基于KMV模型的我国上市公司信用风险研究

在KM V框架的基础上对股权价值计算方法进行了改进,通过改进后的方法,计算出1999年至2006年各年所有上市公司的违约距离、理论违约率、企业价值、股权价值等指标数据.从分析的结果来看,上市公司规模对信用风险有一定影响,上市公司规模越大,信用风险越小,公司规模越小,信用风险越大.从违约风险的变化情况看,2003—2006年上市公司的违约距离呈下降态势,说明近年来上市公司的违约风险加大.对比沪深300上市公司股改前和股改后信用状况,发现股改前后信用状况有显著不同,股改后上市公司的违约风险变大.通过违约距离的敏感性分析,认为股权价值波动率对违约距离最敏感.

An Empirical Study of the Credit Risk of Listed Corporation in China Based on the KMV Model

By improving measurement of equity value based on KMV model,the paper calculates the Distance to Default、 company value、equity value of listed Companies in China from 1999 to 2006,etc.According to the analysis,the size of listed company affected credit risk: The bigger the scale of listed company,the lower the credit risk will be;The Distance to Default showed a downward trend from 2003 to 2006.It means the credit risk increased in recent years.By Contrasting 300 listed companies in Shanghai and Shenzhen stock market before and after Equity Division Reform,we discover that credit situation has significantly difference before and after Equity Division Reform.Listed companies have higher credit risk after Equity Division Reform.The sensitivity analysis shows that the volatility of shares value is most sensitive to Distance to Default.