CN109754161A - Military industry developing ability evaluation method based on financial pest analysis frame - Google Patents
Military industry developing ability evaluation method based on financial pest analysis frame Download PDFInfo
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Abstract
The present invention relates to a kind of military industry developing ability evaluation methods based under financial pest analysis frame, mainly include the index system of step (1) building military industry developing ability index；(2) index weights are determined；(3) source of index observation is determined；(4) calculation method of parameter value is determined；(5) calculation method for calculating dimension values is determined；(6) military industry developing ability index (DCIMI) is calculated；(7) pass through longitudinally, laterally comparative analysis and evaluation military industry overall development ability.The developing ability and risk appetite that the present invention facilitates system, comprehensively, accurately reflects military industry entirety, and then effective monitoring of the realization to military industry development quality, find the problem in time with it is insufficient and take there is targetedly corrective measure, for promoting the steady promotion of military industry overall development ability with very important realistic meaning.
Description
Technical field
The present invention relates to a kind of military industry developing ability evaluation methods based on financial pest analysis frame, belong to industry
Analysis and management technical field.
Background technique
Developing ability is the symbol of a national comprehensive strength, be a national total quality embodiment and a state
Family at home and abroad in market competitiveness power important symbol.Since 21 century, the growth momentum of economic globalization is increasingly strong
Strength, raising developing ability have become China and participate in global wider, wider field and higher level economy on a macroscopic level
The committed step of cooperation and competition.How China's overall development ability to be made using quantizating index and objectively evaluate and judge, is
An important, basic, urgent demand in a current high theme of attention rate and strategic planning of development work.
Military industry is the pillar of national security, undertakes national defence scientific research production task, is provided for national armed forces various
Weapons SoS.The development of military industry is directly related to China's national defense safety, therefore, improves military industry developing ability
It is various countries' hoisting device product competitiveness, the important requirement for ensureing military capability of the country, and military industry developing ability is carried out complete
Face, objective appraisal are the core contents for enhancing military industry competitiveness.
Effective evaluation is carried out by building military industry developing ability exponent pair military industry developing ability, on the one hand, from
The angle of industry development is conducive to the problem of finding military industry development and risk, and then pushes related industry policy
Formulation, for example preferably military industry developing ability situation is combined targetedly to implement civil-military inosculation policy, encouraged private
Enterprise more participates in the weak place of military industry, is formed and is had complementary advantages；On the other hand, from the angle of investor, favorably
Military industry development space, discovery investment opportunity are excavated in investor, not the only Value Investors in the markets such as stock, bond
The reference of investment judgement is provided, also the capital operation mechanism for investment activities such as development project investment, industrial investments provides important
It guides, under the Policy Background for especially carrying forward vigorously civil-military inosculation, whether private enterprise, financial investment person's decision is entered
How military industry enters military industry, is of great significance.
It at present focuses mostly on the measurement of industry development level in the comparison of the simple indicators such as financial data, lacking one can
System, index system that is comprehensive, scientifical, being truly reflected China's industry development level, especially military industry.The present invention will
On the basis of constructing military industry developing ability index system, propose to calculate military industry developing ability index (DCIMI)
Specific method evaluates military industry overall development ability by constructing military industry developing ability index.
Summary of the invention
Technology of the invention solves the problems, such as: overcoming the deficiencies of the prior art and provide a kind of based on finance-pest analysis frame
The military industry developing ability evaluation method of frame, to achieve the purpose that quantitatively evaluating military industry develops core competitiveness.
A kind of military industry developing ability evaluation method based on financial pest analysis frame, which is characterized in that including with
Lower step:
Step 1 constructs the index system of military industry developing ability index；
Step 2 determines index weights using Delphi method and analytic hierarchy process (AHP)；
Step 3 determines the source of index observation；
Step 4 determines the calculation method of parameter value；
Step 5 determines the calculation method for calculating dimension values；
Step 6 calculates military industry developing ability index；
Step 7 passes through longitudinally, laterally comparative analysis and evaluation military industry overall development ability.
2. a kind of military industry developing ability evaluation side based on financial pest analysis frame according to claim 1
Method, which is characterized in that the building of the index system of military industry developing ability index is based on finance-PEST's described in step 1
Inside and outside analytical framework, wherein finance are internal analysis frame, mainly include financial index, and PEST is external analysis frame,
Main includes politics, economic, society and four element of technology index of correlation；
Political element is primarily upon Industry Policy information, the policy information dimension of corresponding index system；Economic factor is main
Pay close attention to macroeconomy information, the macroscopic information dimension of corresponding index system；Social elements are primarily upon different main market players to row
The information of industry Credit Risk Evaluation, rating information, stock market information, debt market information and bank information 4 dimensions of corresponding index system
Degree；Technology essential factor is primarily upon industry technology level and product quality information, the technical information and quality letter of corresponding index system
Cease two dimensions；
Specifically, the index of financial information dimension mainly includes current rate, cash flow debt-to-equity ratio, current assets
Turnover rate, net assets income ratio, asset-liability ratio；
The index of macroscopic information dimension mainly includes GDP sensibility index；
The index of rating information dimension mainly includes credit rating；
The index of debt market information dimension mainly includes the indexs such as the promise breaking amount of money, promise breaking quantity, credit spread；
The index of bank information dimension mainly includes the every profession and trade non-performing loan amount of money in banking system；
The index of quality information dimension mainly include delivery-check qualified rate of Type Equipment product, large-scale experiment success rate,
Launching success rate, great aircraft accident, average flight time between failures and Mean Time To Recovery；
The index of technical information dimension mainly includes patent of invention quantity, research and development or technical staff's accounting, Innovation Input ratio
Rate.
