基于KMV模型的银行信用风险测量

在过去的20年间,信用风险变得更加严重,它的破坏性、不确定性和联动性已经带来了严重的经济损失,并影响到经济体的投资决策和收益。我国金融市场由于缺乏足够的信用数据,直接利用股票市场数据来进行信用风险管理的KMV模型有着广泛的应用前景。本文在详细介绍了KMV模型的理论原理和主要内容的基础上,运用中国股市数据对该模型进行了实证分析。

In the last twenty years, the credit risks in banks have been tecoming more and more serious. Its destruction, uncertainty and linkage has caused serious economic loss and affected the investment deeision and income of the economic entity. Considering the lack of credit date of financial market in china, KMV model, which can directly use data from stuck market to measure credit risk, has extensive application. This paper introduces the principle and main content of the theory, and makes an empirical study on the model.