| 基于KMV模型的上市中小企业信贷风险研究 |
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| 引用本文： | 彭伟.基于KMV模型的上市中小企业信贷风险研究[J].南方金融,2012(3):23-30. |
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| 作者姓名： | 彭伟 |
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| 作者单位： | 华中科技大学经济学院 |
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| 基金项目： | 国家自然科学基金项目《基于高阶矩的DSGE宏观经济政策评价》(课题批准号:71171090);国家社会科学基金项目《博弈视角下的企业投资风险研究》(项目编号:07BJY164)的资助 |
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| 摘 要： | 本文利用改进的KMV模型,对我国上市中小企业2008-2011年的信贷风险进行实证分析,并对改进后的模型进行准确性研究。研究结果表明:上市中小企业资产规模对违约距离的影响具有不确定性,但效果也不明显;股价的波动也会影响到违约距离的大小,且两者的关系是负相关的。改进后的KMV模型计算出的违约距离能很好地对上市中小企业的信贷风险进行度量和判别,实证分析表明:上市中小企业的违约距离近年来呈下降趋势,信贷风险有增大的迹象。
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| 关 键 词： | 风险管理 信贷风险 KMV模型 违约距离 |
Study on Credit Risk of Listed Small and Medium Size Enterprises Based on the Analysis of KMV Model |
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| Peng Wei.Study on Credit Risk of Listed Small and Medium Size Enterprises Based on the Analysis of KMV Model[J].South China Finance,2012(3):23-30. |
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| Authors: | Peng Wei |
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| Institution: | Peng Wei(Economics School,Huazhong University of Science and Technology,Wuhan,430074 China) |
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| Abstract: | This paper uses the improved KMV model to analyze credit risk of listed small and medium size enterprises(SME) of 2008-2011 and studies the accuracy of the improved KMV model.The results show that assets of SME affect default distance,but the effect is not obvious.Fluctuations of stock price also affect the size of the default distance and the relationship between the two is negative correlation.The default distance based on the improved KMV model can be a good measurement for credit risk of SME.And the Empirical result shows that the default distance declines in recent years and the credit risk has become a big trend. |
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| Keywords: | Risk Management Credit Risk KMV Model Default Distance |
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