It is by inviting the Quality Expert of military industry to directly determine quality letter using Delphi method in the step 2
The index weights for ceasing dimension and technical information dimension, by inviting the senior military industry analyst of financial institution to directly determine
The index weights of debt market information dimension；Other index weights are by inviting the expert in finance of military industry to use in step 1
The marking of AHP method determines, specifically includes step:
1. Judgement Matricies: being carried out by expert on the degree of the importance of each dimension or influence military industry developing ability
Compare two-by-two, uses 1~9 scaling law: specifically with aijIndicate index ViAnd VjThe ratio between influence size to upper layer index, all
Comparison result two-by-two i.e. constitute judgment matrix U=(aij)n×n, aijScoring criteria are as follows: ViAnd VjWhen of equal importance, aij=
1；ViCompared with VjIt is slightly important, aij=3；ViCompared with VjWhen obvious important, aij=5；ViCompared with VjWhen more fairly obvious important, ViCompared with Vj
When fairly obvious important, aij=7；ViCompared with VjWhen absolutely essential, aij=9, work as V1And V2When of equal importance, a12=1, while a21
=1；Work as V1Compared with V3When slightly important, a13=3, while a13=1/3；Work as V1Compared with V3When slightly important, a13=3, while a13=1/
3；Successively judge assignment；
2. judgment matrix is normalized, the normalization processing method of matrix element are as follows:N is index quantity；
3. solving approximate characteristic vector Wi, the b after normalizedijOn the basis of calculate
Further calculate approximate characteristic vectorThis feature vector is the weight of index i.
Step 3 determines that the source of index observation comprises determining that the policy adjustment factor: counting the army that current government promulgates
Industrial and commercial bank's industry correlation is encouraged or the industrial policy of limitation, and 10 military industry Senior Experts is invited to evaluate each policy to military industry
The influence size of overall development ability, wherein positive policy is given a mark by 1-10 points, negative sense policy gives by -1 to -10 point
Each expert is carried out aggregation to the marking of every policy and takes mean value, is denoted as S, policy adjustment factor-beta is corresponding with mean value S's by marking
Relationship are as follows:
Determine GDP sensibility index observation: using military industry listed company operating income as the agency of industry development
Variable, GDP construct recurrence side using regression analysis research industry to the sensibility of GDP as macroeconomic proxy variable
Journey:
revit=αi+βigdpit+γicpiit+λiloanit+εit
revit、cpiit、loanitIt is industry i in the operating income of t phase, GDP, CPI, loan interest rate, chooses previous phase battalion
Industry income is control variable, carries out regression estimates, the regression coefficient of GDP is GDP sensibility index；Meanwhile with military industry
Plate index is returned as the proxy variable of industry development, carries out Robustness Test of A to GDP sensibility index；
Determine Financing Scale growth rate index observation: military industry Financing Scale be each listed company's stock total market capitalisation with
The sum of long-term loan, short-term borrowing calculate each company's Financing Scale with " this year financing growth scale/last year Financing Scale " and increase
Long rate, then be weighted to obtain the observation of military industry Financing Scale growth rate by each listed company's market value；
It determines grading variable indicator observation: counting respectively and reconcile the bond quantity of downward in the grading of current year military industry and account for
The specific gravity of global bond quantity, uses UtAnd DtIt indicates, further using difference statistic law measurement grading change value, calculation formula is
Bt=Ut-Dt, wherein BtIt indicates net grading up-regulation, features the degree of grading up-regulation to a certain extent；
Determine expected default frequency EDF index observation: industry EDF is that the EDF of each listed company of military industry carries out market value
Weighting obtains, and the company EDF is calculated by KMV model, specific steps are as follows:
The first step, it is assumed that houses market value is determined by 5 variables:
E-VaN(d1)-De-rtN(d2)
Wherein, VaFor the market value of corporate assets；E is the value of stock right of company；D is that the debt of company is worth；R is nothing
Risk-free rate；σEAnd σaRespectively represent the value of stock right stability bandwidth and market value stability bandwidth of company；τ is debt maturity, generally
It is set as 1 year；
Second step, definition promise breaking point, KMV company are based on mass data and show, the most common promise breaking point is chosen for negative in short term
The sum of debt and 50% long-term debt, it may be assumed that
DP=SD+50%LD
Wherein, DP is company's promise breaking point, and SD is company's short term liabilities, and LD is company's long-term debt；
Third step estimates illegal building, and illegal building is a relative concept, refers to the assets value of company in the risk phase
The interior distance to promise breaking point, as the index of a comparison different company default risk, KMV model defines illegal building are as follows:
Wherein, DD is illegal building；
Finally, the Anticipatory breach probability in computational theory, it is assumed that the assets value Normal Distribution of company, then:
Wherein, EDF is the theoretical value of the expected default frequency of company；
Determine promise breaking amount of money index observation: the bond issue scale and default bond of statistics all companies of military industry relate to
And promise breaking total amount, calculate the overall promise breaking amount of money accounting of military industry bond market；
Determine promise breaking quantitative index observation: the bond issue quantity and default bond of statistics military industry all companies
Quantity calculates the overall promise breaking quantity accounting of military industry bond market；
It determines credit spread index observation: the first step, selects sample certificate, choose the Medium Term Note, short-term of interbank dealing
Financing certificate and ultra-short term financing certificate, are not included in enterprise's debt and corporate bond；Second step selects the remaining time limit of sample certificate, the choosing of sample certificate
The remaining time limit selected is 0.5-5.
