基于修正KMV模型的商业银行信用风险度量研究

Research on Credit Risk Measurement of Commercial Banks based on Modified KMV Model

根据中国金融市场的特点,对KMV模型参数的估计与设定方法进行修正。利用修正后的KMV模型,对10家上市公司的信用风险进行评估,并对模型识别和预测信用风险的能力进行检验。结果表明,修正后的KMV模型能够有效地评估中国上市公司的信用风险。并且,商业银行在度量信贷风险时应该充分考虑借款企业所属行业的景气程度,通常行业越景气,行业下所属企业的盈利能力越强,违约发生的概率就越小。

In this paper, we first make adjustments to the estimations and settings of parameters in KMV model.Then, we apply themodified KMV model to evaluate credit risks of Chinese listed companies, and investigate the model＇s ability to identify and forecastcredit risks.Empirical results indicate that the modified KMV model can effectively evaluate credit risks of China＇s listed companies.And when measuring credit risk, commercial banks should fully consider prosperity degree of the industries that the companies belongto.Usually, the better the industry, the bigger the profit of the companies belonging to the industry, the smaller the default of probability.