基于KMV模型的适用性研究与应用分析——以A股市场主要过剩产能行业为例

Applicability and Applied Analysis of KMV Model——A Case Study from Main Excess Capacity Industries

本文通过对2007年—2012年钢铁行业和水泥建材行业共45家上市公司的财务数据和股票历史信息的分析,基于KMV模型原理,通过使用Matlab、Excel等软件,实证分析了近几年来上述企业的违约距离,并探讨产能过剩和信用违约之间的关系。实证结果表明,KMV模型适用于钢铁行业和水泥建材行业的信用违约测度,结果符合经济运行形势;同时,上述行业产能过剩并不能直接解释以违约距离表征的公司信用违约风险。

This paper analyzes financial data and historical stock information from the steel and cement building materials industry during 2007 to 2012 through Matlab and Excel tools which is based on the KMV model. And what＇s more,after getting distances to default of the listed companies,this paper then compares and studies the relationship between the distance to default and credit risk. The result shows that The KMV model can also be applied to the steel and cement building materials industry to measure the credit risk. However,it turns an defined connection between excess production capacity and distance to default which represents a company＇s credit risk condition.