The calculation method that parameter value is determined described in step 4 is to be converted the index observation of step 3 by calculating
For index value, i.e., for enabling Z there are the index of optimum pointijFor the optimum point of the jth item index under i-th dimension degree；For existing
The index of optimal value interval, enables HijAnd LijIndicate the upper limit of the optimal value interval of the jth item index under i-th dimension degree under
It limits, wherein the minimum value N of the index of value boundedijIt indicates, the maximum value M of the unbounded index of valueijIt indicates, index takes
It is worth the upper limit H of unbounded positve term indexij=∞；
Observation OijWith index value YijBetween conversion formula are as follows:
The calculation method for calculating dimension values is determined described in step 5, for the dimension k only containing an index, index value
As dimension values；For containing the dimension h of multiple indexs, then dimension values is further calculated, circular is as follows: referred to
Scale value YijAnd its index weights WijOn the basis of, calculate each dimension values ViFormula are as follows:
Wherein, m is the index quantity under i-th of dimension.
Military industry developing ability index, calculation formula are determined described in step 6 are as follows:
Wherein, β is the policy adjustment factor.
A kind of military industry developing ability evaluation method based on financial pest analysis frame of the present invention, advantage and effect
It is: the research of military industry overall development ability has not yet been formed at present the system of complete set, on the one hand, due to army
The particularity of industrial and commercial bank's industry, market can not obtain the internal data or relevant information that can accurately measure military industry development；It is another
Aspect, military industry itself still have shortage for the sense of risk in development process, not complete enough to the developing ability assessment of industry
Face.The method of building military industry development index proposed by the present invention can carry out industry overall development ability effective and reasonable
Quantization, not only contribute to academic research, market analysis is carried out in a deep going way, also there is weight in military industry quality surveillance field
The practice significance wanted facilitates the overall risk situation that military industry is understood and monitored from macroscopic aspect and developing ability, promotes
Military industry prepare oneself against possible risks, promoted military industry overall development it is horizontal.
Detailed description of the invention
Fig. 1 is flow chart of the invention.
Specific embodiment
Invention is a kind of military industry developing ability evaluation method based on financial pest analysis frame, core
The heart is building military industry developing ability index (Development Capacity Index of Military
Industry, DCIMI).Military industry is tieed up in the specifically industry inside and outside analytical framework based on finance-PEST, building " 8+1 "
Development index index system, assessment military industry in the previous year in its Credit Risk Assessment of Enterprise average level, and then reflect should
The developing ability and solvency of industry entirety.Specifically, first, it then follows the principle of selecting index and index system establishment, from
Different angle analysis of setting out can sufficiently reflect the key index of military enterprise's credit risk, construct multi-level, various dimensions
Military industry development index index system；Again, according to index features at different levels, using analytic hierarchy process (AHP) (AHP) or Delphi method
Determine the weight of indexs at different levels；Then, it is determined that the acquisition and processing method of achievement data, and further obtained based on observational variable
To the occurrence of index；Finally, improving the simple linear weight computation method of traditional evaluation method, the association between index is considered
Same effect, using nonlinear cointegration with function calculate military industry developing ability index, thus realize science, rationally, objectively evaluate
The target of military industry developing ability.This method innovatively chooses reflection military industry hair from the angle of Credit Risk Assessment of Enterprise
The key index of exhibition ability, and comprehensively considered the mutual synergistic effect between index, realize military industry developing ability
Quantification scientific evaluation.
As shown in Figure 1, a kind of military industry developing ability evaluation method based on financial pest analysis frame of the present invention
Specific step is as follows:
(1) index system of military industry developing ability index is constructed；
(2) index weights are determined；
(3) source of index observation is determined；
(4) calculation method of parameter value is determined；
(5) calculation method for calculating dimension values is determined；
(6) military industry developing ability index (DCIMI) is calculated；
(7) pass through longitudinally, laterally comparative analysis and evaluation military industry overall development ability.
Wherein, military industry developing ability index index system described in step (1) is as shown in table 1.
