| 修正后的KMV模型对我国上市公司信用风险度量的适用性分析 |
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| 引用本文： | 卢宇荣,谌紫娟.修正后的KMV模型对我国上市公司信用风险度量的适用性分析[J].江西金融职工大学学报,2011,24(1):68-73. |
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| 作者姓名： | 卢宇荣 谌紫娟 |
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| 作者单位： | 江西师范大学财政金融学院,江西南昌,330022 |
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| 摘 要： | 信用风险已成为当今金融市场的重要风险之一。本文试图通过修正KMV模型使之更适用于我国上市公司信用风险度量。通过实证研究对其结果加以分析表明，修正后的KMV模型由于数据采集相对容易，计算操作简便，比较适合目前我国的信用风险管理水平，可用于对我国上市公司信用风险的度量，在我国信用风险管理领域有着广阔的发展空间。
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| 关 键 词： | 上市公司 信用风险 信用风险度量 KMV模型理论 修正后的KMV模型 违约距离 |
Revised KMV Model to Our Listed Companies Analysis of Applicability of Credit Risk Measurement |
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| LU Yurong,CHEN Zijuan.Revised KMV Model to Our Listed Companies Analysis of Applicability of Credit Risk Measurement[J].Journal of Jiangxi Finance College,2011,24(1):68-73. |
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| Authors: | LU Yurong CHEN Zijuan |
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| Institution: | LU Yurong,CHEN Zijuan(Finance Collegial,Jiangxi Normal University,Nanchang,Jiangxi 330022,China) |
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| Abstract: | Credit risk in financial markets has become one of the important risks.By modifing the KMV model,the paper tries to make it more suitable for China's listed companies to apply in the credit risk measurement.Empirical research and analysis of the results indicate that the modified KMV model is more suitable for the Credit Risk Management in China because of its easy data collection and simple computerization.We believe that there will be very good development prospect in our country. |
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| Keywords: | listed companies credit risk credit risk measurement the KMV modle theory the modified KMV modle distance to default |
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