上市公司信用风险的KMV模型分析

Empirical research on credit risk for China's listed companies using KMV model

为研究KMV模型在中国上市公司信用风险定价与度量的适用性问题,选取2004年至2007年260家上市公司的财务指标与股票价格所组成的面板数据,对该模型所揭示的负债资产比、资产波动率和信用风险之间存在的两个内联关系进行实证分析,结果表明:负债资产比与信用风险存在正向关系,资产波动率与信用风险也存在正向关系,得出该模型在对中国上市公司的信用风险定价与度量中具有较高的适用性和精确性的结论。

In order to do research on the applicability of KMV model in China＇s listed companies＇ credit risk pricing and measurement, using the panel data composed of 260 listed companies＇ financial indices and stock prices, an empirical study is made on the two inline relationship derived from KMV model. The empirical results reveal strong evidences for the positive relationship between debt--to--asset ratio and credit risk,volatility of assets and credit risk. Conclusion is drawnthat KMV model is more adaptable and accurate on the aspect of China＇s listed companies＇ credit risk pricing and measurement.