| 基于KMV-Merton模型的上市公司信用风险度量研究 |
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| 引用本文： | 于海波. 基于KMV-Merton模型的上市公司信用风险度量研究[J]. 价值工程, 2011, 30(31): 7-8 |
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| 作者姓名： | 于海波 |
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| 作者单位： | 广东省电力设计研究院,广州,510663 |
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| 摘 要： | 本文结合KMV-Merton模型,对上市公司信用风险度量方法进行比较研究。首先,求得权益收益的条件标准差;其次,通过改进的迭代过程估计KMV-Merton模型中不可观测的资产市值和波动率,进而根据预期违约概率评估上市公司的信用状况,并对两类模型分别得到的违约距离进行了比较分析。
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| 关 键 词： | KMV-Merton模型 上市公司 隐含波动率 |
Credit Risk Analysis of Tourism Listed Companies Based on KMV-Merton Model |
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| Yu Haibo. Credit Risk Analysis of Tourism Listed Companies Based on KMV-Merton Model[J]. Value Engineering, 2011, 30(31): 7-8 |
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| Authors: | Yu Haibo |
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| Affiliation: | Yu Haibo(Guangdong Electric Power Design Institute,Guangzhou 510663,China) |
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| Abstract: | This paper comparatively analyses the credit risk model to listed company combined with KMV-Merton model.Firstly,it gets the equity return's conditional standard volatility;secondly,estimates the latent marketing value and volatility in KMV-Merton model through improved iteration process,then evaluates the credit situation according EDF,and comparatively analyses two of default of distance got from two kind of model. |
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| Keywords: | KMV-Merton model listed companies implied volatility |
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