CAJ | 학술논문

固定收益债券的信用等级迁移问题日益引起投资者和监管者的关注，预测信用等级迁移需要找到关键指标。财务数据对企业未来业绩具有显著影响，可以反映运营企业的信用质量。当前信用等级发生迁移债券存在发行期限集中、行业特征明显、发债目的差异化等特点，通过构建Logistic模型对影响债券信用等级迁移的财务指标进行实证分析发现：偿债能力和盈利能力都对企业债的信用等级迁移具有显著影响，但是信用升级和信用降级分别对不同的财务指标敏感。发债企业要想提高债券信用等级，需提高盈利能力；投资者要想降低信用风险，应考虑减少甚至剔除投资组合中偿债能力发生显著负面变化的债券；监管者要想对发债企业进行更有效监管，需关注偿债能力指标以及主营业务利润率的变化。
고정수익채권적신용등급천이문제일익인기투자자화감관자적관주，예측신용등급천이수요조도관건지표。재무수거대기업미래업적구유현저영향，가이반영운영기업적신용질량。당전신용등급발생천이채권존재발행기한집중、행업특정명현、발채목적차이화등특점，통과구건Logistic모형대영향채권신용등급천이적재무지표진행실증분석발현：상채능력화영리능력도대기업채적신용등급천이구유현저영향，단시신용승급화신용강급분별대불동적재무지표민감。발채기업요상제고채권신용등급，수제고영리능력；투자자요상강저신용풍험，응고필감소심지척제투자조합중상채능력발생현저부면변화적채권；감관자요상대발채기업진행경유효감관，수관주상채능력지표이급주영업무리윤솔적변화。
In recent years, China＇s bond market has achieved rapid development. At the same time, with the robust increase of bond offering, especially the growing offering of bonds without credit guarantee, the credit rating of corporate bonds changes at times and the downgrading of some corporate bonds did result in certain negative disturbance in the financial market. For this reason, more and more investors＇ and supervisors＇ attention has been focused on the credit risk of corporate bonds and the transitions of credit rating. How to predict the migration of credit rating is a central concern of investors and supervisors, and the most important point here is to find out the key indicators for such prediction. Current financial information may indicate the creditworthiness of an on-going firm because of its significant influence on the future performance of a firm. Current literature mainly focuses on foreign bond markets but in China, little discussion can be found in this aspect, not to mention systematic research. There are many differences between foreign bond markets and domestic bond markets, so whether the existing research conclusions based on foreign bond markets can be applied to Chinese markets deserves deep exploration.