文档介绍：河北工业大学
硕士学位论文
基于KMV模型的上市公司的信用风险的度量研究
姓名:张雯
申请学位级别:硕士
专业:数量经济学
指导教师:金浩
20081201
河北工业大学硕士学位论文
基于 KMV 模型的上市公司的信用风险的度量研究
摘要
现代市场经济是建立在信用基础上的经济,从某种意义上说市场经济就是信用经济。
在全球信用不断膨胀的背景下,信用风险暴露也越来越严重。信用风险已经成为各国金融
系统所面临的核心风险。如何准确度量信用风险也成为金融机构、投资者、政府监管部门
关注的焦点。信用风险的度量也逐步成为风险研究领域最具挑战性的课题之一。
本文对上市公司的信用风险度量进行了理论研究并以我国上市公司为样本进行了实
证分析。针对中国证券市场股改后的上市公司已经超过 90%,市场对公司价值发现效率的
进一步提高,股价反映公司价值信息进一步增强的实际情况,运用 KMV 模型基于市场价格
变动信息评价我国证券市场上绩优公司与绩差公司的信用风险已比较适合,并通过实证来
检验模型识别上市公司信用风险的能力。研究表明,在现阶段基于期权定价理论的 KMV
违约模型还能很好的应用于我国上市公司信用风险的度量。
关键词:信用风险,上市公司,风险度量
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基于 KMV 模型的上市公司的信用风险的度量研究

A STUDY ON PANY'S
CREDIT RISK MEASUREMENT
BASED ON KMV MODEL

ABSTRACT
Modern market economy is built on the basis of the credit economy, the market economy
is sense of the credit economy. In the ever-growing global credit background, the credit risk
exposure is also more and more serious. Credit risk has e the core risk of the world's
financial institutions, investors and government regulatory focus on how to
accurately measure the credit risk. Credit risk measurement is also ing one of the most
challenging research in the field of the risk area.
In this paper, I carried out theoretical study of the credit risk of panies
measurement and analyzed the samples of China's on China's
securities, more than 90% of panies has been changed ,the market further improved
the efficiency of finding the value of pany, stock prices further enhance reflecting the
information of pany's value on actual conditions, it is appropriate to use KMV model to
evaluate high performers and Low performers of China's securities market based on changes
information of market price, and through empirical testing to test the model’s capacity of
identify the credit risk of pany. Research shows that at this stage, based on options
pricing breach theory ,KMV model also applies well to China's credit risk measurement of
panies.
KEY WORDS: credit