基于KMV模型的商业银行信贷风险度量研究  

Evaluation of Credit Risk of Commercial Banks Based on KMV Model

作　　者：陈新胜[1] 李广鹏 徐凌[3] 

机构地区：[1]中国石化胜利油田分公司滨南采油厂,山东滨州256600 [2]国家物资储备351处,山西潞城047505 [3]中国石油大学(华东)经济管理学院,山东青岛266580

出　　处：《甘肃科学学报》2014年第5期111-114,共4页Journal of Gansu Sciences

基　　金：山东省软科学基金项目(2013RKE28004);山东省软科学基金项目(2013RKE28007);山东省高等学校科技计划项目(J14WG58)

摘　　要：应用KMV模型对商业银行信贷风险度量问题进行深入研究.应用Matlab软件,以六家上市公司的数据为基础进行实证分析,发现评价指标违约距离和违约概率对于上市公司的信贷风险状况评价具有实用性,但个别公司的指标值与其财务状况不一致,说明KMV模型在应用中还存在需要改进之处.最后提出相应的合理化的建议,以提高其准确度.Based on the KMV model,commercial banks＇ credit risk evaluation was researched.The software MATLAB was adopted to make an empirical analysis of the 6 listed companies＇ data,and it was found that the evaluation index default distance and probability had practical applications in the evaluation of listed companies＇ credit risk.But the application of the KMV model still had room for improvement,for index values of some companies did not cohere with their financial performance.Finally,reasonable proposals were presented to improve the evaluation of credit risk.

关 键 词：商业银行 信贷风险 KMV模型 度量 

分 类 号：F830.9[经济管理—金融学]