| 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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| 引用本文： | 刘迎春.不同行业上市公司信用风险比较研究——KMV模型及其应用[J].河北职业技术学院学报,2011(4). |
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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; |
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| 基金项目： | 辽宁经济社会发展项目(2011lslktjjx-21) |
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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 Empir ical Study of the Credit Risk of Listed Corporation in China from Different Trades Based on the KMV Model |
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| LIU Ying-chun.An Empir ical Study of the Credit Risk of Listed Corporation in China from Different Trades Based on the KMV Model[J].Journal of Hebei Polytechnic,2011(4). |
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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 D istance to Defaul of all the companies from 2007to 2009.It obtains the conclusions that he KMV model can not only identify th... |
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| Keywords: | listed company credit risk KMV model distance to default |
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