摘要
本文探讨适合我国国情的非上市保险公司信用风险动态度量方法。本文对非上市公司信用风险动态度量模型PFM进行改进,采用倾向得分匹配法PSM估计非上市公司资产的市场价值和波动率,计算违约距离,作为信用风险大小的测度。以修正后的PFM模型对我国非上市保险公司进行实证分析,并构建卡方检验分析该模型的适用性和准确性。研究结果表明:改进后的模型对我国非上市保险公司的信用风险度量有一定的评价和预测能力。
The paper discussed suitable and dynamic measurements for credit risks of China＇ s unlisted insurance companies. It modified the Private Firm Model, and adopted the Propensity Score Matching method to evaluate the market value and volatility rate of assets of unlisted companies, and analyzed their Distance to Default. It used the improved PFM model and the chi-square testing to conduct an exponential analysis of China＇ s unlisted companies. The results proved that the improved model did have certain ability to evaluate and predict credit risks of China＇ s unlisted insurance companies.
出处
《保险研究》
CSSCI
北大核心
2016年第7期35-43,共9页
Insurance Studies
基金
国家自科基金项目<风险信息共享背景下的个体风险评估研究>(71303045)
对外经济贸易大学中央高校基本科研业务费专项资金(15YQ09)
中国保险学会研究课题ISCKT2015-N-1-14(15HX158)资助
