违约距离视角下上市公司信用风险度量及预测

Measurement and Forecast of Credit Risk of Listed Companies from the Perspective of Default Distance

随着中国金融市场的不断发展,企业信用风险已成为衡量上市公司经营状况的重要指标。通过分析上市公司的财务指标,选取具有EGARCH效应的股权波动率,建立KMV-Logistic模型计算违约概率,并运用宏观CPV理论对企业违约概率进行修正。实证表明:修正后的模型拟合较好,汇率、储蓄率和企业违约概率呈正向变动,GDP增速和企业景气指数呈反向变动。最后用修正后的模型对企业违约概率作出预测,并提出相关建议。

With the continuous development of China's financial market,corporate credit risk has become an important indicator for measuring the operating conditions of listed companies.By analyzing the financial indicators of listed companies,selecting the equity volatility with EGARCH effect,this paper establishes the KMV-Logistic model to calculate the probability of default,and uses the macro CPV theory to modify the default probability of enterprises.The empirical results shows that the revised model fits well,the exchange rate,savings rate and corporate default probability show positive changes,and the GDP growth rate and enterprise prosperity index show reverse changes.Finally,it uses the revised model to predict the default probability of enterprises and presents relevant suggestions.