| Credit risk is the oldest and the most important risk of the financial industry, so is the trust industry. With the boosting of market economy developing and financial market reforming, trust industry has been the second largest in financial industry with over10trillion yuan of total asset size in2012, which exceeds the insurance industry. In comparison with foreign mature trust models, the trust industry in China is at the initial stage, especially Real Estate Trust, which is no listed real estate trust product for transactions. China’s real estate enterprises mainly finance from bank credit, equity financing, bond financing, private capital and Real Estate Trust. Real Estate Trust has been the second financing channels of600billion yuan next to the bank credit, due to the prosperity of the real estate market. But the size involving redemption risk has been approximate to10billion yuan, which is caused by financers’ credit risk, the risk of project completion and sales and guarantee risk. This paper deems that financers’ credit risk can be easier to carry out qualitative evaluation and quantitative research than the risk of project completion and sales and guarantee risk. In addition, there is no special research of Real Estate Trust Financiers’ Credit Risk Rating System. So this paper elects real estate trusts financiers’ credit risk as the research perspective and chooses real estate industry listed companies in A share market of Shanghai and Shenzhen as research samples. In detail, this paper mainly focuses on three aspects:firstly, extracting Common Factors through Factor Analysis Method and building Comprehensive Factor Score Model of real estate trusts financiers; secondly, analyzing Comprehensive Factor Score by Cluster Analysis Method and establishing Seven Credit Risk Rating Table; thirdly, verifying the above models with testing samples from S trust company. This paper hopes that it builds Real Estate Trust Financiers’Credit Risk Rating System and testifies the feasibility for follow-up research. This paper mainly adopts Quantitative Analysis Methods, including Factor Analysis Method and Cluster Analysis Method. It selects13quantitative indicators, namely liquidity ratio, guarantee ratio, asset-liability ratio, liquid assets percentage, deferred revenue percentage, turnover of account receivable, turnover of total assets, ROA, ROS, ROE, operating profit ratio, operating income growth, capital accumulation ratio.This paper gains three conclusions through empirical study and model test, as follows:firstly, extracting five Common Factors, including credit capacity, profitability, asset structure, flow capacity and growth capacity, through Factor Analysis Method and building Comprehensive Factor Score Model of real estate trusts financiers with weighting factors from Total Variance Explained; secondly, analyzing Comprehensive Factor Score by Cluster Analysis Method and establishing Seven Credit Risk Rating Table from comparing merits of Five Credit Risk Rating and Seven Credit Risk Rating; thirdly, verifying the judgment and prediction capability of above models with testing samples from S trust company.Finally, this paper puts forward relevant policy suggestions from the degree of trust company, real estate trust association, Ch-REIT system and professional real estate credit rating agencies, real estate enterprises. First of all, trust companies should establish credit and post-loan credit risk rating system, make regular disclosure and submit to China Trustee Association and China Banking Regulatory Commission regularly. Secondly, we should build China Association of Real Estate Trust to devote to financier credit rating, investor education, real estate trust industry research, take in advanced experience from USA, Australia, and Japan and be the link with the world REIT. Thirdly, we should construct Ch-REIT system with pinpointing investment proportion, share proportion, organization form, shareholders, and shareholding limit conditions to revitalize the real estate market. Fourthly, we should bring in professional credit rating agencies in assess trust companies, real estate trust products and financier credit risk. Fifthly, real estate enterprise can establish credit risk rating system to benchmarking management.The main content of this paper is as follows:the1st chapter describes the research background, definition, research assumptions, research method and technical route of the whole paper; the2nd chapter mainly focuses on literature review, including credit rating history, domestic and foreign literature review; the3rd chapter expounds credit rating object, the sample screening and data processing; the4th chapter explains the empirical research of Factor Analysis Method and Cluster Analysis Method; the5th chapter includes conclusion and prospect.The main contribution of this paper is first special research in building Real Estate Trust Financiers’Credit Risk Rating System, which is the beneficial practice for the follow-up research.The insufficiency and prospect of this paper is as follows:firstly, it selects single research perspective, so we can bring in research perspectives, such as the risk of project completion and sales and guarantee risk; secondly, it chooses quantitative indicators for Quantitative Analysis without qualitative indicators, so we can introduce qualitative indicators to modify current model; thirdly, we can introduce various Quantitative Analysis Method to solve the sole status; fourthly, we must consistently modify current model to adapt the circumstance of trust industry and risk management of various trust companies. |
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