中国上市公司信用风险管理实证研究——EDF模型在信用评估中的应用  

An Empirical Study on Credit Risk Management of China's Listed Companies —— EDF Model's Application in Credit Evaluation

作　　者：杨星[1] 张义强[2] 

机构地区：[1]华中科技大学管理学院,湖北武汉430072 [2]暨南大学经济学院,广东广州510630

出　　处：《中国软科学》2004年第1期43-47,共5页China Soft Science

基　　金：广东省自然科学基金"金融风险管理及其定量方法"(970844)

摘　　要：对信用风险的动态管理是二十一世纪风险管理研究中最具有挑战性的课题,它将使传统的只注重违约条件下债务账面损失的静态分析方法转变为通过债务人的资产价值的变化反映其信用资质变化的动态分析方法。本文采用了一个基于期权理论的信用风险管理方法的分析框架,利用我国上市公司1997-2001股票价格波动的时间序列和截面数据,对中国上市公司的违约频率进行了实证分析。研究结果表明:(1)上市公司的股票价格波动与该公司的预期违约频率显著相关,且呈负相关关系;(2)上市公司的预期违约频率与该公司的信用资质变化吻合,并载有公司未来前景的情报性信号。The dynamic management for credit risk is one of the most challenging subjects in study on credit risk management in 21st century, which turns traditional static analyzing method under the condition of default focusing only on debt loss on the face of account to a dynamic method of combining the change of debtors' credit quality together with their asset value. This paper takes an analytical framework of credit risk management based on option theory and uses the data of time-series and cross-sections of stock price fluctuations during 1997-2001 to analyses empirically the default frequency of China's listed companies. The research comes to a conclusions : (1) The stock price fluctuation of listed companies is obviously related to its expected default frequency, and the relation is negative; (2) The expected default frequency of listed companies can be measured, which is identical with the change of the listed companies' credit quality.

关 键 词：中国 上市公司 信用风险管理 实证研究 EDF模型 信用评估 

分 类 号：F279.246[经济管理—企业管理] F832.51[经济管理—国民经济]