基于核密度的KMV模型对公司信用风险度量研究  

Credit Risk Measurement of Listed Corporations Based on KMV Model of Kernel Density Estimation

作　　者：王沁[1] 易文德[2] 

机构地区：[1]西南交通大学数学学院,四川成都610031 [2]重庆文理学院数据分析与图像处理重点实验室,重庆永川402160

出　　处：《武汉理工大学学报（信息与管理工程版）》2016年第2期183-186,共4页Journal of Wuhan University of Technology：Information & Management Engineering

基　　金：重庆市群与图的理论及应用重点实验室开放课题基金项目(KFJJ1404);2012年国家自然科学基金项目(71271227)

摘　　要：利用Laplace核密度函数来估计股权价值的波动率,从而确定KMV模型中的资产收益波动率,修正了KMV模型。选择42家上市公司的财务数据和收盘价为样本,对基于核密度估计的KMV模型进行实证分析,结果表明Laplace核密度函数刻画了上市公司股权价值服从"尖峰厚尾"的特征,且该模型更适用于分析我国上市公司的信用状况。In this paper, Laplace kernel density function is used to estimate the volatility of the equity value, in order to de- termine the volatility of the asset return in the KMV model. The KMV model is modified through the volatility estimated by the Laplace kernel density function. By selecting 42 listed companies, financial data and the closing price, some results are obtained through the KMV model in the use of kernel density estimation. The results show that the Laplace kernel density function can characterize leptokurtosis and fat tail feature of the equity value. Based on kernel density estimated KMV model can analyze effec- tively the credit risk of listed companies.

关 键 词：Laplace核密度函数 KMV模型 波动率 信用风险 

分 类 号：F830.33[经济管理—金融学]