基于KMV模型的中国制造业上市公司信用风险评价

经济新常态下，经济增长速度逐渐放缓，但日益重视发展质量。制造业作为资本密集型行业，避免违约风险不仅有利于公司可持续发展，也对降低系统性金融风险起到重要作用。以A股制造业70家上市公司为样本，以2018年10月1日到2019年9月30日为一个计算周期，运用KMV模型实证分析上市公司的股权价值波动率、资产价值波动率、信用违约距离和信用违约概率。结果表明，0.03可以作为制造业上市公司违约概率的临界点，超过0.03则可以判定该公司具有一定的信用风险。同时，将违约概率区间进行划分，划定信用等级。最后针对不同的问题提出解决方案和建议。

Credit Risk Evaluation of Listed Manufacturing Companies in China Based on KMV Model

Under the economic new normal, the economic growth rate gradually slows down, but the quality of development is increasingly emphasized. As a capital-intensive industry, avoiding default risk of manufaturing is not only conducive to the sustainable development of the company, but also plays an important role in reducing systemic financial risks. Taking 70 A-share manufacturing listed companies as samples and October 1, 2018 to September 30, 2019 as a calculation cycle, the equity value volatility, asset value volatility, credit default distance and credit default probability of listed companies are analyzed based on KMV model. The results show that 0.03 can be regarded as the critical point of default probability of listed manufacturing companies, and the company can be judged to have certain credit risk if the default probability exceeds 0.03. At the same time, the default probability interval is divided to delimit the credit rating. Finally, solutions and suggestions are put forward.