基于KMV模型的恒大集团的信用风险评估研究

Research on Credit Risk Assessment of Evergrande Group Based on KMV Model

房地产行业“三道红线”政策的出台,对房地产企业融资依然保持严监管态势,恒大集团因“踩线”和债务危机的爆发,使投资者和购房者等对其信用风险水平产生疑虑。利用恒大集团2019年7月—2021年7月的财务数据和股票交易数据,运用KMV模型对恒大集团的信用风险进行了度量,实证结果发现恒大集团的违约概率较大,其评级根据标准普尔信用评级表进行划分为CCC+,存在较高的信用风险。恒大集团要化解和防范信用风险,需要债务重组,改善资金流动性、树立良好的信用风险意识并加强财务管理。

With the introduction of the“three red lines”policy in the real estate industry,the fi nancing of real estate enterprises remains in strict supervision.Due to the"stepping on the line"and the outbreak of debt crisis,Hengda Group has caused investors and buyers to have doubts about its credit risk level.Using the fi nancial data and stock trading data of Evergrande Group from July 2019 to July 2021,the credit risk of Evergrande Group is measured by KMV model.The empirical results show that Evergrande Group has a high probability of default,and its rating is classifi ed as CCC+according to the Standard&Poor's Credit Rating Table,which has a high credit risk.To resolve and prevent credit risks,Hengda needs debt restructuring,improve capital liquidity,establish a good awareness of credit risks and strengthen fi nancial management.