| 基于KMV模型的上市公司信用风险预测 |
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| 引用本文： | 夏红芳,马俊海.基于KMV模型的上市公司信用风险预测[J].预测,2008,27(6). |
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| 作者姓名： | 夏红芳 马俊海 |
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| 作者单位： | 浙江财经学院,金融学院,浙江,杭州,310012 |
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| 基金项目： | 国家自然科学基金资助项目 |
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| 摘 要： | 本文利用KMV模型,提出了一种上市公司信用风险预测方法.通过对我国4家上市公司5年股票价格的违约距离实证分析表明,KMV模型的灵敏度和预测能力都相当好,能为银行和投资者预测、揭示上市公司信用风险.
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| 关 键 词： | 信用风险预测 上市公司 KMV模型 |
A Forecast Method of Credit Risk Evaluation of Listed Companies Based KMV Model |
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| XIA Hong-fang,MA Jun-hai.A Forecast Method of Credit Risk Evaluation of Listed Companies Based KMV Model[J].Forecasting,2008,27(6). |
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| Authors: | XIA Hong-fang MA Jun-hai |
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| Abstract: | In this paper,a forecast method of credit risk evaluation of listed companies is presented based KMV model.The default distances are analyzed about four listed companies for five years based KMV model.Results indicate that sensitive and forecasting ability of KMV model are very good,And it can be used to predict and exposit credit risk of listed agricultural companies for bank and investor. |
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| Keywords: | credit risk forecast listed companies KMV model |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ |
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