1 military industry developing ability index index system of table
Inside and outside analytical framework of the building of index system based on finance-PEST, adheres to systematic entirety, objective science
Property, independence and quantization principle, wherein finance be internal analysis frame, mainly include financial index, PEST is external analysis
Frame, main includes political (Political), economical (Economic), social (Social) and technology
(Technological) index of correlation of four elements.Wherein, political element is primarily upon Industry Policy information, corresponding index body
The policy information dimension of system；Economic factor is primarily upon macroeconomy information, the macroscopic information dimension of corresponding index system；Society
Meeting element is primarily upon different main market players to the information of industry Credit Risk Evaluation, rating information, the stock of corresponding index system
4 city's information, debt market information and bank information dimensions；Technology essential factor is primarily upon industry technology level and product quality information,
Two dimensions of technical information and quality information of corresponding index system.Index system includes " 8+1 " 9 dimensions, wherein " 1 " is
Policy adjustment factor dimension, major embodiment military industry develop had policy environment, when the relevant policies that country promulgates have
When conducive to military industry development, the policy adjustment factor is greater than 1, and direct multiple increases military industry developing ability index, Quan Mianti
Rise military industry overall development ability；When the relevant policies that country promulgates hinder military industry, the policy adjustment factor is less than 1
When, direct multiple reduces military industry developing ability index, constrains the overall development of military industry." 8 " refer to financial information,
Macroscopic information, rating information, stock market information, debt market information, bank information, quality information and with technical information totally 8 it is different
Information dimension obtains Credit Risk Assessment of Enterprise information from different subjects, different markets, measures the development of military industry to greatest extent
Ability.It is as follows to the understanding of overall development ability about 8 big dimensions:
(1) financial information dimension
From financial information, financial index is to reflect that Management Results of Enterprises, evaluation Enterprise Performance are most direct, most common
Index is the basic index measured to business solvency, operation ability, profitability and developing ability etc., and enterprise
Be the basis of industry, be industry important component, therefore, financial index be reflection the debt paying ability of industry totality, operation energy
The important indicator of power, profitability and developing ability.Current rate, cash flow debt-to-equity ratio, flowing money can specifically be chosen
Produce the indexs such as turnover rate, net assets income ratio, asset-liability ratio.
(2) macroscopic information dimension
The development of industry and macroeconomy are closely related, are influenced to change by macroeconomic undulation.Work as economic growth
When speed is accelerated, the market demand expands, and enterprise increases investment, promotes production, drives the industry development；When economy tends to downlink,
Slump in demand, industry development, which is stagnated, even fails, at this point, every profession and trade faces biggish uncertainty.Therefore, can pass through
The important dimension that the indexs such as GDP sensibility are constructed to describe macroscopic information, as analysis industry development ability.
(3) rating information dimension
Credit rating is that the measurement most common index of Credit Risk Assessment of Enterprise, the height of credit rating directly reflect in the world
The credit risk level of main body, credit rating is higher, and credit risk is lower, and credit rating downward discloses the wind broken a contract
Danger increases.Therefore, from the point of view of grading, using rating information as an important dimension of analysis credit risk, and point
Analyse an important dimension of industry development ability.
(4) stock market information dimension
From stock market, the index for being able to reflect industry credit risk information is found.By stock market data and letter
What is linked together with risk assessment is famous KMV model, therefore, obtains Credit Risk Evaluation information master from stock market
To pass through KMV model realization.Wherein, it is contemplated that rate of violation EDF is the core of KMV model, is calculated based on the market price
EDF have well it is perspective, can in time, reliably reflect listed company's credit standing.It therefore, can be each by calculating
Expected default frequency EDF index of industry etc., an important dimension as analysis industry development ability.
(5) debt market information dimension
Bond market is one of the main place of credit risk event outburst, includes credit risk information abundant, promise breaking
The indexs such as the amount of money, promise breaking quantity, credit spread can be used as an important dimension of analysis industry development ability.
(6) bank information dimension
Bank obtains the main channel of loan as enterprise, carries out grade assessment to fiduciary loan according to risk basis with anti-
The quality of loan is reflected, the quality of industry fiduciary loan is the height for reflecting industry credit risk.Therefore, in banking system
The every profession and trade non-performing loan amount of money can be used as an important dimension of analysis industry development ability.
(7) quality information dimension
For military industry, quality is the key that determine defense force, is especially more drilled in current various countries' arms race
Under stronger overall background, the height of military product quality determines that the competitiveness of equipment is strong and weak.Therefore, military industry is main
Quality index includes delivery-check qualified rate of Type Equipment product, large-scale experiment success rate, launching success rate, great flight thing
Therefore average flight time between failures (MTBF), Mean Time To Recovery (MTTR) etc. can be used as reflection industry development ability
One important dimension.
(8) technical information dimension
Military industry mainly undertakes national defence scientific research production task, and technology is the core of equipment preparation, the promotion of technical level
Product competitiveness promotion is exactly equipped, the height of technical level directly determines the power of military capability of the country.Therefore, reflect product
Patent of invention quantity, research and development or technical staff's accounting, the research and development of the performance indicator and reflection industry technology ability of technical level
The indexs such as output-input ratio are an important dimensions for reflecting industry development ability.
The determination method of index weights is as follows in step (2):
The method for determining index weights generally comprise the subjective methods such as Delphi method and analytic hierarchy process (AHP) and entropy assessment and
The objective methods such as Principal Component Analysis, wherein objective weight is determined based on real data and according to data internal relation itself
's.Since this system of military industry has high professionalism, the expert of military industry has military industry quite deep
Understand, and interest relations are not present, there is good independence and fairness, therefore, the evaluation of military industry developing ability refers to
Target weight preferably uses Delphi method and analytic hierarchy process (AHP) based on expert estimation.
Wherein, the weight of eight big dimensions is determined using AHP (analytic hierarchy process (AHP)) method.
