中国高速公路上市公司信用风险评估

Credit risk assessment of expressway listed company in China

以16家中国高速公路上市公司为样本,研究了金融危机对高速公路经营企业信用风险的影响。运用KMV模型计算了样本公司自2008年下半年至2012年上半年的半年度违约距离及其变化趋势。计算结果表明:在研究区间内,违约距离以20.11%的平均增长率逐步增加,信用风险不断降低,信用风险水平与中国GDP半年度增长率和高速公路板块指数的Spearman相关系数分别为-0.012和-0.381,不存在显著的相关性,信用风险受企业资产市场价值波动率的影响大于流动负债水平的负面影响,中国高速公路上市公司仍然具有较高的投资价值。

In order to research the impact of financial crisis on the credit risks of expressway enterprises, 16 expressway listed companies in China were chose as samples, the half-year default distances of the companies from the second half of 2008 to the first half of 2012 were calculated by using KMV model, and the changing trends of credit risks were analyzed. Calculation result shows that default distance increases with an average growth rate of 20.11%, and the credit risk decreases gradually. The Spearman＇s correlation coefficients between the credit risk and China＇s half-year GDP growth rate and expressway sector index are --0. 012 and --0. 381 respectively, so the inherent correlations are not significant. The influence of the volatility of enterprise＇s market value on the level of credit risk is greater than the negative influence of the level of current liability. Expressway listed company in China still has high investment value. 3 tabs, 6 figs, 13 refs.