上市公司信用风险度量研究

本文利用KMV模型计算出样本上市公司的违约距离,并将其作为PROBIT模型的自变量计算出上市公司的违约概率。实证结果表明,违约距离能较好地识别上市公司的信用风险,将违约距离作为自变量进行PROBIT建模分析时明显提高了模型的统计显著性和预测精度。在无法利用KMV模型测算上市公司经验违约率时,利用加入违约距离做自变量的PROBIT模型可以实现有效的替代,将二者结合起来使用能够为金融机构的信用风险评价提供科学依据。     

基于SV-KMV模型的信用风险度量研究

KMV模型是度量信用风险的主要模型,股权价值波动率是KMV模型的重要参数,应用改进KMV模型GARCH-KMV模型与SV-KMV模型对中国上市公司信用质量的实证研究表明:股权价值波动与KMV模型的结果违约距离高度负相关;GARCH-KMV与SV-KMV模型均能度量上市公司信用状况,但SV-KMV模型比GARCH-KMV模型度量效果更好。     

金融危机中上市公司信用风险变化——基于KMV模型的实证分析

KMV模型是基于公司的股权价值和负债之间的关系来计算公司的违约风险,但在金融危机背景下几乎所有公司的股价均大幅下跌,由此计算出的公司违约距离和违约率也大幅度上升,并且基于历史数据的预测结果也不再有效。选择2007年研究结果中违约风险具有明显差异的成对公司样本,计算2008年的违约距离和理论违约率,发现这种鲜明的对比已不复存在。利用GARCH模型估计股权价值波动率,用迭代程序估算资产价值及其波动率,选择24家A股上市公司的年度数据,利用KMV模型对它们的信用风险状况进行分析。     

基于Leland-Toft模型的我国上市公司信用风险研究

文章首次运用Leland-Toft模型对我国上市公司的信用风险进行了实证研究,结果表明:通过该模型得到的预期违约率能够较好地描述上市公司的信用风险,不同信用级别上市公司的预期违约率有明显的不同,因而该模型在识别我国上市公司的信用风险时显示出一定的有效性.根据新华远东的信用评级体系,我们从Leland-Toft模型计算结果中发现:二A级以上公司、三B级以上公司和三B级以下公司分别在三年、一年和半年内的预期违约率接近为零,而我国上市公司长期的预期违约率则普遍偏高.     

基于我国上市公司信用状况的KMV模型运用与实证分析

文章对KMV在我国的应用情况进行了研究,设立七种违约点,分别计算出违约距离,最终确立一个最适合我国股市的违约点计算模型.为了提高计算的正确性,在计算股权的市场价值时考虑了非流通股的价值.实证分析表明,ST公司违约距离与非ST公司违约距离差距明显,从而说明KMV模型在我国使用是有效的,并且发现对总资产与流动负债、长期负债之间的回归取得的带截距项的回归方程是最适合我国股市的违约点设置.     

基于KMV模型的我国中小上市公司信用风险研究

经过提高股权价值波动率精确度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力,我们可以通过设定两条信用预警线,来监控中小上市公司的信用危机.文章研究发现,资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差.股权分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因.     

基于KMV模型的适用性研究与应用分析——以A股市场主要过剩产能行业为例

本文通过对2007年—2012年钢铁行业和水泥建材行业共45家上市公司的财务数据和股票历史信息的分析,基于KMV模型原理,通过使用Matlab、Excel等软件,实证分析了近几年来上述企业的违约距离,并探讨产能过剩和信用违约之间的关系。实证结果表明,KMV模型适用于钢铁行业和水泥建材行业的信用违约测度,结果符合经济运行形势;同时,上述行业产能过剩并不能直接解释以违约距离表征的公司信用违约风险。     

KMV模型对中国上市公司信用风险识别能力的实证研究

KMV模型作为一种结构化信用风险度量和预测工具,在国外成熟市场已被广泛采用。本文选取了66家中国的上市企业作为样本,通过比较其违约距离,检验了KMV模型的信用风险识别能力;同时选取了25家ST企业三年的数据作为样本,通过纵向比较其违约距离,检验了KMV模型的信用风险预警能力。     

基于期权定价理论的我国商业银行信用风险度量模型及参数修正

信用风险是商业银行面临的主要风险。在信用风险管理中KMV的应用主要有历史估计模式和违约模式两类,本文分别选取了具有代表性的CreditMetries方法和KMV方法进行分析和比较,指出了我国银行信用风险管理中应用此模型的局限性,提出在我国现阶段较为实用的选择是对以违约模式为基础的违约概率的估计。     

