基于期权定价理论的中国非上市公司信用风险度量研究被引量：20

Credit Risk Measurement of Chinese Non-listed Companies based on Option Pricing Theory

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摘要基于期权定价理论的非上市公司模型是由穆迪公司旗下的KMV公司开发的针对非上市公司信用风险度量和管理的模型。在介绍非上市公司模型的基础上,根据中国的实际情况对模型进行了初步调整和完善,并利用中国上市公司数据和某国有商业银行非上市公司的信贷数据对非上市公司模型在中国的适用性进行了验证,实证结果表明非上市公司模型在中国具有一定的预测能力,但预测准确率低于欧美国家。 Private firm model is designed by KMV Corp. for measuring and monitoring credit risk of nonlisted companies. This article modifies some methods and details of the model to adapt it to the Chinese situation and utilizes data from Chinese listed companies and some state-owned banks to test the validity of the model in China. The result shows that private firm model has some prediction power, but accuracy is obviously lower than those in developed countries.

作者戴志锋张宗益陈银忠

机构地区重庆大学经济与工商管理学院

出处《管理科学》 CSSCI 2005年第6期72-77,共6页 Journal of Management Science

基金重庆市金融学会课题基金资助项目

关键词非上市公司模型 KMV模型信用风险度量非上市公司期权定价理论中国 Private firm model KMV model Credit risk Non-listed companies

分类号 F830.59 [经济管理—金融学] F279.246 [经济管理—企业管理]

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参考文献15

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