The first step is Judgement Matricies.By expert on the journey of the importance of each dimension or influence military industry developing ability
Degree is compared two-by-two, specifically uses 1~9 scaling law.With aijIndicate index ViAnd VjInfluence size to upper layer index it
Than whole comparison results two-by-two constitutes judgment matrix U=(aij)n×n, aijScoring criteria are as follows: ViAnd VjIt is of equal importance
When, aij=1；ViCompared with VjIt is slightly important, aij=3；ViCompared with VjWhen obvious important, aij=5；ViCompared with VjIt is more fairly obvious important
When, ViCompared with VjWhen fairly obvious important, aij=7；ViCompared with VjWhen absolutely essential, aij=9.For example, working as V1And V2When of equal importance,
a12=1, while a21=1；Work as V1Compared with V3When slightly important, a13=3, while a13=1/3；Work as V1Compared with V3When slightly important, a13=
3, while a13=1/3；Successively judge assignment.
Second step is that judgment matrix is normalized, the normalization processing method of matrix element are as follows:N is index quantity.
Third step is to solve approximate characteristic vector Wi, the b after normalizedijOn the basis of calculateFurther calculate approximate characteristic vectorThis feature vector is
The weight of index i.Such as in military industry developing ability assessment indicator system constructed by the present invention, financial information (V1), it is macro
See information (V2), rating information (V3), stock market information (V4), debt market information (V5), bank information (V6), quality information (V7) and
Technical information (V8) 8 first class index weight computations such as table 2 (first class index judgment matrix normalized and feature
Value) shown in.
Table 2
During specific targets weight determines, the index weights of quality information dimension and technical information dimension use Delphi method
It determines, the Quality Expert of military industry is invited to directly determine index weights；The index weights of debt market information dimension use Delphi
Method determines, the senior military industry analyst of financial institution is invited to directly determine index weights；Other index weights use
AHP method determines, the expert in finance of military industry is invited to give a mark.
The determination method for the index observation that may be chosen in step (3) are as follows:
The determination of the policy adjustment factor: the industry political affairs that the military industry correlation that current government promulgates is encouraged or limited are counted
Plan invites 10 military industry Senior Experts to evaluate each policy to the influence size of military industry overall development ability, wherein just
It is given a mark to policy by 1-10 points, negative sense policy is given a mark by -1 to -10 point, the marking by each expert to every policy
It carries out aggregation and takes mean value, be denoted as S, the corresponding relationship of policy adjustment factor-beta and mean value S are as follows:
The determination of GDP sensibility index observation: using military industry listed company operating income as the generation of industry development
Variable is managed, GDP is as macroeconomic proxy variable, and using regression analysis research industry to the sensibility of GDP, building is returned
Equation:
revit=αi+βigdpit+γicpiit+λiloanit+εit
revit、cpiit、loanitIt is industry i in the operating income of t phase, GDP, CPI, loan interest rate (the financial institution people
Coin loan weighted average interest rate: ordinary loan), previous phase operating income is chosen as control variable, carries out regression estimates, GDP's
Regression coefficient is GDP sensibility index；Meanwhile it being carried out using military industry plate index as the proxy variable of industry development
It returns, Robustness Test of A is carried out to GDP sensibility index.
The determination of Financing Scale growth rate index observation: military industry Financing Scale is each listed company's stock total market capitalisation
With the sum of long-term loan, short-term borrowing, each company's Financing Scale is calculated with " this year financing growth scale/last year Financing Scale "
Growth rate, then be weighted to obtain the observation of military industry Financing Scale growth rate by each listed company's market value.
The determination for variable indicator observation of grading: it counts reconcile the bond quantity of downward in the grading of current year military industry respectively
The specific gravity for accounting for global bond quantity, uses UtAnd DtIt indicates, is further spent using difference statistic law (Net Balance Statistic)
Amount grading change value, calculation formula Bt=Ut-Dt, wherein BtIt indicates net grading up-regulation, features grading to a certain extent
The degree of up-regulation.
The determination of expected default frequency EDF index observation: industry EDF is that the EDF of each listed company of military industry carries out city
Value weighting obtains.Company EDF is calculated by KMV model, specific steps are as follows:
The first step, it is assumed that houses market value is determined by 5 variables:
E-VaN(d1)-De-rtN(d2)
Wherein, VaFor the market value of corporate assets；E is the value of stock right of company；D is that the debt of company is worth；R is nothing
Risk-free rate；σEAnd σaRespectively represent the value of stock right stability bandwidth and market value stability bandwidth of company；τ is debt maturity, generally
It is set as 1 year.By above-mentioned equation group as it can be seen that there are two unknown parameters: VaAnd σa.Therefore, we first have to Simultaneous Equations and ask
Above-mentioned two parameter out；
Second step, definition promise breaking point (Default Point), KMV company are based on mass data and show, the most common promise breaking
Point is chosen for the sum of short term liabilities and 50% long-term debt, it may be assumed that
DP=SD+50%LD
Wherein, DP is company's promise breaking point, and SD is company's short term liabilities, and LD is company's long-term debt；
Third step estimates illegal building (Default Distance) that illegal building is a relative concept, refers to company
Assets value within the risk phase to promise breaking point distance, can be used as the index of a comparison different company default risk.
KMV model defines illegal building are as follows:
Wherein, DD is illegal building；
Finally, the expected default frequency (EDF) of estimation company, in KMV model, it is contemplated that Default Probability and illegal building it
Between mapping relations be determining, that is to say, that determine that mapping relations are the prerequisites of determining aged fail probability.However,
Due to the defect of China's credit risk system, the statistical data of enterprise's promise breaking or bankruptcy lacks, be difficult Anticipatory breach probability and
Being mapped in the short time between illegal building is set up.Therefore, herein, due to the shortage of this mapping, we are only
Anticipatory breach probability in computational theory.Assuming that the assets value Normal Distribution of company, then:
Wherein, EDF is the theoretical value of the expected default frequency of company.
