利率市场化背景下信用风险的测度及影响

随着利率市场化程度的不断提高,逐步增大的利率波动必然对上市公司的信用风险产生一定影响。本文首先采用Logit模型对2006年第四季度至2013年第四季度228家上市公司的信用风险进行度量,预测出上市公司违约概率;其次选用Shibor数据求出各季度的利率波动率;最后选用宏观经济因素及利率波动率为自变量,信用风险为因变量建立风险测度模型,结果表明利率波动对信用风险有负相关关系,即随着利率市场化进程的加快,企业的信用风险有降低的趋势,因此可考虑加快利率市场化改革的步伐。

Under the Background of Interest Rate Marketization of Credit Risk Measurement and its Impact

The more deeply of interest rate liberalization, the grower of interest rate volatility and it has influence on the credit risk of listed companies. Firstly, this article works out 228 listed companies＇ credit risk measurement model from the fourth quarter of 2006 to the fourth quarter of 2013 by logit model, and use credit risk measurement model to predict the proba- bility of default of listed companies. Then we selects the Shibor data to calculate the interest rate volatility of each quarter. Fi- nally we selects the macroeconomic factors and interest rate volatility to establish linear regression model of credit risk. It is concluded that the interest rate volatility has a negative correlation on credit risk. Therefore, with the speeding up of the inter- est rate liberalization, the credit risk of the enterprise is reduced, so we should speed up the pace of interest rate liberalization in China.