基于跳跃-扩散KMV模型的上市公司信用风险评估  

Credit Risk Evaluate of Listed Companies Based on Jump-Diffusion KMV Model

作　　者：王佳 曹琼予 Wang Jia;Cao Qiongyu(School of Economics,Northeastern University at Qinhuangdao,Qinhuangdao 066000,Hebei,China;School of Economics,Fudan University,Shanghai 200433,China)

机构地区：[1]东北大学秦皇岛分校经济学院,河北秦皇岛066000 [2]复旦大学经济学院,上海200433

出　　处：《技术经济》2022年第1期160-168,共9页Journal of Technology Economics

基　　金：河北省自然科学基金“基于时变状态转移的河北省企业信用风险度量研究”(G2019501086);河北省高等学校社科研究2020年度基金项目“基于Knight不确定性和状态转移的鲁棒优化问题研究”(SD202007);河北省“三三三人才工程”资助项目“奈特不确定性下考虑Markov切换的多状态市场一般均衡定价研究”(A202101009);河北环境工程学院人文青年拔尖人才培育项目“突发事件下京津冀地区低碳型港口物流供应链鲁棒优化问题研究”(2020RWBJ02)。

摘　　要：本文在传统KMV模型基础上进行改进,引入风险资产价格的跳跃因素,构建跳跃-扩散KMV模型。分别从行业属性、公司属性和公司规模三个角度,对我国126家上市公司的跳跃风险进行估计,并对其信用风险进行度量。在此基础上,以测算的违约距离为被解释变量,以经济周期、跳跃风险及反映企业自身经营情况的财务指标为解释变量,利用固定效应模型实证检验企业信用风险的影响因素。结果表明,使用跳跃-扩散KMV模型度量上市公司信用风险的效果较好,测量结果与我国实际情况较吻合;同时企业的信用风险与其自身的偿债能力和跳跃风险呈显著正相关,而与其盈利能力、成长能力、营运能力及宏观经济状况呈显著负相关。In order to construct a jump-diffusion KMV model,the jump factors of asset price were introduced to improve the traditional KMV model. From the perspectives of industry attribute,company attribute and company size,the jump risk and credit risk of each company were measured separately. Then,the default distance measured by the model was used as the dependent variable. The economic cycle,jump risk and indicators reflecting the company’s own operating conditions were selected as independent variables.The fixed effect model was used to empirically test the influencing factors of corporate credit risk. The results show as follows. Using the jump-diffusion KMV model to measure the credit risk of listed companies is effective,and the measurement results are consistent with the actual situation in our country. Meanwhile,the credit risk of a company is significantly positively correlated with its own solvency ability and jump risk. And it has a significant negative correlation with its profitability,growth ability,operating ability and macroeconomic conditions.

关 键 词：跳跃-扩散KMV模型 信用风险 跳跃风险 极大似然法 

分 类 号：F830.33[经济管理—金融学]