Military industry EDF programs to obtain according to above-mentioned calculating logic by MATLAB.
The determination for amount of money index observation of breaking a contract: the bond issue scale and default bond of statistics all companies of military industry
The promise breaking total amount being related to calculates the overall promise breaking amount of money accounting of military industry bond market.
The determination for quantitative index observation of breaking a contract: the bond issue quantity and default bond of statistics all companies of military industry
Quantity, calculate the overall promise breaking quantity accounting of military industry bond market.
The determination of credit spread index observation: the first step selects sample certificate, chooses the Medium Term Note, short of interbank dealing
Phase financing certificate and ultra-short term financing certificate, are not included in enterprise's debt and corporate bond, enterprise's debt are not included into sample certificate and be primarily due to greatly
Some Enterprises debt has increasing to believe, earning rate cannot objectively respond the credit qualification of main body, in addition, most of enterprise debt is equipped with
Return sell, redemption provision, the distribution time limit is mostly " X+Y ", and most of in enterprise's debt is all that debt is thrown in city, and industry debt accounts for smaller；
, equally there is external the problem of increasing letter and distribution time limit in the reason of without corporate bond is included in sample certificate, while there are also transaction places
Difference and pledge rate problem, corporate bond is traded in the kerb markets such as Shanghai Stock Exchange and Shen Zhen Stock Exchange, and middle ticket, short melted, ultrashort melted
Certificate kind is traded in Inter-Bank Market, and two transaction place long-term existence profits can be to credit spread if corporate bond is included in sample
Calculated result cause error, according to it is middle demonstrate,prove step on pledge certificate policy, the bond of different qualifications, which has, different pledges financing function
Can, and financing capability affects its valuation, therefore the profit of corporate bond largely reflects its financing capability, and
It is not suitable as the proxy variable of reflection credit qualification.Second step selects the remaining time limit of sample certificate, the residue of sample certificate selection
Time limit is 0.5-5, this segment includes that bond quantity accounting is big, incorporates most middle ticket, short warm ultrashort
Melt, the risk premium of market and industry can be well reflected, in this section, credit spread is basicly stable, not with surplus
The variation in remaining time limit and change, do not select the remaining time limit 0.5 year bond below be due to shorter bond of remaining time limit its
Earning rate adjustment depends primarily on mobility, and profit and risk free rate correlation are relatively limited.5 years or more bonds are not selected
5 years or more bonds are allowed for trade on the market and inactive, profit cannot reflect risk premium in time, on the other hand,
5 years or more sample certificate data volumes are smaller, and influence whether being included in sample to the calculating of industry credit spread is little.
In step (4), index value is just can be obtained by certain calculating conversion in index observation.For there are optimum points
Index enables ZijFor the optimum point of the jth item index under i-th dimension degree；For enabling H there are the index of optimal value intervalijAnd Lij
Indicate the upper and lower bound of the optimal value interval of the jth item index under the i-th dimension.The wherein minimum of the index of value bounded
Value NijIt indicates, the maximum value M of the unbounded index of valueijIt indicates, the upper limit H of the unbounded positve term index of index valueij=
∞。
Observation OijWith index value YijBetween conversion formula are as follows:
The determination method of each dimension index value in step (5): for the dimension k only containing an index, index value is
For dimension values；For containing the dimension h of multiple indexs, needs to further calculate dimension values, circular is as follows: considering
What each index reflected under to the same dimension is the industry development level of different aspect, but belongs to each index of the same dimension
There is similitude, the influence to overall development level that the height of these index levels is shown by the dimension in nature
It is a kind of relationship of total association's compensation, i.e. index level has when having weak by force, and certain strong indexs have certain benefit to weak index
The effect of repaying, to keep the high level of the dimension；Association when each index level is all in a higher level, between index
Same-action, so that industry development ability shows higher level in the dimension；When each index is all in a lower water
Usually, the symbiosis inhibiting effect between index, so that the level of aggregation that industry development ability is shown in the dimension is in more
Low level.After considering this synergistic effect, in index value YijAnd its index weights WijOn the basis of, calculate each dimension values
ViFormula are as follows:
Wherein, m is the index quantity under i-th of dimension.
The determination of military industry developing ability index D CIMI in step (6): it is same, consider the synergistic effect between index,
In each dimension values ViAnd its weight WiOn the basis of, calculate the formula of military industry developing ability index D CIMI are as follows:
Wherein, β is the policy adjustment factor.
Step (7) refers to by calculating military industry developing ability index from multi-angles such as vertical and horizontal to military industry
Macroscopic quality level is compared and analyzed and is evaluated.
It is a major advantage of the invention that the research of military industry overall development ability has not yet been formed at present a set of complete
Whole system, on the one hand, due to the particularity of military industry, market, which can not obtain, can accurately measure military industry development
Internal data or relevant information；On the other hand, military industry itself still has shortage for the sense of risk in development process, right
The developing ability assessment of industry is not comprehensive enough.The method of building military industry development index proposed by the present invention can be to industry
Overall development ability carries out effective and reasonable quantization, not only contributes to academic research, market analysis is carried out in a deep going way, in military project
Industry quality surveillance field also has important practice significance, helps that the whole of military industry is understood and monitored from macroscopic aspect
Body risk status and developing ability, promote military industry prepare oneself against possible risks, promote military industry overall development level.
