我国科技型中小企业信用风险评估及信贷应用  

Exploration and Creidt Application of Credit Risk Assessment for Science and Technology-Based SMEs in China

作　　者：李亚宣 窦文章[1,2] 

机构地区：[1]北京大学软件与微电子学院,北京 [2]北京大学战略研究所,北京

出　　处：《金融》2023年第1期228-239,共12页Finance

摘　　要：本文针对科技型中小企业,构建了修订的KMV模型,并进行统计计量分析,验证了模型的预测效果。之后,将模型的结果应用于RAROC模型中进行贷款定价,并以A公司为例进行案例分析。结果表明,修订的KMV模型能够对我们科技型中小企业的信用风险进行有效识别和度量,将其结果应用于贷款定价中,将有助于提高企业与银行之间的信息透明度,缓解科技型中小企业融资问题,提高商业银行风险管理水平。In this paper, a revised KMV model is constructed for technology-based SMEs, and statistical-econometric analysis is performed to verify the predictive effect of the model. After that, the results of the model are applied to the RAROC model for loan pricing, and a case study is conducted with Company A as an example. The results show that the revised KMV model can effectively identify and measure the credit risk of our technology-based SMEs, and applying the results to loan pricing will help improve the information transparency between enterprises and banks, alleviate the financing problems of technology-based SMEs, and improve the risk management of commercial banks.

关 键 词：信用风险评估 科技型中小企业 KMV模型 RAROC模型 

分 类 号：F275[经济管理—企业管理]