本文關(guān)鍵詞：基于KMV模型的公司信用風險實證研究　出處：《山東大學》2014年碩士論文　論文類型：學位論文

  更多相關(guān)文章： KMV模型 信用風險 違約距離 違約率

【摘要】：隨著市場的發(fā)展和金融業(yè)的擴張,“信用風險”因其傳染性和可控性等特殊性質(zhì),對一個企業(yè)的生存和發(fā)展起著極大的制約作用,尤其是近年來,隨著新的金融工具的迅速發(fā)展,人們對信用風險在可利用性和可預測性的要求越來越高。為了滿足市場的需求,我們應當對信用風險進行更加精確的分析和更為精準的預測。 如今,人們越來越多的意識到,利用數(shù)學工具尤其數(shù)學建模對信用風險進行量化分析具有很好的前瞻性和實用價值,這也是目前市場發(fā)展的主流趨勢,它的發(fā)展給風險控制方向帶來了革命后的改變,也讓我們對違約等信用風險有了更為敏感的感知力。 在現(xiàn)行的幾個主流模型中,KMV模型因為其對市場的貼合度高,預測性好等優(yōu)勢,較為精準的反應了信用風險的變動,能將可能出現(xiàn)違約的公司用數(shù)據(jù)的方式真實顯露出來,給投資者提供更好的參考意見,越來越受到行業(yè)的關(guān)注。 本文套用了國外機構(gòu)定義的KMV模型,但主旨傾向于利用模型研究國內(nèi)不同情況的公司的信用風險。利用的是諸家上市公司的股票價格.財務報表等信息,得到了公司信用風險和違約率的具體刻畫,并通過數(shù)據(jù)間的比較和整理,得到以下三個基本結(jié)論： 1、通過對KMV模型的實證研究,證實了KMV模型在我國市場中的有效性和可實用性。 2、通過對公司間資產(chǎn)狀況和違約距離的比較,發(fā)現(xiàn)公司資產(chǎn)規(guī)模和違約距離間有正相關(guān)關(guān)系。 3、通過對不同行業(yè)公司間資產(chǎn)狀況和違約距離的比較,發(fā)現(xiàn)同行業(yè)的違約距離在一段時間內(nèi)的變化趨勢有一定相似性,得出違約距離與行業(yè)屬性有關(guān)的結(jié)論。 根據(jù)以上三條結(jié)論,本文有一下建議： 1.建議各公司尤其是金融業(yè)公司加強對KMV模型的應用,更好的預測風險、規(guī)避風險。 2.建議公司投資行業(yè)多元化,對大中小型企業(yè)的投資合理分配,避免因投資過于集中而出現(xiàn)巨大損失。 3.建議政府加大對中小型企業(yè)的扶持力度,保障中小型企業(yè)健康發(fā)展。另外,本文還簡要介紹了KMV模型的一些改良方案和幾個更精確的計算方法,以備讀者參考。
[Abstract]:With the development of the market and the expansion of the financial industry, "credit risk", because of its special nature of infectivity and controllability, plays a great role in restricting the survival and development of an enterprise, especially in recent years. With the rapid development of new financial instruments, the demand for the availability and predictability of credit risk is becoming higher and higher in order to meet the needs of the market. We should make more accurate analysis and forecast of credit risk. Nowadays, more and more people realize that the quantitative analysis of credit risk with mathematical tools, especially mathematical modeling, has a good forward-looking and practical value, which is also the mainstream trend of market development. Its development not only changes the direction of risk control after revolution, but also makes us more sensitive to credit risk such as default. In the current several mainstream models KMV model because of its high adhesion to the market good predictability and other advantages more accurate response to the changes in credit risk. The ability to expose companies that might default in the form of data, providing investors with better advice, is getting more and more industry attention. This paper applies the KMV model defined by foreign institutions, but the purpose of this paper is to use the model to study the credit risk of companies in different situations in China, and to use the stock price, financial statements and other information of listed companies. The specific description of corporate credit risk and default rate is obtained, and through the comparison and collation of the data, the following three basic conclusions are obtained: 1. The validity and practicability of KMV model in Chinese market are verified by the empirical study of KMV model. 2. By comparing the asset status and default distance between companies, we find that there is a positive correlation between asset size and default distance. 3. By comparing the asset status and default distance between different industries, it is found that the variation trend of default distance in the same industry is similar over a period of time. The conclusion that the distance of breach of contract is related to the property of the industry. According to the above three conclusions, this paper has the following suggestions: 1. It is suggested that companies, especially financial companies, should strengthen the application of KMV model to better predict risk and avoid risk. 2. It is suggested that the company should diversify its investment industry and allocate its investment to large, medium and small enterprises so as to avoid huge losses due to excessive concentration of investment. 3. It is suggested that the government should strengthen the support to small and medium-sized enterprises to ensure the healthy development of small and medium-sized enterprises. In addition, this paper also briefly introduces some improved schemes of KMV model and several more accurate calculation methods. For the reader's reference.
【學位授予單位】：山東大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F224;F832.51

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本文編號：1423842