Claims (7)
1. a kind of military industry developing ability evaluation method based on financial pest analysis frame, which is characterized in that including following
Step:
Step 1 constructs the index system of military industry developing ability index；
Step 2 determines index weights using Delphi method and analytic hierarchy process (AHP)；
Step 3 determines the source of index observation；
Step 4 determines the calculation method of parameter value；
Step 5 determines the calculation method for calculating dimension values；
Step 6 calculates military industry developing ability index；
Step 7 passes through longitudinally, laterally comparative analysis and evaluation military industry overall development ability.
2. it is according to claim 1 a kind of based on finance-pest analysis frame military industry developing ability evaluation method,
It is characterized in that, the building of the index system of military industry developing ability index described in step 1 based on finance-PEST inside and outside
Portion's analytical framework, wherein finance are internal analysis frame, mainly include financial index, PEST is external analysis frame, main to wrap
Include politics, economic, society and four element of technology index of correlation；
Political element is primarily upon Industry Policy information, the policy information dimension of corresponding index system；Economic factor is primarily upon
Macroeconomy information, the macroscopic information dimension of corresponding index system；Social elements, which are primarily upon different main market players, believes industry
With the information of risk assessment, rating information, 4 stock market information, debt market information and bank information dimensions of corresponding index system；Skill
Art element is primarily upon that industry technology is horizontal and product quality information, the technical information of corresponding index system and quality information two
Dimension；
Specifically, the index of financial information dimension mainly includes current rate, cash flow debt-to-equity ratio, current assets turnover
Rate, net assets income ratio, asset-liability ratio；
The index of macroscopic information dimension mainly includes GDP sensibility index；
The index of rating information dimension mainly includes credit rating；
The index of debt market information dimension mainly includes the indexs such as the promise breaking amount of money, promise breaking quantity, credit spread；
The index of bank information dimension mainly includes the every profession and trade non-performing loan amount of money in banking system；
The index of quality information dimension mainly includes delivery-check qualified rate of Type Equipment product, large-scale experiment success rate, transmitting
Success rate, great aircraft accident, average flight time between failures and Mean Time To Recovery；
The index of technical information dimension mainly includes patent of invention quantity, research and development or technical staff's accounting, Innovation Input ratio.
3. it is according to claim 1 a kind of based on finance-pest analysis frame military industry developing ability evaluation method,
It is characterized in that, using Delphi method, being by inviting the Quality Expert of military industry to directly determine quality in the step 2
The index weights of information dimension and technical information dimension, by inviting the senior military industry analyst of financial institution to directly determine
The index weights of debt market information dimension；Other index weights are by inviting the expert in finance of military industry to use in step 1
The marking of AHP method determines, specifically includes step:
1. Judgement Matricies: on the importance of each dimension or influencing the degree progress of military industry developing ability two-by-two by expert
Compare, uses 1~9 scaling law: specifically with aijIndicate index ViAnd VjThe ratio between influence size to upper layer index, it is whole two-by-two
Comparison result constitutes judgment matrix U=(aij)n×n, aijScoring criteria are as follows: ViAnd VjWhen of equal importance, aij=1；ViCompared with Vj
It is slightly important, aij=3；ViCompared with VjWhen obvious important, aij=5；ViCompared with VjWhen more fairly obvious important, ViCompared with VjIt is fairly obvious
When important, aij=7；ViCompared with VjWhen absolutely essential, aij=9, work as V1And V2When of equal importance, a12=1, while a21=1；Work as V1Compared with
V3When slightly important, a13=3, while a13=1/3；Work as V1Compared with V3When slightly important, a13=3, while a13=1/3；Successively judge
Assignment；
2. judgment matrix is normalized, the normalization processing method of matrix element are as follows:N is index quantity；
3. solving approximate characteristic vector Wi, the b after normalizedijOn the basis of calculateInto one
Step calculates approximate characteristic vectorThis feature vector is the weight of index i.
