我国共享经济企业信用风险度量的案例分析——基于KMV修正模型的实证研究

共享经济模式如今已成为城市居民不可或缺的一种生活方式,这种创新经济模式所蕴含的信用风险也成为社会公众热议的话题.针对现有标准KMV信用风险模型无法处理"尖峰厚尾"数据的不足之处,引入了GARCH、EGARCH和TARCH三种模型计算股权价值的波动率,不仅解决了收益率序列非正态分布的问题,而且在ARCH LM检验都通过的条件下,进一步得到了共享单车企业永安行的信用违约风险值.结果表明共享经济企业信用预期违约概率(EDF)相对其他一些传统行业都要高出许多,并基于模型的结论提出了具有针对性的对策建议.

A Case Analysis on Credit Risk Measurement of Chinese Sharing Economy Enterprises:Empirical Research Based on KMV Modified Model

Nowadays, the sharing economy has become an indispensable lifestyle for urban residents. Meanwhile, the credit risk contained in this innovative economic model has also become a hot topic among the public. In view of the existing standard KMV credit risk model is unable to process "rush thick tail" of data deficiency, introduces GARCH and EGARCH and TARCH model calculation value of equity volatility, solved the problem of non-normal distribution yield sequence. By conditions in the ARCH LM test, further get the credit default risk values of the sharing economy enterprise YOUON. The results show that the EDF value of sharing economy enterprise is much higher than that of other traditional industries, and puts forward targeted countermeasures and Suggestions based on the model conclusion.