发行债券的上市公司信用风险度量研究

在对KMV模型进行参数修正的基础上,利用MATLAB算出制造业中发公司债的上市公司信用级别"高"和"低"两组的违约距离,结果信用级别"高"的一组违约距离均值显著大于"低"的一组,表明该KMV模型能较好地区分发行公司债的上市公司信用风险;对上市公司按行业分析,可得房地产行业违约距离均值相对较低,信用风险较高;对违约距离进行敏感性分析,可得股权价值波动率对违约距离最敏感。

Credit risk measurement of corporate bond issuers

At present,the bond market in China still has dramatic features of planned economy system.Although there are not enough cases and data about credit risk of corporate bonds default,it needs to prevent relevant credit risk.Based on the modified KMV model,MATLAB is used to calculate the default distances(DD) of two group corporate bond issuers with high and low credit ratings in the manufacturing industry.The empirical result indicates that the average default distance of the high credit rating group is larger than that of the low group.The result also shows that the average DD of the real estate industry is relative low and it faces more risk than other industries.Meanwhile the sensitivity analysis shows that the volatility of shares value is most sensitive to default distance.