4. a kind of military industry developing ability evaluation method based on financial pest analysis frame according to claim 1,
It is characterized in that, step 3 determines that the source of index observation includes:
It determines the policy adjustment factor: counting the industrial policy that the military industry correlation that current government promulgates is encouraged or limited, invite
10 military industry Senior Experts evaluate each policy to the influence size of military industry overall development ability, wherein positive policy is pressed
1-10 points are given a mark, and negative sense policy is given a mark by -1 to -10 point, and each expert is carried out aggregation to the marking of every policy and is taken
Mean value is denoted as S, the corresponding relationship of policy adjustment factor-beta and mean value S are as follows:
Determine GDP sensibility index observation: using military industry listed company operating income as the proxy variable of industry development,
GDP constructs regression equation using regression analysis research industry to the sensibility of GDP as macroeconomic proxy variable:
revit=αi+βigdpit+yicpiit+λiloanit+εit
revit、cpiit、loanitIt is industry i in the operating income of t phase, GDP, CPI, loan interest rate, chooses previous phase business and receive
Enter to control variable, carries out regression estimates, the regression coefficient of GDP is GDP sensibility index；Meanwhile with military industry plate
Index is returned as the proxy variable of industry development, carries out Robustness Test of A to GDP sensibility index；
Determine Financing Scale growth rate index observation: military industry Financing Scale is for each listed company's stock total market capitalisation and for a long time
The sum of loaning bill, short-term borrowing calculate each company's Financing Scale growth rate with " this year financing growth scale/last year Financing Scale ",
It is weighted to obtain the observation of military industry Financing Scale growth rate by each listed company's market value again；
It determines grading variable indicator observation: counting reconcile the total debt of bond quantity Zhan of downward in the grading of current year military industry respectively
The specific gravity of certificate quantity, uses UtAnd DtIt indicates, further using difference statistic law measurement grading change value, calculation formula Bt=Ut-
Dt, wherein BtIt indicates net grading up-regulation, features the degree of grading up-regulation to a certain extent；
Determine expected default frequency EDF index observation: industry EDF is that the EDF of each listed company of military industry carries out market value weighting
It obtains, the company EDF is calculated by KMV model, specific steps are as follows:
The first step, it is assumed that houses market value is determined by 5 variables:
E-VaN(d1)-De-rtN(d2)
Wherein, VaFor the market value of corporate assets；E is the value of stock right of company；D is that the debt of company is worth；R is devoid of risk
Interest rate；σEAnd σaRespectively represent the value of stock right stability bandwidth and market value stability bandwidth of company；τ is debt maturity, is generally set to one
Year；
Second step, definition promise breaking point, KMV company be based on mass data show, the most common promise breaking point be chosen for short term liabilities with
The sum of 50% long-term debt, it may be assumed that
DP=SD+50%LD
Wherein, DP is company's promise breaking point, and SD is company's short term liabilities, and LD is company's long-term debt；
Third step estimates illegal building, and illegal building is a relative concept, refers to that the assets value of company arrives within the risk phase
The distance of promise breaking point, as the index of a comparison different company default risk, KMV model defines illegal building are as follows:
Wherein, DD is illegal building；
Finally, the Anticipatory breach probability in computational theory, it is assumed that the assets value Normal Distribution of company, then:
Wherein, EDF is the theoretical value of the expected default frequency of company；
Determine promise breaking amount of money index observation: what the bond issue scale and default bond of statistics all companies of military industry were related to
Promise breaking total amount calculates the overall promise breaking amount of money accounting of military industry bond market；
Determine promise breaking quantitative index observation: the bond issue quantity of statistics all companies of military industry and the number of default bond
Amount calculates the overall promise breaking quantity accounting of military industry bond market；
It determines credit spread index observation: the first step, selects sample certificate, choose Medium Term Note, the short fund of interbank dealing
Certificate and ultra-short term financing certificate, are not included in enterprise's debt and corporate bond；Second step selects the remaining time limit of sample certificate, the selection of sample certificate
The remaining time limit is 0.5-5.
5. a kind of military industry developing ability evaluation method based on financial pest analysis frame according to claim 1,
It is by calculating the index observation of step 3 it is characterized in that, determining the calculation method of parameter value described in step 4
Index value is converted to, i.e., for enabling Z there are the index of optimum pointijFor the optimum point of the jth item index under i-th dimension degree；For depositing
In the index of optimal value interval, H is enabledijAnd LijIndicate i-th dimension degree under jth item index optimal value interval the upper limit and
Lower limit, wherein the minimum value N of the index of value boundedijIt indicates, the maximum value M of the unbounded index of valueijIt indicates, index
The upper limit H of the unbounded positve term index of valueij=∞；
Observation OijWith index value YijBetween conversion formula are as follows:
。
6. it is according to claim 1 a kind of based on finance-pest analysis frame military industry developing ability evaluation method,
It is characterized in that, determining that the calculation method for calculating dimension values refers to the dimension k only containing an index described in step 5
Scale value is dimension values；For the dimension h containing multiple indexs, then dimension values are further calculated, circular is as follows:
Index value YijAnd its index weights WijOn the basis of, calculate each dimension values ViFormula are as follows:
Wherein, m is the index quantity under i-th of dimension.
7. a kind of military industry developing ability evaluation method based on financial pest analysis frame according to claim 1,
It is characterized in that, determining military industry developing ability index, calculation formula described in step 6 are as follows:
Wherein, β is the policy adjustment factor.
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Cited By (3)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN110597990A (en) * | 2019-09-06 | 2019-12-20 | 民生科技有限责任公司 | Financial analysis method and system based on intelligent classification |
| CN112257979A (en) * | 2020-09-17 | 2021-01-22 | 中国航天标准化研究所 | Domestic electronic device application effect evaluation method based on index system architecture |
| CN112561671A (en) * | 2020-12-23 | 2021-03-26 | 无锡航吴科技有限公司 | Debt replacement bidding system of financing platform |
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2018
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Cited By (4)
| Publication number | Priority date | Publication date | Assignee | Title |
|---|---|---|---|---|
| CN110597990A (en) * | 2019-09-06 | 2019-12-20 | 民生科技有限责任公司 | Financial analysis method and system based on intelligent classification |
| CN110597990B (en) * | 2019-09-06 | 2022-05-10 | 民生科技有限责任公司 | Financial analysis method and system based on intelligent classification |
| CN112257979A (en) * | 2020-09-17 | 2021-01-22 | 中国航天标准化研究所 | Domestic electronic device application effect evaluation method based on index system architecture |
| CN112561671A (en) * | 2020-12-23 | 2021-03-26 | 无锡航吴科技有限公司 | Debt replacement bidding system of financing platform |
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