| 基于SV-KMV模型的信用风险度量研究 |
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| 引用本文： | 王新翠,王雪标,周生宝.基于SV-KMV模型的信用风险度量研究[J].经济与管理,2013(7):59-66. |
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| 作者姓名： | 王新翠 王雪标 周生宝 |
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| 作者单位： | [1]东北财经大学数学与数量经济学院,辽宁大连116025 [2]山西大同大学数计学院,山西大同037009 |
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| 基金项目： | 国家自然科学基金项目（71273044）;教育部人文社会科学项目（09YJA790028） |
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| 摘 要： | KMV模型是度量信用风险的主要模型,股权价值波动率是KMV模型的重要参数,应用改进KMV模型GARCH-KMV模型与SV-KMV模型对中国上市公司信用质量的实证研究表明:股权价值波动与KMV模型的结果违约距离高度负相关;GARCH-KMV与SV-KMV模型均能度量上市公司信用状况,但SV-KMV模型比GARCH-KMV模型度量效果更好。
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| 关 键 词： | 信用风险 KMV信用风险模型 违约距离 GARCH模型 SV模型 |
Credit Risk Empirical Research Based on SV-KMV Model |
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| Wang Xincui,Wang Xuebiao,Zhou Shengbao.Credit Risk Empirical Research Based on SV-KMV Model[J].Economy and Management,2013(7):59-66. |
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| Authors: | Wang Xincui Wang Xuebiao Zhou Shengbao |
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| Institution: | 1,2(1.School of Mathematics and Quantitative Economics,Dongbei University of Finance and Economics,Dalian 116025,2.College of Mathematics and Computer Science,Shanxi Datong University,Datong 037009,China) |
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| Abstract: | The KMV model is the main model of credit risk measurement,and the value of equity volatility is the most important variables which affect the results of the KMV model.So,it is important for improving the accuracy of KMV model to calculate the value of equity volatility exactly.The research indicates that the value of equity volatility and KMV model results highly negative correlation distance to default;Comparing GARCH-KMV model with SV-KMV model,we prove the SV-KMV model is better than GARCH-KMV model from several different angles. |
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| Keywords: | Credit risk KMV model Default distance GARCH model SV model |
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