KMV模型的修正及在我国上市公司信用风险度量中的应用

目前，国内学者在将KMV模型与我国国情相结合的过程中已经取得了一些成果。本文在继承现有研究成果的基础上，对模型加以进一步的修正，不再假定公司资产价值增长率为零，而是以净收益增长率加以表示并且引入到KMV模型中。通过对沪深两市30家ST公司和30家非ST公司的信用风险进行评估检验，结果表明，利用修正后的KMV模型能够较好地识别出非ST公司和ST公司之间信用风险的差别，比较准确地把握上市公司信用质量的变化趋势。

A Modification about the KMV Model and Its Application in Credit Risk Evaluation of Chinese Public Companies

At present, domestic experts have achieved some productions in the combination of KMV model and our national conditions. Based on the current researching achievements, this paper modifies this model furtherly, and the increasing rate is no longer supposed to be zero, but is represented by the increasing rate of net income in KMV model. By evaluating the credit risk of 30 normal companies and ST companies listed in Shanghai and Shenzhen stock markets, the result shows that the KMV model modified can identify the difference of credit risk between normal companies and ST companies well, and knows the change tendency of credit quality in listed companies correctly.