上市公司违规行为对违约距离和预期违约率影响的实证研究——兼论KMV模型的修正

基于修正的KMV模型研究表明，上市公司违规行为使股价异常波动造成投资者损失，同时也会使公司资产的市场价值降低，资产价值的波动性增加，从而使得公司的违约距离减小，违约风险增大。公司违规行为给投资者造成的损失与违约距离变化的统计检验显示，两者之间具有较强的相关性，但并不是简单的正相关。     

The reduction cost of nonperforming loan: evidence from China’s commercial bank

The nonperforming loans (NPLs) are co-generated by creating the profit in a bank, and this article build a joint production model to measure the reduction cost of nonperforming cost. By using a data set of China’s 13 commercial banks, the conclusions show that the reduction cost of NPLs is lower, which suggests that it is not a good choice for China’s commercial bank to hold the NPLs.     

A dynamic approach to analysing the effect of the global crisis on nonperforming loans: evidence from the Turkish banking sector

This article analyses the effect of the global crisis on the determinants of nonperforming loans (NPLs) in the Turkish banking sector by using dynamic panel estimation techniques. Empirical findings suggest that NPLs present persistence, which is more evident after the crisis, while other regressors have also persistent effects in the post-crisis period. Moreover, NPLs are mostly shaped by bank-specific variables before the crisis, whereas, after the crisis, NPLs are also driven by macroeconomic and policy-related variables. In particular, the post-crisis significance of GDP, policy rate and sovereign debt shows that robust economic activity, tight monetary policy and strong fiscal balances restrict NPLs, thereby enhancing financial stability. The significance of inflation in both sub-periods shows that commitment to price stability objective is indispensable for limiting NPLs and promoting financial stability. In the period ahead, the speed and the direction of normalization in global monetary policies may determine the course of financial conditions, which, therefore, have implications regarding NPL dynamics and financial stability.     

Leading indicators of non-performing loans in Greece: the information content of macro-, micro- and bank-specific variables

We examine the information content of a unique set of macroeconomic, bank-specific, market and credit registry variables as regards their ability to forecast non-performing loans using a panel data set of nine Greek banks. We distinguish between business, consumer and mortgage loans and investigate their differences with respect to their optimal predictors. The quasi-AIM approach (Carson et al. in Int J Forecast 27:923–941, 2010) is utilized in order to take into account heterogeneity across banks and minimize estimation uncertainty. In addition, we calculate a number of forecasting measures in order to take into account the policy makers’ preferences. We find that market variables, specifically the supermarket sales, confidence indices for the services and construction sector and the business sentiment index represent good forecasting variables for most categories of NPLs. In addition, industrial production is the optimal predictor for consumer NPLs and imports for business NPLs. Finally, bank-specific variables represent top-performing leading indicators for business NPLs. Our results have significant implications for stress-testing credit risk in a top-down manner and for supervisory and macro-prudential policy design.     

Building Core Competencies in Crisis Management Through Organizational Learning: The Case of the French Nuclear Power Producer

Drawing from the resource-based theory of the firm, we develop a conceptual framework to show how organizational learning helps companies build a set of embedded knowledge assets (core competencies). The evolution of the core competencies over time depends on the ability of the firm to maintain a high level of organizational learning. In this article, we take the case of the French nuclear industry to illustrate how the most powerful French electricity producer and supplier, EDF, had succeeded, for 20 years, in building a core competence in nuclear risk and crisis management. Referring to the future deregulation of the European electricity market and the fierce competition of substitute resources of energy, the article shows that nuclear safety is a crucial issue for the survival of EDF and the European nuclear industry. We explore how EDF has learned from Three Mile Island in 1979 and Chernobyl in 1986 to improve and enrich continuously its core competence in risk and crisis management. We distinguished three phases in the learning process of EDF: the technical phase (1977–1982), the human phase (1982–1989), and the cultural phase (1989–1995). Each phase is analyzed as a step toward a greater awareness of the multidimensional nature of risk and crisis management.     

Banking reforms,performance and risk in China

We investigate the impact of the banking reform started from 2005 on ownership structures in China on commercial banks’ profitability, efficiency and risk over the period 2000–2012, providing comprehensive evidence on the impact of banking reform in China. We find that banks on average tend to have higher profitability, lower risk and lower efficiency after the reforms, and the results are robust with our difference-in-difference approach. Our results also show that the Big 5 state-owned banks (SOCB) underperform banks with other types of ownership when risk is measured by non-performing loans (NPLs) over the entire study period but tend to have fewer NPLs than other banks during the post-reform period. Our results provide some supporting evidence on the ongoing banking reforms in China, suggesting that attracting strategic foreign investors and listing SOCBs on stock exchanges appear to be effective ways to help SOCBs deal with the problem of NPLs and manage their risk.     

