用违约距离判别信用风险:一个实证研究

本文选取了在中国A股市场上市的4家具有一定代表性的ST公司和4家对照公司，并通过计算从2003年到2005年的静态违约距离和不变增长率假设下的违约距离，发现后者比前者具有更好的判别能力；同时对影响违约距离大小的输入变量进行了敏感性分析，发现违约距离对股票收益波动率的变化最为敏感，因而精确计算波动率是关键。

Using the Distance to Default to Identify Credit Risks: An Empirical Study

Using the data of selected firms listed in Chinese stock markets, including four ST firms and four contrastive firms, the authors calculate the distance to default both under the hypotheses of static assets value and assets value with a constant growth rate during the period from 2003 to 2005, and find that the latter indicator outperforms the former. We also investigate the sensitivity of the distance to default and find that it is highly sensitive to the volatility on the stock returns.