基于KMV模型对上市企业信用违约风险度量的研究  

Research on Credit Default Risk Measurement of Listed EnterprisesBased on KMV Model

作　　者：卢茜 高丽[1] LU Xi;GAO Li(School of Finance,Xinjiang University of Finance and Economics,Urumchi 830012,China)

机构地区：[1]新疆财经大学金融学院,乌鲁木齐830012

出　　处：《科技与经济》2021年第4期106-110,共5页Science & Technology and Economy

基　　金：国家自然科学基金地区科学基金项目——“能源商品金融化、价格冲击与中国—中亚经济合作研究”(项目编号:71764028,项目负责人:高丽)成果之一。

摘　　要：采用KMV模型对上市企业的信用违约风险进行度量。首先,对KMV模型理论框架进行分析推导;其次,以2020年6月30前被处理为ST或^(*)ST的18家上市企业和与之配对的18家非ST企业为样本,基于KMV模型,使用相关软件对样本数据进行实证分析;最后,依据实证分析结果得出KMV模型可以有效度量上市企业的信用违约风险,对上市企业的信用风险具有一定的预警作用的结论,并提出相关建议。This paper uses KMV model to analyze the credit default risk of listed companies.Firstly,the theoretical framework of KMV model is analyzed and deduced;secondly,taking 18 listed companies that have been treated as ST or^(*)ST before June 30,2020 and 18 non-ST enterprises as samples,this paper uses relevant software to conduct empirical analysis on KMV model,and analyzes the empirical results;finally,according to the empirical analysis results,it is concluded that KMV model can effectively measure the credit default risk of listed enterprises and has a certain warning effect on the credit risk of listed enterprises,and then relevant suggestions are proposed.

关 键 词：信用风险 KMV模型 违约距离 预期违约概率 

分 类 号：F224[经济管理—国民经济] F275