Performance of Thailand banks after the 1997 East Asian financial crisis

The performance of commercial banks and government-owned specialized banks in Thailand is estimated after the 1997 East Asian financial crisis. Commercial banks exhibit increasing returns to scale, whereas government-owned specialized banks exhibit decreasing returns to scale, implying further increases in bank size and market concentration in the commercial bank sector but not for government specialized banks. Cost inefficiency varies by bank and is a function of the ratio of nonperforming loans (NPLs) to total loans, equity to total assets and liquid assets to total assets, as well as the number of branches. On average, banks with fewer NPLs, that are well capitalized and with adequate liquidity are efficient. Thus, stricter rules to regulate credit risk management and ensure capital and liquidity adequacy would enhance efficiency in the banking sector. Although estimated input substitutability appears to be low, labour and loanable fund are substitutes. However, labour and physical capital as well as physical and loanable funds are complements in commercial banks. All the three inputs of labour, physical capital and loanable funds are substitutes for the government specialized banks.     

Same place,same knowledge – same people? The geography of non-patent citations in Dutch polymer patents

It has long been argued that geographic co-location supports knowledge spillovers. More recently, this argument has been challenged by showing that knowledge spillovers mainly flow through social networks, which may or may not be localized at various geographic scales. We further scrutinize the conjecture of geographically bounded knowledge spillovers by focusing on knowledge flows between academia and industry. Looking into citations to non-patent literature (NPL) in 2385 Dutch polymer patents, we find that citation lags are shorter on average if Dutch rather than foreign NPLs are cited. However, when excluding individual and organizational self-citations, geographically proximate NPLs no longer diffuse faster than foreign NPLs. This suggests that knowledge is not ‘in the air’ but transferred by mobile individuals and/or direct university–industry collaboration. Our findings moreover suggest an important role of international conferences in the diffusion of recent scientific knowledge.     

Disentangling the transmission channel NPLs-cost of capital-lending supply

This paper analyses the effects of non-performing loans (NPLs) on the cost of capital, and on lending and liquidity supply, for a sample of 225 Eurozone banks over the period 2002Q1-2016Q4. Our results demonstrate that NPLs increase the cost of capital, which reduces both lending supply and liquidity creation. This phenomenon is comparatively more significant for periphery county banks than for core country banks.     

The Effect of Regulatory and Risk Management Advancement on Non-Performing Loans in European Banking, 2000–2011

We study whether the implementation of advanced risk management techniques in compliance with the internal ratings-based (IRB) approaches in the Basel Capital Accord reduced non-performing loans (NPLs) and, hence, had a significant impact in controlling credit risk in emerging and advanced European banks during 2000–2011. Our analysis reveals that there exists wide variation in terms of adoption of such advanced techniques across European banks. Emerging Europe, which suffered the most from the surge in NPLs in the post-crisis period, lags significantly behind the Eurozone economies in terms of the intensity of IRB adoption rates. We employ dynamic generalized method of moments (GMM) estimation methods in our panel regressions to investigate the effect of such regimes on the level of NPLs on a country level. Our findings confirm that the intensity of IRB usage within a banking system leads to a statistically significant decrease in the aggregate amount of NPLs in the post-crisis period, after controlling for macroeconomic and bank-specific characteristics of individual economies. This result is consistent with the view that the efficiency of credit risk management may turn out to be a critical factor in avoiding widespread banking distress and for improving the profitability and solvency of banking systems as a whole.     

ARE LAC COOPERATIVE AND COMMERCIAL BANKS SO DIFFERENT IN THEIR MANAGEMENT OF NON‐PERFORMING LOANS?

This paper assesses technical efficiency in the management of non‐performing loans (NPLs) in the Latin American and Caribbean (LAC) banking industry. To that end, Data Envelopment Analysis techniques are employed with data from the years 2013 to 2016 on a sample of 307 LAC cooperative and commercial banks. Our main contribution to existing literature is that differences of efficiency between cooperative banks and commercial banks are assessed as the result of the different capacities of their managers – managerial efficiency – and the so‐called programme efficiency, which represents differences in the technology used by these two categories of entities. Our principal result suggests that the technology used by cooperative banks in the management of NPLs is more efficient than the technology of commercial banks.