基于KMV模型的制造业上市公司信用风险评价研究

The Empirical Research on Credit Risk of Listed Manufacturing Companies from the View of KMV Model

本文在介绍信用风险度量KMV模型后,根据一定的条件选取42家中国制造业上市公司数据,在对KMV模型的适用性验证的同时,利用ST和*ST公司的财务数据对违约点进行修正,实证分析表明,采用新违约点的KMV模型在中国的适用性和准确性都有所提高。由此得出基于我国证券市场发展的实际情况和行业特性,对KMV模型进行针对性的修正具有实践意义。

This article employes KMV model to measure credit risk of Chinese manufacturing industry 42 listed company data, and finds the KMV model, can measure credit risk of Chinese listed company. This article improves default point of KMV model by using the Chinese ST and ＊ST company＇ s financial data based on the Chinese actual situation and indus- try characteristics. The empirical analysis shows that the new default point of KMV model more accurately measure credit risk of Chinese listed company.