改进的KMV模型在我国上市公司信用风险度量中的应用  

The Application of Amended KMV Model in Measuring Credit Risk of China Listed Companies

作　　者：张能福[1] 张佳[1] 

机构地区：[1]五邑大学管理学院,广东江门529020

出　　处：《预测》2010年第5期48-52,共5页Forecasting

基　　金：广东省自然科学基金资助项目(8152902001000010)

摘　　要：传统的KMV模型中违约点等于短期负债加长期负债的一半,然而这是基于美国公司的信用状况得出的结论,对于中国公司是否适用还有待于进一步探讨。本文正是基于这一观点,对违约点的参数进行修正,重新设定违约点(DP)=a.短期负债(STD)+b.长期负债(LTD)。通过选取82家样本公司,按照一定的判断标准,用Matlab计算得出了新违约点,并且将新旧违约点代入样本公司求出相应的违约距离,经比较得出,新违约点更能反应我国公司的信用状况。In the traditional KMV model the default point（DP）is equal to the sum of short-term debt（STD）and half of long-term debt（LTD）.But this conclusion is based on the level of American companies＇ credit,whether it is fit to China＇s enterprises depends on further research.So this paper amends the parameters of DP and resets DP=a·STD＋b·LTD.According to certain judgment standard,Matlab software gives the new DP by computing 82 sample companies.By comparing the corresponding distance of new DP and old DP makes the conclusion that the new DP can more reflect the credit conditions of China＇s enterprises.

关 键 词：KMV模型 违约点 违约距离 

分 类 号：F224[经济管理—国民经济]