基于修正KMV模型的中小板上市企业信用风险研究

发布时间：2018-01-05 05:20

本文关键词：基于修正KMV模型的中小板上市企业信用风险研究　出处：《南京财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：本文主要运用KMV模型来对中小板上市企业的信用风险进行定量评估。一方面通过对实证结果的对比和分析，验证KMV模型在度量我国上市公司信用风险时的适用性；另一方面，为中小企业信用风险状况不佳，以及融资难等问题提供经验上的证据。中小企业融资难是困扰全球的一个难题。事实上，对于那些信用质量较高的中小企业，银行等金融机构应该给予资金支持，而信用风险较大的企业，应该密切关注其信用风险的变化，有效控制信贷风险。所以，对中小企业的信用风险进行度量就显得尤为必要。在本文中，我们在KMV模型的基础上，通过对参数的调整，建立了一个修正的KMV模型来度量我国上市中小企业的信用风险。为了能有效估计信用风险的大小，首先，我们设置了两组参考样本：即因财务状况受到特别处理的ST公司和经营业绩优良的蓝筹股。将ST公司，中小板上市公司以及蓝筹股公司的信用风险指标作比较，来检验KMV模型在度量中小板上市企业信用风险时的有效性和稳健性。其次，，与前人研究不同的是，本文还考虑了信用风险与企业资产负债比之间的关系。经过多重检验，实证结果证明，参数修正后的KMV模型能够有效识别上市中小企业的信用风险。模型的稳健性得到证实，并且实证的结果与现实的情况是一致的。我们发现修正后KMV模型预测的精确性，随着上市中小企业违约点的变化是稳定的，这与来自西方国家数据的KMV公司的结果是不同的。总体来看，在样本期间内我国上市中小企业的信用状况是比较差的，违约距离DD在0到0.7之间变化。与非ST公司以及蓝筹股相比较，ST公司的违约距离更小，所以ST公司更容易违约。通过与蓝筹股以及ST公司的比较，我们设置了一个信用风险警戒线。研究结果表明，我国上市中小企业的信用风险是比较大的，其违约距离非常靠近ST公司。当公司的违约距离低于0.1时，就应该引起企业的警觉，并采取相应的风险控制措施。本文的结果还发现，企业的资产负债比率对信用风险的影响较为显著。违约距离与资产负债比率呈正相关关系，这也是本文得到的结果与先前研究的不同之处。
[Abstract]:This paper uses the KMV model to quantitatively evaluate the credit risk of listed companies in small and medium - sized enterprises . On the one hand , we prove the applicability of the KMV model in measuring the credit risk of listed companies in China . On the other hand , it is a difficult problem to plague the global financial institutions . In fact , the enterprises with higher credit quality should pay close attention to the change of credit risk and effectively control the credit risk . Therefore , it is especially necessary to measure the credit risk of small and medium - sized enterprises . Based on the KMV model , we establish a modified KMV model to measure the credit risk of listed small and medium - sized enterprises in China . In order to effectively estimate the size of credit risk , we set up two sets of reference samples : ST company specially treated for financial situation and blue chips with excellent operating performance . The empirical results show that the KMV model after parameter correction can effectively identify the credit risk of the small and medium - sized enterprises listed in the market . The results of the model are consistent . We find that the credit status of the listed small and medium - sized enterprises in China is relatively poor and the default distance DD varies from 0 to 0.7 . The results show that the credit risk of the listed small and medium - sized enterprises in China is relatively large , and the default distance is very close to ST company . When the default distance of the company is less than 0.1 , the company ' s vigilance should be caused , and corresponding risk control measures should be taken . The results of this paper also find that the ratio of assets and liabilities of enterprises has a significant impact on the credit risk . The default distance is positively related to the ratio of assets and liabilities , which is also the difference between the results obtained in this paper and the previous study .

【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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