中国上市公司信用风险度量模型的建立及其有效性验证

The Establishment and Empirical Research on Credit Risk Model of Listed Companies in China

预期违约率是度量上市公司信用风险的主要方法。我们可以借鉴KMV模型的思想并利用豪尔和迈尔斯的方法设计一种基于违约概率模型的内部信用评级体系,建立我国上市公司信用评级模型。该模型既可以利用我国上市公司的基本股票信息计算出的预期违约率,并能真实有效反映上市公司的信用风险质量,同时又不需要使用其滞后繁琐的信用记录和复杂的财务信息,具有很大的简便性。采用的信用风险违约模型对我国上市公司的信用风险度量结果与新华远东的信用评级结果具有显著的一致性,进而证明了该模型的有效性。

Expected default probability is one of important approaches to evaluate the credit risk of listed companies. Based on KMV model and the Hall and Miles methods, this article provide a system to estimate of default probabilities of listed company and to build the credit risk model. The method is simple for it only requires company stocks data, and can reflect the current credit quality of listed company. It avoids lagged credit rating information and other complicated financial data. We give credit rating results of listed company and compare it with Xinhua Far East China Ratings （PI） Results. We find that two results is positive correlation, which prove the efficiency of the model.