| 基于KMV模型的我国商业银行违约风险实证研究 |
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| 引用本文： | 张盼盼,周新苗.基于KMV模型的我国商业银行违约风险实证研究[J].科技与管理,2014(4):100-104. |
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| 作者姓名： | 张盼盼 周新苗 |
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| 作者单位： | 宁波大学商学院; |
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| 基金项目： | 浙江省哲学社会科学项目(QYJYNS1202) |
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| 摘 要： | 测算银行业的违约风险水平,防范银行业的违约风险对社会公众和监管当局乃至整个金融系统的稳定都至关重要,然而目前我国银行业违约风险的评价方法仍然比较落后。以最新的计量违约风险的模型KMV模型为基础,运用我国16家不同性质上市商业银行的相关数据,计算出了这16家上市商业银行的资产价值和资产价值波动率,并测算了我国16家上市商业银行的违约距离。通过对我国16家上市商业银行违约距离的分析比较,测量出了我国不同性质上市商业银行的违约风险水平,结果表明我国上市商业银行的整体信用状况良好,其中股份制商业银行违约风险最小,传统国有商业银行违约风险相对较大,而地方性商业银行违约风险最大,在此结果之下,文章给出了相应的政策建议。
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| 关 键 词： | KMV模型 商业银行 违约风险 违约距离 |
Empirical research of default risk of Chinese commercial banks based on KMV model |
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| ZHANG Pan-pan,ZHOU Xin-miao.Empirical research of default risk of Chinese commercial banks based on KMV model[J].Science-Technology and Management,2014(4):100-104. |
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| Authors: | ZHANG Pan-pan ZHOU Xin-miao |
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| Institution: | ( Business Faculty, Ningbo University, Ningbo 315211, China) |
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| Abstract: | The default risk evaluation of banks and preventing bank default risk are very important to the stability of the financial system and the public and regulatory authorities. And the evaluation method of the default risk of China＇ s bank is still relatively backward, which mainly includes non-performing asset ratio and capital adequacy ratio. The paper uses the latest risk evaluation model KMV model and through the analysis of default distance comparison of the 16 listed commercial banks of our country to get the level of default risk of China listed commercial banks. The result indicates that the default risk of China＇ s joint-stock commercial bank is minimum while the endemic commercial bank default risk is maximum. At last, The paper gives some policy suggestions based on the results. |
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| Keywords: | KMV model commercial banks default risk default distance |
| 本文献已被 CNKI 维普 等数据库收录！ |
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