| 不同行业上市公司信用风险比较研究——KMV模型及其应用 |
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| 作者姓名： | 刘迎春 |
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| 作者单位： | 东北财经大学数学与数量经济学院,辽宁大连,116025 |
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| 摘 要： | 为研究不同行业上市公司信用风险状况的差异,选取2009-2010年分属5个行业新被ST的8家公司和相应行业的非ST公司8家,利用GARCH模型估计股权价值波动率,采用KMV模型计算样本公司2007-2009连续三年的违约距离和理论违约概率。结果发现,不同行业上市公司信用状况之间存在差异,由好到差的顺序依次为能源、电子、房地产、制造和农业类上市公司;同时发现,上市公司信用状况的变化趋势和宏观经济走势表现一致。
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| 关 键 词： | 信用风险 KMV模型 GARCH波动率模型 |
An Empirical Study of the Credit Risk of Listed Corporation in China from Different Trades Based on the KMV Model |
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| Authors: | LIU Ying-chun |
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| Institution: | LIU Ying-chun |
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| Abstract: | To prove the accuracy of the KMV model on credit risk measurement of listed companies from different trades in china, Firstly, we received a sample composed of 8 ST companies and 8 normal companies from energy sources, electronics industy, agriculture, manufacture and constructure trade., Then, we use the GARCH（ 1,1 ） model to estimate the volatility of equity value, At last, we calculate the Distanee to Defaul of all the companies from 2007to 2009. It obtains the conclusions that he KMV model can not only identify the difference of credit risk betweenST companies and normal companies from different trade well, but also indicate the change tendency of listed companies accord with the tendency of the macrography economics. And the credit quality of different companies from different trades have some differences. |
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| Keywords: | listed company credit risk K M V model distance to default |
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