基于KMV模型的上市公司信用评级研究  

Credit Rating Research of Listed Companies Based on KMV Model

作　　者：刘瑞霞[1] 张晓丽[1] 

机构地区：[1]西安工程大学管理学院,西安710048

出　　处：《中国经济与管理科学》2008年第6期110-111,117,共3页Chinese Economy Management Science Magazine

摘　　要：针对上市公司的特点，对KMV模型中的参数进行了适当的修正，并应用修正名的KMV模型对随机抽取的样本公司进行了实证分析，进而分析上市公司整体的信用等级状况。通过建立回归模型对股权波动率、负债与股权市值比率与违约概率间的相互关系进行了深入研究，进一步验证模型的可行性和有效性。In view of the characteristics of listed companies, this paper amends appropriately the parameters of the KMV model, and applicates it conducting an empirical analysis to randoml sample companies, further analysis overall listed companies＇credit rating status. The paper establishs a regression model to study depthly the mutual relations of equity volatility,debt-the market value of equity ratio and the expected default frequency,which can verify the feasibility and effectiveness of the KMV model.

关 键 词：KMV模型 信用评级 预期违约率 股权市值 资产市值 

分 类 号：F224.9[经济管理—国民经济]