我国上市企业基于KMV模型的实证研究

发布时间：2018-01-09 14:23

本文关键词：我国上市企业基于KMV模型的实证研究　出处：《烟台大学学报(哲学社会科学版)》2017年04期 　论文类型：期刊论文

更多相关文章： 上市企业 KMV 金融风险 违约距离

【摘要】：KMV模型是由Black Scholes和Merton于1993年提出的基于期权定价理论的信用风险度量模型。通过利用KMV模型对我国上市企业进行分析,计算得出十家ST公司和十家同行业相似规模的非ST公司的违约距离,根据计算结果得出ST公司的违约距离小于非ST公司,因而ST公司的金融风险更大,另一方面也证明了KMV模型对我国金融市场研究的现实意义。此外,除ST与非ST公司的违约距离不同之外,不同产业、不同企业规模之间的违约距离也存在差异,产业因素的违约距离更大,因此产业因素对我国上市公司金融风险的影响更大,而企业规模因素对风险的影响则较小。
[Abstract]:The KMV model is made up of Black. In 1993, Scholes and Merton put forward the credit risk measurement model based on option pricing theory. Through the use of KMV model to analyze the listed enterprises in China. The default distance of ten St companies and ten non-St companies of similar scale in the same industry is calculated. According to the calculation results, the default distance of St companies is smaller than that of non-St companies. Therefore, the financial risk of St companies is greater, on the other hand, it also proves the practical significance of KMV model to the study of financial market in China. In addition, except St and non-St companies, the distance of default is different, different industries. There are also differences in the distance of breach of contract between different enterprises, and the distance of default of industrial factors is greater, so the impact of industrial factors on the financial risk of listed companies in China is greater. But the enterprise scale factor to the risk influence is small.
【作者单位】：山东大学经济研究院;
【分类号】：F224;F832.51
【正文快照】： 自改革开放以来,尽管我国经济开放程度越来越大,但是我国金融市场发展相较于西方国家来说,历史非常短,而我国已成为全世界最大的新兴市场,短暂的历史和庞大的市场也给我国金融市场带来了一些中国特色,比如政府利用行政手段对金融市场工具进行干预,造成金融市场中股票价格等指

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