摘要
本文采用KMV模型对中国上市公司信用风险做了实证分析,对其违约概率进行估计,期望能给国内银行在加快信用风险量化研究方面做一些有益的探索,为应用KMV模型奠定基础。实证结果表明,违约概率能较好地度量上市公司的信用风险,说明该模型在我国有较好的适用性。同时,由于我国公司股权结构中存在非流通股以及缺少公司历史违约数据,需对KMV模型修正来确定股权市场价值,理论上的EDF虽然可用于不同公司的比较,但不能反映公司真实违约可能性的大小,所以,建立上市公司历史违约数据库显得尤为必要。
In this paper, KMV model is used to do the evidence analysis of credit risk in China＇s listed companies, and the company＇s probability of default is estimated. In order to do something useful to explore and lay the foundation for application of KMV model for domestic banks which can look forward to accelerating research to quantify the credit risk. The empirical results show that the probability of default can better measure the credit risk of listed companies and the model has a better application in China. At the same time as a result of the existence of non-negotiable share in China＇ s shareholding structure, as well as the lack of default data, the amendment to KMV model is needed to determine the value of the stock market. The theoretical EDF can be used to compare different companies＇ default probability, but does not reflect the real possibility. Therefore, it is necessary to establish a default database of the listed company in history.
出处
《山西财经大学学报》
CSSCI
北大核心
2009年第5期104-108,共5页
Journal of Shanxi University of Finance and Economics
关键词
信用风险
KMV信用风险模型
违约距离
EDF
eredit risk
KMV credit risk model
default distance
expected default frequency
