KMV模型在上市银行信用风险测定中的应用

Study on the Application of KMV Model to Measure the Credit Risk of the Listed Banks

作为现代信用风险管理办法之一,KMV模型因具有前瞻性和数据易获得的优点,目前已经成为信用风险管理的主要手段。首先对主要的信用风险度量方法进行综述,然后选取KMV模型对3家上市银行进行分析,并在此基础上进行敏感性分析和多元线性回归分析。

As one of the modern tools on credit measurement, KMV model, with the advantages of prospective, which features the immediate access to data, has become the mainly managerial strategies of credit risk. Based on the reviews of major methods on credit risk management, the credit standing of the three listed banks is analyzed. On the basis, the sensitivity analysis and multivariate regression linear analysis are done.