基于KMV模型的我国中小上市公司信用风险研究  

An Empirical Study on the Credit Risk of Listed SMEs in China Based on the KMV Model

作　　者：张泽京[1] 陈晓红[1] 王傅强[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《财经研究》2007年第11期31-40,52,共11页Journal of Finance and Economics

基　　金：国家自然科学基金重点项目(70631004);国家软科学基金项目(05ZK5007)资助

摘　　要：经过提高股权价值波动率精确度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力,我们可以通过设定两条信用预警线,来监控中小上市公司的信用危机。文章研究发现,资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差。股权分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因。The KMV model, which is improved by increasing the precision of fluctuate rate of stock values, is more capable of identifying credit risk for listed small ＆ medium enterprises （SMEs） in China. We supervise and control the credit crisis of listed SMEs by setting two credit warning lines. The result indicates that asset size has a significant impact on credit risk, default risk. Asset size are significantly negatively correlated with default risk after the year of 2004, and the ability of risk-resisting for small companies whose total assets are less than 300 million yuan is the worst. Non-tradable Shares Reform brings the fluctuations of credit risk in a short time, which is the major reason why the default risk of listed SMEs increased in 2006.

关 键 词：信用风险 中小上市公司 KMV模型 违约距离 股权分置改革 

分 类 号：F830.91[经济管理—金融学]