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目前，世界三大信用保险公司在欧美国家都已广泛开展了信用评级模型的应
用，而在中国市场上，依然使用传统的专家评价法，极大的增加了风险控制的成
本，还降低了风险评估的效率。专家评价法的客观性同样存在问题，被投保人的
信用评级结果极易受到专家的主观意见影响，无法真实、客观的反映出买家的实
际信用状况。而数量模型的应用能够极大的改善这一状况，不仅能够提高信用评
价的效率，还能够提高评价的客观性。
按照有关信用保险公司的统计显示，在中国，被投保人的组合中，中小企业
的承保额占到了全部承保额的60%以上。由此可见，信用保险的主要保证对象以
中小企业居多，由于国内中小企业普遍存在财务及经营信息的不可获取性、非有
效性，本文将把我国深圳证券交易所上市的中小板企业作为实证研究样本。本文
计划以X信用保险公司的对样本公司的现有信用评级为基础，结合符合信用保险
公司要求的财务指标评价体系，对信用评级进行回归，最终调整出符合信用保险
公司分析要求的信用评级模型。
关键词：信用保险，中小板企业，信用评级，线性回归分析上海大学硕士学位论文 我国中小板企业信用评级的实证研究-基于信用保险视角
VI
ABSTRACT
Credit Insurance is a kind of insurance product used by companies to manage
risk, aimed at protecting safety of accounts receivable, as well as credit guarantee for
factoring. It has been widely used in Europe and America, while just coming into
initialization in Chinese market. As Chinese trade volume is on continuous increase,
China would become the most potential and biggest market for Credit Insurance. To
credit insurers, credit risk controlling is one of the most important ways to ensure
profitability, and credit assessment is usually considered as core of risk controlling for
credit insurers. Because insurance coverage provided always depends on creditability
of the buyer.
Currenly, credit insurers has widely begun to apply credit assessment model.
However, in Chinese market, traditional manual assessment methodology is still used,
casuing rising risk controlling cost, and reducing efficiency of credit assessment.
There are still serious problems in objectivity of manual ssessment methodology.
Therefore, credit rating for buyer is usually influenced by subjective opinions of
analysts, making it impossible to reflect real creditability of buyer. The use of
quantitative model is an efficient way to solve this problem, facilitating the
improvement of credit assessment efficiency, as well as its objectivity.
In China, according to statistics of credit insurers, insurance coverage against
SME accounted for at least 60% of total buyer portfolio. Thus, major buyers of credit
insurers are SME companies. Limited by access to financial and operations
information of SME, as well as the effectiveness, SSE SME would be taken as
example for empirical research. This paper plans to make linear regression for credit
rating of X Credit Insurer, based on financial ratio assessment system required by X
Credit Insurer. Finally, after proper adjustments upon coefficient of liner regression
model, this model would be used for credit rating, from the perspective of credit
insurer.
Keywords ： Credit Inusrance, SSE SME, Credit Rating, Linear
Regression
上海大学硕士学位论文 我国中小板企业信用评级的实证研究-基于信用保险视角
VII
目 录
摘 要......V
ABSTRACT.....VI
目 录........VII
第一章 绪 论....1
1.1 研究背景....1
1.2 研究意义....2
1.3 研究思路及主要研究内容4
1.4 研究方法与创新之处........5
第二章 文献综述..........7
2.1 国外关于信用评估的文献综述....7
2.2 国内关于信用评估的文献综述..12
2.3 文献综述小结......13
第三章 信用评级基本理论与方法....15
3.1 信用评级的基本理论......15
3.2 标准普尔信用评级方法..16
3.2.1 评级模式..16
3.2.2 评级分析.16
3.3 联合信用工商企业信用评级方法..........19
第四章 X 信用保险公司的信用评级的现状与问题21
4.1 信用评级现状.......21
4.2 信用评级分析及方法.......22
业务风险分析方法.......22
获利能力分析方法.......23
4.2.2 资本/资产分析方法.....25
4.2.3 现金流分析方法...........26
4.2.4 影响信用质量的非财务因素...27
4.2.5 X 信用保险公司评级方法........28
4.3 评级方法存在的问题......30
第五章 信用评级模型构建....31
——基于 X 信用保险公司的数据.....31
5.1 样本选取..31
5.2 财务指标体系构建..........33
5.3 样本指标值计算..36
5.4 样本信用等级......40
5.5 回归分析..42
5.5.1 选择回归分析的原因.....42
5.5.2 回归分析的步骤.44
5.5.3 信用评级模型.....51
5.5.4 信用评级模型分辨率......52
第六章 信用评级模型的应用性验证55
6.1 检验样本选取及指标计算..........55
4.2.1
4.2.0上海大学硕士学位论文 我国中小板企业信用评级的实证研究-基于信用保险视角
VIII
6.1.1 检验样本选取...55
6.1.2 财务指标计算...55
6.2 模型验证..57
第七章 研究结论与展望........61
7.1 研究结论..61
7.2 展望..........62
附录 1：中小板上市企业抽样样本...63
附录 2：财务变量相关性分析...........65
附录 3：Anova 统计表...........72
附录 4：向后逐步回归模型...74
附录 5：检验样本公司列表...81
参考文献..........84
致 谢87
