工业企业风险动态预警及政府监管研究
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摘要
企业在激烈的市场竞争中,面临来自外部市场环境和内部管理运营的变化和不确定性带来的双重风险考验。如不加以有效控制,风险就会转化为危机,进而导致企业经营的失败乃至破产消亡。2008年开始席卷全球的金融危机,导致了一大批国内外知名企业的破产。近些年来,世界各国的学术界、企业和政府都越来越意识到企业风险管理的重要性,几乎所有行业的大公司都把企业风险管理作为企业管理的重要内容,企业风险管理甚至被称为2004年二十大思想突破之一。研究企业风险的形成机理,并对企业风险进行有效管理,对于促进企业个体乃至整个国民经济的健康可持续发展,具有重大的现实意义。
本论文回顾评析了企业风险的识别与预警的以往相关研究,系统梳理了企业风险预警的基本方法,全面考察了企业风险管理的理论与实践,探讨了企业风险管理的一般程序和方法；构建了具有较高信度和效度的工业企业风险的动态预警指标体系；建立了工业企业风险的动态预警Logit回归模型和Probit回归模型；研发了工业企业动态预警指数的测度体系和测度模型,并从季度、年度两个时间维度,对工业企业风险指数进行了实际测度；研究制定了对工业企业风险进行政府监管的路径方略与具体措施,为政府和企业分析、识别、预警和应对风险提供了实操指南。本文的研究内容和研究结论主要有以下几个方面：
(1)系统梳理了工业企业风险的形成机理。在清晰界定企业风险内涵的基础上,将工业企业风险形成的影响因素归纳为战略、财务、运营和宏观环境四个维度,并指出了企业风险的形成机理。
(2)构建了工业企业风险动态预警的指标体系。从财务层面、宏观经济层面两个维度遴选了33个指标建构了工业企业风险动态预警的理论指标体系,运用因子分析和相关分析等多重实证方法对预警指标进行了实证筛选,构建了具有较高信度和效度的工业企业风险的动态预警指标体系。
(3)通过实证研究建立了工业企业风险动态预警的多元排序Logit回归模型和Probit回归模型,在个体层面上,为企业风险的动态预警提供了具有前瞻性和可操作性的预警工具。实证研究结果表明,25个指标进入了排序多元Logit模型,20个指标进入了排序多元Probit模型,两个模型的预警指标中有10个财务指标和8个宏观经济指标是相同的。工业企业风险动态预警的多元排序Logit模型和多元排序Probit模型具有较高的预测准确率,模型总体预测准确率接近56%,如果考虑模型预测误差在一个等级内,模型预测准确率约为95%。
(4)研发建立了工业企业风险动态预警的季度风险指数和年度风险指数。在工业企业风险的动态预警Logit回归模型和Probit回归模型的基础上,选择了27个关键性预警指标,研发了工业企业动态预警指数的测度体系和测度模型,并从季度、年度两个时间维度,对工业企业风险指数进行了实际测度,在企业总体(所有产业领域的工业企业)或企业群体(某个产业领域的工业企业)层面上,为动态预警工业企业风险提供了有效的工具。季度风险指数的研究结果表明,2005年1季度至2012年3季度,我国工业企业风险指数呈上升之势,每一年度的1季度风险指数最高,2季度次之,4季度风险指数最低。年度风险指数的研究结果表明,工业企业风险指数呈每年逐步上升之势,从工业企业年度风险指数的整体走向趋势上看,也可以将2005年至2012年的工业发展分为4个阶段,年度风险指数的研究结果与季度风险指数的研究结果具有高度的一致性。
(5)对工业企业风险的政府监管进行了顶层设计。重点从工业企业风险管理指引、风险管理网络信息系统、研发工业企业风险动态预警指数和调整对工业企业风险宏观调控的政策等四个层面,制定了一整套对工业企业风险进行政府监管的路径方略与具体措施。
总的来看,本文的理论和实证研究成果丰富和完善了企业风险管理理论,在企业个体和企业总体层面上,为工业企业风险的动态预警提供了具有前瞻性和可操作性的预警工具,为工业企业风险的全面管理提供了政策工具。
In the fierce market competition, Enterprises are facing the risk of change and uncertainty brought from the external market environment and internal management operations. If not effectively controlled, the risk will be transformed into a crisis, which will lead to the demise of business failure and even bankruptcy. The2008financial crisis has led to the bankruptcy of a large number of well-known enterprises at home and abroad. In recent years, academia, business and government all over the World are increasingly aware of the importance of enterprise risk management, almost all big companies regard enterprise risk management as an important part of enterprise management, and enterprise risk management has even been called one of the20biggest thought in2004. To research the formation mechanism of the enterprise risk, and make an effective enterprise risk management, has a great significance to promote the individual enterprise and even the healthy and sustainable development of the national economy.
