摘要
KMV模型是现代信用风险度量的重要模型,因其能灵敏反映上市公司信用状况,被广泛应用于上市公司信用风险评估。由于上市公司所处的行业不同,使用KMV模型度量信用风险时要根据上市公司所在的行业特点对KMV模型进行修正。利用我国上海证券交易所上市的147家上市房地产企业2009-2016年的数据,通过穷举法得到适合我国上市房地产企业的违约距离,使用新的违约距离对我国上市房地产企业信用违约风险的预测效果好于KMV公司给出的违约距离,提高了预测我国房地产上市企业信用风险的能力,对我国上市房地产企业信用风险度量进行了有益的补充。
KMV model is an important modern credit risk metrics model which can reflect the credit status of listed companies flexibly and dynamically. It has been widely used to evaluate credit risks of listed companies around the world. Due to listed companies in different industries have different features,when we use KMV model to measure Chinese listed real estate companies credit risk,the KMV model is needed to amend to suit for Chinese listed real estate companies. In this paper,we use the data of 147 listed real estate companies of Shanghai Stock Exchange from 2009 to 2016,through method of exhaustion to get the default distance of Chinese listed real estate companies. We compared the result of new default distance with KMV default distance and found the new default distance is better than KMV default distance in measurement of Chinese listed real estate companies credit risk. The new default can effectively measure Chinese listed real estate companies credit risk and is an useful supplement to current credit risk measurement.
作者
王慧
张国君
WANG Hui,ZHANG Guo - jun(School of Business, Beijing Union University, Beijing 100025, Chin)
出处
《经济问题》
CSSCI
北大核心
2018年第3期36-40,共5页
On Economic Problems
基金
北京市属高等学校人才强教计划资助项目(PHR201108382)
作者简介
王慧，博士，北京联合大学商务学院副教授，研究方向：国际金融及风险管理;张国君，北京联合大学商务学院，研究方向：金融风险管理。
