摘要
针对中国上市公司股权结构及其所处市场环境的特殊性,分别调整KMV模型中股权市值计算和违 约点设定方法。运用KMV模型评价ST(Special Treatment)公司和非ST公司的信用风险,并检验模型识别上 市公司信用风险的能力。结果表明,参数调整后的KMV模型能够提前2年识别上市公司个体的信用风险差 异;提前4年识别上市公司整体上的信用风险变化趋势。
In this paper, a KMV model with adjusted methods of assessing equity value and default point is reconstructed by taking into consideration the particularity of companies' equity structures and market circumstance of China stock market. We use KMV model to evaluate the credit risk of ST(Special Treatment) and Non-ST companies and test its ability to recognize the credit risk. Our results indicate that parameters-adjusted KMV model can discriminate individually the credit risk of public companies two years prior to ST, and recognize on the whole the trend of credit risk of them four years prior to ST.
出处
《系统工程》
CSCD
北大核心
2004年第11期84-89,共6页
Systems Engineering
基金
国家自然科学基金资助项目(70172018)