This thesis begins with a thorough review of related work on the identification and early warning of enterprise risk, comprehensive study of the theory and practice of enterprise risk management, general enterprise risk management procedures and methods. It establishes industrial enterprise risk early warning indicator system with high reliability and validity, and establishes Logit model and Probit regression model of dynamic early warning of industrial enterprises'risk; and develops two kinds of dynamic early warning Index. Finally, this thesis suggests some government supervision solutions to deal with the industrial enterprises risk management.
The outline and conclusion of this research is as follows:
(1) On the basis of clearly defined enterprise risk, this thesis groups the factors influencing enterprise risk into four dimensions of strategic, financial, operational and macroeconomic environment, and points out the formation mechanism of the enterprise risk.
(2) From the two dimensions of financial and macroeconomic, selects33indicators to construct a theory early warning indicator system, and uses multiple empirical methods such as factor analysis and correlation analysis, establishes a dynamic early warning indicator system which has high reliability and validity for industrial enterprise risk.
(3) Through empirical research, this thesis establishes Logit regression model and Probit regression model for dynamic early warning of industrial enterprise risk, at the individual level, provides a forward-looking and operability tool for the dynamic enterprise risk warning. The empirical results show that25indicators into Ordered Logit Model,20indicators into Ordered Probit Model,10financial indicators and8macroeconomic indicators are just the same. Both of the two models have high prediction accuracy rates, the models'prediction accuracy is nearly56%, if considering the model predicts the error in a single grade, the models' prediction accuracy rate is about95%.
(4) Based on the two models of Logit and Probit, the thesis selects27key early warning indicators, and establishes Quarterly Risk Index and Annual Risk Index to measure industrial enterprises' risk, at the group level (all industrial enterprises or one of the industries of industrial enterprises), provides a forward-looking and operability tool for the dynamic enterprise risk warning. Quarterly Risk Index results show that, from the first quarter of2005to the third quarter of2012, the China's industrial enterprises' risk index has rising, the first quarter of each year has the highest risk index, followed by the second quarter, the last quarter of each year has the lowest risk index. Annual Risk Index shows that the risk index of industrial enterprises was gradually increased each year. The Annual Risk Index and the Quarterly Risk Index has a high degree of consistency.
(5) Focus on industrial enterprise risk management guidelines, network information systems, risk index and macro-control policies, the thesis provides a complete set of government regulation to deal with industrial enterprise risk.
本论文回顾评析了企业风险的识别与预警的以往相关研究,系统梳理了企业风险预警的基本方法,全面考察了企业风险管理的理论与实践,探讨了企业风险管理的一般程序和方法；构建了具有较高信度和效度的工业企业风险的动态预警指标体系；建立了工业企业风险的动态预警Logit回归模型和Probit回归模型；研发了工业企业动态预警指数的测度体系和测度模型,并从季度、年度两个时间维度,对工业企业风险指数进行了实际测度；研究制定了对工业企业风险进行政府监管的路径方略与具体措施,为政府和企业分析、识别、预警和应对风险提供了实操指南。本文的研究内容和研究结论主要有以下几个方面：
(1)系统梳理了工业企业风险的形成机理。在清晰界定企业风险内涵的基础上,将工业企业风险形成的影响因素归纳为战略、财务、运营和宏观环境四个维度,并指出了企业风险的形成机理。
(2)构建了工业企业风险动态预警的指标体系。从财务层面、宏观经济层面两个维度遴选了33个指标建构了工业企业风险动态预警的理论指标体系,运用因子分析和相关分析等多重实证方法对预警指标进行了实证筛选,构建了具有较高信度和效度的工业企业风险的动态预警指标体系。
(3)通过实证研究建立了工业企业风险动态预警的多元排序Logit回归模型和Probit回归模型,在个体层面上,为企业风险的动态预警提供了具有前瞻性和可操作性的预警工具。实证研究结果表明,25个指标进入了排序多元Logit模型,20个指标进入了排序多元Probit模型,两个模型的预警指标中有10个财务指标和8个宏观经济指标是相同的。工业企业风险动态预警的多元排序Logit模型和多元排序Probit模型具有较高的预测准确率,模型总体预测准确率接近56%,如果考虑模型预测误差在一个等级内,模型预测准确率约为95%。
(4)研发建立了工业企业风险动态预警的季度风险指数和年度风险指数。在工业企业风险的动态预警Logit回归模型和Probit回归模型的基础上,选择了27个关键性预警指标,研发了工业企业动态预警指数的测度体系和测度模型,并从季度、年度两个时间维度,对工业企业风险指数进行了实际测度,在企业总体(所有产业领域的工业企业)或企业群体(某个产业领域的工业企业)层面上,为动态预警工业企业风险提供了有效的工具。季度风险指数的研究结果表明,2005年1季度至2012年3季度,我国工业企业风险指数呈上升之势,每一年度的1季度风险指数最高,2季度次之,4季度风险指数最低。年度风险指数的研究结果表明,工业企业风险指数呈每年逐步上升之势,从工业企业年度风险指数的整体走向趋势上看,也可以将2005年至2012年的工业发展分为4个阶段,年度风险指数的研究结果与季度风险指数的研究结果具有高度的一致性。
(5)对工业企业风险的政府监管进行了顶层设计。重点从工业企业风险管理指引、风险管理网络信息系统、研发工业企业风险动态预警指数和调整对工业企业风险宏观调控的政策等四个层面,制定了一整套对工业企业风险进行政府监管的路径方略与具体措施。
