企业脆弱性测度方法及应用研究--基于我国上市房地产企业数据  

Enterprise vulnerability measure and application research:based on C hinese listed real estate enterprise data

作　　者：陈耀辉[1] 张军[1] 章雅祺 赵田田[1] 

机构地区：[1]南京财经大学经济学院,江苏南京210023

出　　处：《南京财经大学学报》2017年第2期71-81,共11页Journal of Nanjing University of Finance and Economics

基　　金：2016国家社科基金资助项目(16BTJ030);江苏省普通高校研究生科研创新计划项目(SJZZ15_0125)

摘　　要：本文对KMV模型违约点和公司资产未来价值两方面进行改进,基于改进后的KMV模型得到了我国主要中小上市房地产企业的量化违约率,据此构建了三种度量房地产行业企业脆弱性的指数体系。结果表明,在2008年第三季度和2015年第二季度,我国房地产企业脆弱性较高,面临较高的违约风险。并使用灵敏性最高的尾部CVI指标体系对2016年9月1日至12月31日我国房地产行业企业脆弱性进行预测,预测结果可对未来房地产行业企业脆弱性进行衡量并制定有效防御措施。This paper has made improvements on the KMV model default point and the future value of the assets of the company. The default rate of Chinese small-sized and medium-sized listed real estate enterprises is obtained based on the im- proved KMV model ,which has constructed the index systems of three measures of the real estate industry enterprise vulnerabili- ty. The results show that in the third quarter of 2008 and the second quarter of 2015, China＇s real estate enterprise vulnerability were higher,facing a higher default risk. The index system of CVI tail with the highest sensitivity is adopted to forecast China＇s real estate enterprise vulnerability from September 1 to December 31 st in 2016, whose result can become the standard and formu- late the effective defense measures for the future real estate enterprise vulnerability in China.

关 键 词：KMV模型 违约概率 企业脆弱性(CVI) ARIMA 

分 类 号：F272.13[经济管理—企业管理]