KMV模型对我国上市公司信用风险度量的实证研究

信用风险已成为当今金融市场的重要风险。随着金融市场许多新情况和新问题的出现．建立新的适用我国信用风险管理水平的度量模型显得十分重要。本文针对我国特有的经济环境，运用并修正KMV模型，基于市场价格变动信息评价我国证券市场上绩优公司与绩差公司的信用风险．通过实证来检验模型识别上市公司信用风险的能力，结果表明该模型能较好的识别这两类公司的信用风险，最后对我国建立信用风险管理体系提出政策建议。

An Empirical Study of China's Listed Companies' Credit Risk Measurement by KMV Model

Credit risk have been the most import problem of money market now.With more and more problems＇ appearing ,creat a new and suitable modle to measure ehina＇s credit risk management become important.In this paper, in connection with China＇s unique economic environment, KMV model was used and corrected, based on market price changes Information and evaluation of blue chip companies and underpefformance company＇s credit risk of China＇s stock market, Identify the listed companies＇ability that manage with credit risk by evidence test.and the result show that KMV model can identify the risk well. Finally, there＇s some recommendations for the establishment of credit risk management system of China＇s policy.