KMV模型中资产价值增长率的修正研究

Empirical Study on Revising Growth Rate of Asset Value in KMV Model

本文基于期权定价理论和债券定价理论,采用KMV模型法对我国上市公司的信用风险度量进行了理论研究和实证分析。并从企业价值的本质出发,以不同指标代替资产价值增长率,对KMV模型进行修正。实证结果表明,修正后的KMV模型识别违约样本的能力增强,且以每单位平均资产的营业总收入增长率代替资产价值增长率时,识别能力最强。

Based on the option theory and the bond pricing theory,this study is conducted to do theoretical research and empirical analysis in credit risk measurement of China's listed Company by the model of KMV.And starting from the essence of enterprise value,replace the growth rate of asset value with different index,and modify the KMV model.The empirical results show that the recognition capacity for the default sample of the KMV model after correction increases,and the capacity is strongest when replace the growth rate of asset value with the increment per average asset of total operating revenue.