基于EDF模型的上市公司信用风险实证研究  

Empirical Research of Credit Risk for the Public Company Using EDF Model

作　　者：郑茂 

机构地区：[1]易方达基金管理有限公司,广东广州510620

出　　处：《管理工程学报》2005年第3期151-154,共4页Journal of Industrial Engineering and Engineering Management

摘　　要：本文运用数值计算的方法,利用计算机编程对EDF模型进行了求解,并且证明该求解方法得出的解为模型的唯一解。本文进而对上市公司的信用风险进行了度量,发现对于绩效好的上市公司,EDF模型没有给出错误的信息,而高风险上市公司的资产市值和股权市值被高估。This paper employs the method of Numerical Calculation and gets the solution by computer programming. The paper testifies the solution using the method of Numerical Calculation is the sole solution. And we use EDF model to conduct an empirical research to the credit risk of the public companies. We show that EDF model doesn＇t provide a wrong message to the good-performance companies. But the resuhs show that the asset＇s market value and equity＇s market value of those high-risk companies are overvalued.

关 键 词：EDF模型 信用风险 股市 金融工程 

分 类 号：F830.91[经济管理—金融学]