违约距离视角下的开发性金融信用风险评估

A Reserch of Measuring the Developmental Financial Credit Risk in the Perspective of Default Distance

基于现代期权理论,依据开发性金融机构投资对象(以武钢为例)在资本市场的信息、财务报表及宏观经济信息等数据,考量将KMV违约距离引入logistics回归评估违约概率,并以CPV理论校验模型的适用性。结果显示,在2007—2010年受经济危机影响,武钢违约概率较高,财务状况不尽理想,经2010年股权改革和宏观经济状态的好转,武钢的财务状况明显好转,修正后模型预测结果与武钢年度报表高度吻合,表明修正模型的有效性。

Based on the theory of modern option, according to the datas such as information in the capital market,financial statements and macro economic information of WISCO which is invested by developmental financial institution, this article introduces KMV default distance into logistic regression to assess the default probability,and verifies the applicability of the model based on the theory of CPV.Research results show that the default probability is higher and the financial situation is not ideal when WISCO faced the economic crisis during 2007 to 2010, however after the equity reform of 2010 and improvement of the macroeconomic condition, WISCO＇s financial situation improved markedly.The revised model predictions coincides with the annual statements of WISCO highly, which indicates the validity of this revised model.