视市场声誉以及监管机构注重加强引导与监管。借鉴美国经验,我国的信用评级机构应该注重加强信用评级机构的内部治理,提高信用评级机构的国内外影响力;同时加强外部环境建设和信息披露制度建设,建立科学统一的外部评级机构管理制度。     

Distressed Debt Restructuring in the Presence of Credit Default Swaps

The availability of credit insurance via credit default swaps has been closely associated with the emergence of empty creditors. We empirically investigate this issue by looking at the debt restructurings (distressed exchanges and bankruptcy filings) of rated, nonfinancial U.S. companies over the period January 2007–June 2011. Using different proxies for the existence of insured creditors, we do not find evidence that the access to credit insurance favors bankruptcy over a debt workout. However, we document higher recovery prices following a distressed exchange in firms where empty creditors are more likely to emerge.