总的来看,本文的理论和实证研究成果丰富和完善了企业风险管理理论,在企业个体和企业总体层面上,为工业企业风险的动态预警提供了具有前瞻性和可操作性的预警工具,为工业企业风险的全面管理提供了政策工具。
In the fierce market competition, Enterprises are facing the risk of change and uncertainty brought from the external market environment and internal management operations. If not effectively controlled, the risk will be transformed into a crisis, which will lead to the demise of business failure and even bankruptcy. The2008financial crisis has led to the bankruptcy of a large number of well-known enterprises at home and abroad. In recent years, academia, business and government all over the World are increasingly aware of the importance of enterprise risk management, almost all big companies regard enterprise risk management as an important part of enterprise management, and enterprise risk management has even been called one of the20biggest thought in2004. To research the formation mechanism of the enterprise risk, and make an effective enterprise risk management, has a great significance to promote the individual enterprise and even the healthy and sustainable development of the national economy.
This thesis begins with a thorough review of related work on the identification and early warning of enterprise risk, comprehensive study of the theory and practice of enterprise risk management, general enterprise risk management procedures and methods. It establishes industrial enterprise risk early warning indicator system with high reliability and validity, and establishes Logit model and Probit regression model of dynamic early warning of industrial enterprises'risk; and develops two kinds of dynamic early warning Index. Finally, this thesis suggests some government supervision solutions to deal with the industrial enterprises risk management.
The outline and conclusion of this research is as follows:
(1) On the basis of clearly defined enterprise risk, this thesis groups the factors influencing enterprise risk into four dimensions of strategic, financial, operational and macroeconomic environment, and points out the formation mechanism of the enterprise risk.
(2) From the two dimensions of financial and macroeconomic, selects33indicators to construct a theory early warning indicator system, and uses multiple empirical methods such as factor analysis and correlation analysis, establishes a dynamic early warning indicator system which has high reliability and validity for industrial enterprise risk.
(3) Through empirical research, this thesis establishes Logit regression model and Probit regression model for dynamic early warning of industrial enterprise risk, at the individual level, provides a forward-looking and operability tool for the dynamic enterprise risk warning. The empirical results show that25indicators into Ordered Logit Model,20indicators into Ordered Probit Model,10financial indicators and8macroeconomic indicators are just the same. Both of the two models have high prediction accuracy rates, the models'prediction accuracy is nearly56%, if considering the model predicts the error in a single grade, the models' prediction accuracy rate is about95%.
(4) Based on the two models of Logit and Probit, the thesis selects27key early warning indicators, and establishes Quarterly Risk Index and Annual Risk Index to measure industrial enterprises' risk, at the group level (all industrial enterprises or one of the industries of industrial enterprises), provides a forward-looking and operability tool for the dynamic enterprise risk warning. Quarterly Risk Index results show that, from the first quarter of2005to the third quarter of2012, the China's industrial enterprises' risk index has rising, the first quarter of each year has the highest risk index, followed by the second quarter, the last quarter of each year has the lowest risk index. Annual Risk Index shows that the risk index of industrial enterprises was gradually increased each year. The Annual Risk Index and the Quarterly Risk Index has a high degree of consistency.
(5) Focus on industrial enterprise risk management guidelines, network information systems, risk index and macro-control policies, the thesis provides a complete set of government regulation to deal with industrial enterprise risk.
引文
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