摘要
本文立足于发债主体的特殊性,将属于普通非上市企业和城投性质两种属性的衡量要素结合起来,利用改进的KMV模型,针对同一家公司的两种不同属性分别计算出其对应的违约距离,之后将这两个变量与其他财务指标共同作为Logistic模型的自变量进行回归,并得出结论。本文运用30家类平台企业进行实证研究,得到最终的违约概率,与企业的最新主体评级对比,从整体上来看,改进后的混合模型衡量类平台企业的风险能力相对可观,且具有一定的前瞻性。
In this paper, I established an improved hybrid model combining the attribute measure factors of ordinary private en- terprise and municipal companies. At first, we use developed KMV model to calculate the default distance based on non-listed enterprise property of the enterprise, and then we get the amount and expected possibility of violation depending on the city-in- vesting characteristic of the targeted company. In the end, I combine the two characteristics of Quasi-municipal companies to- gether and adds it into the model with other financial indexes to run the Logistic regression model and get conclusion.In this paper, I conduct an empirical analysis over 30 Quasi-municipal enterprise to get the default probability, and compare the results with the latest main rating of the enterprises.Generally speaking,the improved mixed model has a relatively strong ability to judge the risk, and is a forwarding-looking model.
出处
《投资研究》
CSSCI
2017年第1期146-159,共14页
Review of Investment Studies
作者简介
中国人民大学财政金融学院，教授
王星祺：中国人民大学财政金融学院，硕士研究生。
