基于KMV模型的公司债券信用风险研究  

Based on the KMV Model of the Corporate Bond Credit Risk Study

作　　者：韦茜[1] 李立平[2] 董哲[2] 

机构地区：[1]广西外国语学院国际经济与贸易学院 [2]上海财经大学国际工商管理学院

出　　处：《财会通讯（中）》2016年第12期89-92,共4页Communication of Finance and Accounting

摘　　要：近几年债券信用风险有从中小公司向大公司蔓延趋势。本文采用KMV模型,选取大公司作为样本,分为低债券信用风险组、高债券信用风险组16家公司来研究债券信用风险问题。研究的时间跨度为2013、2014两年,选取无风险利率、总资产及增长率、股权价值及变化率、0.5的违约点等为参数,应用Matlab软件计算得出违约距离。结论显示,无论是从组别分析,还是从单个公司分析KMV模型均有良好的风险预测功能。鉴于风险频发,政策上应提前预测债券信用风险,打破对公司债券"刚性兑付"的传统。In recent years,the bond credit risk has spread to the big company from small and medium-sized companies.In this paper,by using the KMV model,selection of large companies as samples,divided into low bond credit risk group,high bond credit risk group of 16 companies to research the bond credit risk problem.the time span is 2013,2014 two years,select the risk-free interest rate,total assets and growth rates,equity value and the rate of change,the default of 0.5 points for the parameters,such as application of Matlab software default distance is calculated.Conclusion shows that both from the group analysis,and from a single company to analyze the risk of KMV model are good prediction application tool.In view of the frequent risk,policy should be predicted in advance bond credit risk,break the tradition of corporate bonds' Vigid redemption'.

关 键 词：公司债券 信用风险 KMV模型 违约距离 

分 类 号：F832.51[经济管理—金融学]