KMV模型评估暂停上市公司信用风险的实证研究

An Empirical Study on the Application of KMV Model to Credit Risks Evaluation of Suspended Listings

选取上证、深证A股32家2010年暂停上市公司作为高违约风险企业的样本,按照公司运营状况将其特殊处理前的5年划分为"健康期"和"风险期",运用KMV模型并引进GARCH(1,1)对模型参数进行更高精度的估计,计算出违约距离。结果表明该模型能有效判别违约风险,公司所处时期对违约距离有显著影响,并计算出违约警戒区间。

32 suspended listings in 2010 from SH and SZ Stock Exchange are selected as highly probable default companies.The five years before special treatment from them are classified into two categories：healthy operation period and risky period.KMV model with improvement of GARCH（1,1） is applied to calculate the Distance to Default（DD）.Analysis suggests that KMV model is efficient in evaluating default,and company period has significant impact on DD.It also provides with confidence the interval of default.