基于KMV模型的我国中小上市公司信用风险研究

An Empirical Study of the Credit Risk of Listed SMEs in China Based on the KMV Model

经过提高股权价值波动率精度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力.中小上市公司违约的可能性大于我国大型企业,信用状况不容乐观,整体信用状况在近3年间表现波澜不惊,到2006年违约风险有增大趋势.通过设定两条信用预警线,来监控中小上市公司的信用危机.资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差.股份分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因。

The KMV model which is improved by increasing the precision of fluctuate rate of stock values is much capable of identifying credit risk for listed small ＆ medium enterprises （SMEs） in China. The probability of default in listed SMEs is much greater than in big enterprise＇s in China. The situation of credit is not optimistic, which have not changed much in latest three years, but the default risk trend to increase in 2006. We supervise and control the credit crisis of listed SMEs by setting two credit warning lines. The result indicate that asset size has a significant impact on credit risk, default risk and asset size are ~ificantly negatively correlated after the year of 2004, and the ability of risk-resisting in small companies whose total assets are less than 300 million yuan is the worst. Non-tradable Shares Reform brings the fluctuations of credit risk in a short time, which is the major reason why the default risk of listed SMEs increased much in 2006.