基于JD-KMV模型的上市公司信用风险度量——一个区域金融视角下的实证研究  

The Credit Risk Measurement of Listed Companies Based on the JD-KMV Model——From the Aspect of Regional Finance

作　　者：谢赤[1] 赖琼琴 王纲金[1] 

机构地区：[1]湖南大学工商管理学院,中国湖南长沙410082

出　　处：《经济地理》2014年第6期137-141,共5页Economic Geography

基　　金：国家自然科学基金创新研究群体科学基金项目(71221001);国家自然科学基金面上项目(71373072);高等学校博士学科点专项科研基金项目(20130161110031);国家软科学研究计划项目(2010GXS5B141);教育部人文社会科学规划项目(09YJC630063)

摘　　要：为改进KMV模型忽略了资产价值跳跃行为这一不足,基于JD期权定价模型与广义Ito引理,构建一个JDKMV模型。选取2012年中国19个省市区新增的16家ST公司以及与之配对的16家非ST公司为研究对象,采用极大似然法与最小二乘法估计JD-KMV模型的参数,考察股票价格的跳跃特征,度量上市公司信用风险。结果表明:JDKMV模型优于KMV模型;中国东北、华中、华南、西北区域股价跳跃风险较大,华北、西南区域跳跃风险较小;东北、华中、西北区域上市公司信用风险较大,华北、华东、西南、华南区域信用风险较小。Given that the traditional KMV model ignores the jump behavior of the value of assets, this paper tries to improve it. Based on the jump diffusion option pricing model and the generalized Ito lemma, this paper builds a JD-KMV model. 16 new ST companies and 16 paired non-ST companies from 19 provinces and cities in 2012 of A-share market in Shanghai and Shenzhen stock exchange are selected as the samples. To describe the characteristics of the stock price jump and measure the credit risk of listed companies, the method of maximum likelihood and least squares method are used to estimate parameters of the model. The empirical results show that： JD-KMV model is better than KMV model; the jump risk of listed companies stock in Northeast China, central China, south China and northwest is bigger, while the one in north China, southwest is smaller; The credit risk of listed companies in Northeast China, central China and northwest region is bigger, while the one in north China, east China, southwest and south China is smaller.

关 键 词：区域金融 信用风险 上市公司 JD—KMV模型 

分 类 号：F014.6[经济管理—政治经济学]