中国上市公司违约风险的测量及决定因素

The Measurement and Determinants of Default Risk in China’s Listed Companies

上市公司的健康发展对于资本市场的正常运作至关重要,其中尤为重要的是上市公司违约风险的度量问题。本文利用中国上市企业数据,采用KMV模型估算企业的违约风险,将其与中国市场的ST(specialtreatment,特别处理)制度相结合,从识别和预测两个角度考察KMV模型所测度的违约风险与中国市场的ST制度的相合性。本文的实证结果表明,采用KMV模型所测度的违约风险在被特别处理的上市企业和正常企业之间存在显著区别。更重要的是,KMV模型能够有效地预测中国上市企业的违约风险。这两方面的证据一致表明,KMV模型在测度中国上市企业的违约风险上是有效的,能够运用KMV模型来预警中国上市企业的违约风险。本文还进一步研究了KMV模型所测度的违约风险的决定因素,得到了更加方便观测的违约风险预警指标。

The sustainable development of listed companies is important to the operation of capital market.Therefore,how to measure the default risk of listed companies becomes a core issue.Based on KMV model derived from the Black-Scholes option pricing framework,this paper calculates the distance to default of listed companies in China.The result shows that the distances to default of ST companies are significantly larger than those of non-ST companies.More importantly,we find that KMV also helps forecast the default risk of listed companies,suggesting that KMV model can accurately identify the default risk of listed companies in China’s capital market.Finally,we analyze the determinants of default risk in China’s listed companies.