中文摘要：

针对短期融资券主体信用评级未能完全准确地反映出短期融资券信用风险的问题,本文引入信用风险计量的KMV模型,运用Matlab软件计算出短期融资券的违约距离,按照违约距离的大小通过聚类分析将样本划分为六组。在此基础上,以信用利差表示投资者对短期融资券信用风险的认可,将各组信用利差与其违约距离对应起来,对各组的信用利差进行方差分析,结果显示各组之间的差异非常显著,表明分组状况比较理想,按违约距离判断短期融资券的信用风险是合适的,实现了对短期融资券的信用风险评级。

英文摘要：

The credit rating of the short-term financing bills main body of cannot fully and accurately reflect its credit risk.In this article,we introduce the KMV credit risk measurement model,using Matlab to calculate default distances of short-term financing bills.The sample is divided into six groups according to the default distances by cluster analysis and credit spreads are divided into six groups accordingly.We do ANOVA to the six groups of credit spreads.The results show that the differences among six groups are very significant,indicating the ideal group situation.So it is appropriate to measure short-term financing bills credit risk by default distances,and the credit risk rating for short-term financing bills can be achieved.