中国上市公司动态违约概率研究——基于KMV模型的实证检验

Research on dynamic default probability of listed companies in China:empirical test based on KMV model

为测算中国上市公司的违约概率,在KMV模型的框架下,分别以我国A股市场上非ST上市公司和ST上市公司的数据作为样本,采用GARCH方法计算得出上市公司股价的隐含波动率,进而利用期权定价公式得到动态化的违约距离和违约概率的理论值,并通过对计算结果和理论假设的实证检验得出国际金融危机对中国上市公司信用风险有显著影响的结论,同时也发现KMV模型的理论假设存在不符合中国实际情况的若干现象,最后提出进一步研究的方向。

In order to measure the default probability of listed companies in China,the data of non-ST-listed companies and ST-listed companies in the A-share market of China are selected as sample based on KMV model framework.The implied volatility of share price of listed companies is calculated by applying GARCH method,and the theoretical value of dynamic default distance and default probability are acquired with the option pricing formula.Conclusion is drawn that international financial crisis has significant influence on the credit risk of listed companies in China through empirical test of calculating result and theoretical hypothesis,and that the theoretical hypothesis of KMV model dos not accord with the actual situation in China on some aspects.The direction of further research is proposed at last.