基于KMV模型的违约点修正和实证研究

发布时间：2018-07-20 11:48

【摘要】：KMV模型作为国际金融界最为流行的信用风险评估模型之一,是信用衍生品定价理论体系中重要工具。其利用Black-Scholes期权定价公式,根据企业股权的市场价值及其波动性、到期时间、无风险借贷利率及负债的账面价值估计出企业资产的市场价值、资产价值的波动性。根据KMV模型理论,企业的违约率是由企业价值与违约点的距离决定的,其中违约点计算的经验公式由KMV公司给出。本文以KMV模型为基础,以我国上市公司为研究对象,通过挖掘财务报表信息,对各公司债务结构进行分析,依据破产法中对偿债顺序规定以及从企业角度考虑债权对自身偿债压力的大小,重新划分获得三类债权数据,并以三类资产负债率为自变量,以违约时企业价值与资产总额之比为因变量进行拟合,消除公司规模间差异,从而获得适用我国上市公司违约点计算的一般公式,通过对比公式中变量系数发现,系数大小次序与三类负债对公司的偿债压力大小次序一致。并通过对比被特殊处理上市公司与普通公司违约距离,得到显著差异,得出公式对违约点能够有效测算的最终结论。本文结合上市公司披露的务报表中负债的数据,考虑各项法律法规对债权人合法权益和债务人应负义务的规定,剖析负债结构对公司违约率发生的影响,挖掘报表信息所反映出的企业信用违约风险。同时以我国上市公司样本数据为基础,对其进行了实证研究,得出违约点计算公式有效可行。
[Abstract]:As one of the most popular credit risk assessment models in international financial circles, KMV model is an important tool in the pricing system of credit derivatives. By using Black-Scholes option pricing formula, the market value of enterprise assets and the volatility of assets value are estimated according to the market value and its volatility, maturity time, risk-free lending interest rate and book value of liabilities. According to the KMV model theory, the default rate is determined by the distance between the enterprise value and the default point, and the empirical formula for calculating the default point is given by KMV Company. Based on the KMV model, this paper analyzes the debt structure of the listed companies by mining the information of the financial statements, taking the listed companies of our country as the research object. According to the order of payment in bankruptcy law and considering the pressure of creditor's rights on its own from the angle of enterprise, the author reclassifies three kinds of data of creditor's rights, and takes the three kinds of asset-liability ratio as independent variables. Taking the ratio of enterprise value and total assets as dependent variable to eliminate the difference between company size, the general formula for calculating the default point of listed companies in China is obtained. The coefficient of variables in the comparison formula is found. The order of coefficient size is consistent with the order of debt repayment pressure of the three types of liabilities on the company. By comparing the distance between the listed company and the ordinary company, the paper obtains the significant difference, and draws the final conclusion that the formula can measure the default point effectively. Based on the data of liabilities disclosed by listed companies, considering the provisions of various laws and regulations on the legitimate rights and interests of creditors and the obligations of debtors, this paper analyzes the influence of debt structure on the rate of corporate default. Excavate the enterprise credit default risk reflected by the report information. At the same time, based on the sample data of the listed companies in China, the empirical study is carried out, and the formula of calculating the default point is effective and feasible.
【学位授予单位】：大连理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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