KMV模型预测财务危机的实证研究.pdfVIP

KMV模型预测财务危机的实证研究 摘要 自2008年金融危机以来，世界各国陆续传出地雷股之消息，许多大型企业瓦解的 事件也纷纷发生，使得公司债违约情形日益严重。又加之面临经济景气因素、公司治理 或内部控制不良等情形时，只要稍有不慎，逾期放款、各种呆账便因应而起，造成企业 体质不良，这种不良情况不仅会对投资者造成直接损失，若因此被政府接管，将进一步 影响整个经济体系，严重时将形成国内金融危机。因此提高企业信用风险的衡量与管理 亦日趋重要。 本文对国际流行的财务危机预测理论进行了介绍和比较，对KMV 模型的理论基础 和计量方法进行了总结。同时，本文选取在台湾证券交易所上市的台湾企业作为样本， 针对不同违约点的赋值进行实证比较，采用KMV 模型对样本公司的违约距离和违约率 进行测算，以此来检验KMV 模型在台湾企业应用中鉴别风险的能力。实证结果表明， KMV 模型并不适用于台湾企业预测财务危机，应该纳入经济总体变量或公司实际具体 情况等相关变量来提升模型财务危机的预测能力。 关键词：KMV 模型；财务危机；违约距离；违约概率 I KMV模型预测财务危机的实证研究 Abstract Abstract AAbbssttrraacctt Since the financial crisis of 2008, most of the countries all over the world had spread the tank stock news one after another, collapse happened to many large enterprises in succession, which made the company default more and more serious with each passing day. Faced with the situations, such as the business cycle factor, poor corporate governance or internal control, the overdue loan and bad debt would arise hereby, such injury not only caused direct damage to the investor but the loss. If seriously, the injury formed the internal financial crisis, thus, the measurement and management of the enterprise default risk also became important with each passingday. In this paper, the credit risk measurement international fashion model is initially introduced and compared, and the KMV model’s theoretical basis and measurement method is summarized.At the same time, the paper selected the listed companies in Taiwan stock market as samples, for empirical comparison of different assigned points, in order to test the KMV model’s practicability of identification of risks in real applications. The empirical results show that, KMV on t