基于EVA的信用风险度量模型修正设想

The Reflections on the Modification of Credit Risk Measurement Model Based on EVA

通过对现代信用风险度量模型的梳理发现,KMV模型适用于企业集团内部信用风险的度量。但由于当前上市公司居多,KMV对非上市公司信用风险的度量存在一定的局限。对EVA进行梳理和将EVA估价法与FCFF估价法进行比较得出,在KMV模型中用EVA指标去替代股价后能更好地应用到对企业集团内部非上市子公司信用风险的评价。

Combing through the modern credit risk measurement models, we find that KMV model is suitable for the enterprise group internal credit risk measurement, and due to the current in the majority of listed companies, the private company credit risk measurement has certain limitations. Sorted out in this paper, the EVA and the EVA valuation method comparing with FCFF valuation method that use EVA index to replace the share price in the KMV model can be appropriately applied to the subsidiary of private enterprise group internal credit risk evaluation.