基于KMV模型对中国上市公司的信用风险进行度量的实证分析  

Empirical Analysis on Credit Risk Measurement of Public Companies Based on the KMV Model

作　　者：刘博[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海200052

出　　处：《科学技术与工程》2010年第3期843-847,共5页Science Technology and Engineering

摘　　要：针对目前上市公司的日趋增多和广大投资者对于投资股市的热情,对上市公司的信用风险进行度量和评估已显得十分迫切和必要。运用KMV模型,从我国沪深两市中共选取三十家绩优股和绩差股,以2007年9月30日为基准日,运用三种方法计算其未来一年的违约距离DD(Default Distance)和预期违约频率EDF(Expected Default Frequency),在一定程度上可以对上市公司信用风险进行评估。分别采用了三种方法来计算违约距离并进行对比。实证分析结果表明,在KMV模型中引入资产连续回报率这个模型最适合中国国情,灵敏度和预测能力较好,在一定程度上可以揭示上市公司的信用风险。It＇ s very urgent and necessary to assess the credit risk of public companies for the trend of more public companies and more investors in capital market. Based on KMV model, three methods are used which took the initiative to calculate default distance and expected default frequency （EDF） of thirty companies selected from the capital market. The empirical result indicates that the third method which used asset sequential returning rate is the most suitable one which has good predictability to assess the credit risk of public companies in China.

关 键 词：KMV模型 违约距离(DD) 预期违约概率(EDF) 信用风险 上市公司 

分 类 号：F830.91[经济管理—金融学]