基于KMV模型的中国上市公司信用风险研究

A Research on the Credit Risk of the Chinese Listed Companies Based on the KMV Model

本文利用GARCH模型估计股权价值波动率,用迭代程序估算资产价值及其波动率,以总资产的平均增长率代替资产价值预期增长率,建立了修正的KMV模型。文中对2006年沪深两市80家上市公司的信用风险进行评估检验,结果表明修正后的KMV模型不仅能够较好地分辨出ST公司和非ST公司信用风险的差异,而且能准确地把握上市公司信用质量的变化趋势,至少可提前一年识别上市公司信用质量的恶化。

This paper modifies the KMV model by using the GARCH model to estimate the volatility of the equity value, using iterative process to estimate the asset value and its volatility, and representing the expected increasing rate of the asset value by the increasing rate of the total asset, The paper evaluates the credit risk of 80 companies listed in Shanghai and Shenzhen stock markets, concluding that the KMV model modified can not only identify the difference of credit risk between ST companies and normal companies well, but also indicate the change tendency of listed companies＇ credit quality correctly. The modified KMV model is able to recognize the deterioration of the credit quality one year ahead at least.