“违约潮”背景下的信用风险测度研究

The Credit Risk Measurement under the Background of Default Tide

2018年,受金融去杠杆、脱虚向实、集中兑付等多方作用,我国债券市场违约风险不断释放,债券市场出现“违约潮”。本文基于我国A股市场所有上市公司的财务数据,采用修正的KMV模型测度了上市公司的信用风险水平,并构建违约距离数据库,对各行业整体信用风险进行了测度,认为我国资本市场的信用风险整体可控,有序的债券违约将有助于债券市场建立更加完善的市场估值体系,对市场健康发展具有积极的意义,但未来也要特别注意房地产业、信息技术服务业以及农、林、牧、渔业这三个行业的信用风险,防止爆发系统性风险。

In 2018,under the action of financial deleveraging,shifting from virtual to real and centralized payment,and the"wave of default"occurred in the bond market.Based on the financial data of all listed companies in China's market,this paper adopts the modified KMV model to measure the credit risk level of listed companies,and refers to the database of default distance constructed by empirical results.At the same time,this paper also measures the overall credit risk of various industries it show that the credit risk of China's market is controllable as a whole.Orderly bond default will help the bond market to establish a more perfect market valuation system,which is of positive significance to the healthy development of the market.However,in the future,special attention should be paid to the credit risks of the real estate industry,information technology service industry and agriculture,forestry,animal husbandry and fishery industries to prevent the outbreak of systemic risks.