利用KMV仿真模型动态监控科技型中小上市公司违约风险

发布时间：2018-02-12 23:07

本文关键词： KMV模型系统仿真科技型中小上市公司违约距离违约概率　出处：《财会月刊》2017年20期 　论文类型：期刊论文

【摘要】：国内外目前尚没有KMV模型的简单计算方法,许多学者只能通过复杂编程来实现KMV的运行。利用Simulink功能模块选择及模块设置可对复杂的KMV模型进行系统仿真集成,通过友好界面利用KMV模型快速计算中小上市公司违约距离和违约概率。选取沪深两市14家ST科技型中小上市公司以及20家非ST科技型中小上市公司进行实验研究,结果表明:发生财务危机后ST科技型中小上市公司与非ST科技型中小上市公司信用风险违约距离存在显著区别;但一般情况下,它们的信用风险违约概率都较低;金融机构可以利用MKV仿真模型对科技型上市公司进行实时动态风险监控。
[Abstract]:At present, there is no simple calculation method of KMV model at home and abroad, many scholars can only realize the operation of KMV through complex programming. The system simulation and integration of complex KMV model can be carried out by using Simulink function module selection and module setting. Through the friendly interface, using KMV model to calculate the default distance and probability of the small and medium-sized listed companies quickly. The experimental study is carried out on 14 St technology small and medium-sized listed companies and 20 non-St technology small and medium-sized listed companies in Shanghai and Shenzhen stock markets. The results show that: after the financial crisis, there are significant differences in the distance of credit risk default between small and medium-sized St technology listed companies and non-St technology small and medium-sized listed companies, but in general, their credit risk default probability is lower. Financial institutions can use MKV simulation model to monitor the real-time dynamic risk of technology listed companies.
【作者单位】：长江师范学院财经学院;湖北文理学院管理学院;
【基金】：湖北省襄阳市科技计划及成果转化项目(项目编号:201612) 长江师范学院科研资助项目(项目编号:20170037)
【分类号】：F276.44;F832.51;N945.13

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