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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。
The issue of fixed-income bond credit rating migration is increasingly aroused the concern of investors and regulators. It is necessary to find the key indicators to predict the credit rating migration. Financial data have a significant impact on the future performance of the business and can reflect the credit quality of the operating companies. At present, the credit rating has the characteristics such as the concentration of issuing period, the obvious characteristics of the industry and the differentiation of the issuance of bonds. Empirical analysis of the financial indicators that affect the credit rating of the bonds by constructing Logistic model shows that both solvency and profitability Debt credit rating migration has a significant impact, but credit upgrades and credit downgrades are sensitive to different financial indicators. Debt issuing companies need to improve the credit rating of bonds, need to improve profitability; investors want to reduce credit risk, should consider reducing or even eliminating the bond portfolio has a significant negative change in debt; regulators want debt-carrying enterprises More effective regulation, attention should be paid to indicators of debt service and changes in the profit margin of the main business.