中小企业集合融资预期违约率及影响因素——基于40家科技型上市企业数据的实证分析

Analysis of EDF Measurement and Its Influencing Factors of SMEs Collective Financing:An Empirical Study Based on the Data of 40 Listed Hi-tech Enterprises

随着我国中小企业集合债券和集合票据等集合融资模式推行范围的逐步扩大,对集合融资主体预期违约率的度量及其影响因素的分析便显得愈加必要。本文基于Copula理论建立了企业集合融资预期违约率模型,在对集合融资预期违约率度量的基础上,探讨了企业预期违约率、企业违约相关性和企业数量等因素对集合融资预期违约率产生的影响。实证结果表明,企业预期违约率是影响集合融资预期违约率的主要因素;企业违约相关性较强时,集合融资预期违约率会明显升高;而企业数量对集合融资预期违约率的影响受到前述两种因素的约束。此外,本文所采用的实证分析方法和得出的相应结论可以为中小企业集合融资的风险管理提供借鉴。

The difficulty of SMEs （Small and Medium Enterprises） financing is a common problem in their process of development,which is particularly obvious in high-tech enterprises. Due to the intrinsic characteristics of the enterprises, such as high growth, small-scale fixed assets, and vulnerability to external environment, etc. it is not easy for SMEs to get the direct or indirect financing, If these enterprises are short of funds, it will be extremely diffi- cult for them to form scale production, which will in turn inhibit the wide application of new technology and inven- tions in the production. This will further hinder the development of related industries. Thus, the solutions to financing problems of SMEs, in particular of high-tech enterprises, could provide a pathway for science and technology to be transformed into productive forces in a timely manner, and promote the progress of the national economy in a healthy way. But it is difficult for SMEs to obtain bank loans or be in favor with other investors in the actual financing proce- dure due to the lack of collateral recognized by lending institutions. Moreover, the high threshold and financing costs hold back the desire for SMEs to go through the financing process by means of public offering or issuing bonds etc. However,the launch of SMEs collective bonds in November 2007 and collective notes in November 2009 pro- vides an effective financing model for SMEs, which can solve the problem of the SMEs incapability to implement debt financing independently because of their small scale. Meanwhile, we have to realize that, as a new financing form, it can be effectively managed only when the EDF （Expectation Default Frequency） and related risk. Of that fi- nancing mode are analyzed constantly. In practice, the majority of SMEs that have issued collective bonds are high-tech enterprises. So, if such enter- prises are treated separately during the study of the EDF, the conclusions will be more reasonable. Existing litera- tures on the study of default dependency are concentrating on the relation between two enterprises, with only few of them on the relation among several enterprises. Furthermore, very few research and empirical analysis has been re- ported on the default risk measurement of SMEs adopting collective financing mode. Therefore, this paper considers the issue of collective financing default of high-tech enterprises as a new perspective of study. Based on the combi- nation of the Copula theory and KMV model, this paper develops a model of enterprise collective financing EDF, by which the impacts of the EDF of SMEs, the enterprise default dependency, and the enterprise number on collective financing EDF are investigated systematically. At the very beginning, the KMV model is employed to measure the enterprise financing EDF of the selected 40 listed companies. Then the collective financing EDF and its related factors are empirically studied with the model of enterprise collective financing EDF,which leads to three remarkable conclusions. First, enterprise financing EDF is considered to be the crucial factor that affects the collective financing EDF. The enterprise collective financing EDF ascends with the rising of financing EDF of each component in the enterprise collection. Furthermore, the default de- pendency of enterprise and its financing EDF will simultaneously influence the collective financing EDF. When the default dependency of enterprise is not noticeable, enterprise collective financing EDF is mainly dominated by its own EDF. On the other hand,if the default dependency is remarkable, the enterprise coUective financing EDF will increase dramatically, regardless of whether there are lower EDF enterprises in the portfolio. Thirdly, the role of en- terprise number in the collective financing EDF is complex. According to the results of this study, such role is re- stricted by both the enterprise EDF and enterprise default dependency. When EDF is at low level, the increase of the enterprise number will also make the collective financing EDF go up. Whereas when firms expect higher EDF and the default dependency among enterprises is insignificant, the collective financing EDF will decrease as the enter- prise number increases. Finally, the fitness test and empirical analysis indicate that the model established in this study is able to provide reference on the risk management of collective financing mode in subsequent research and practice.