ＫＭＶ模型的修正及应用研究.docVIP

ＫＭＶ模型的修正及应用研究 摘要:根据我国资本市场的特点,选取KMV模型的相关参数,使用上市公司在某国有商业银行贷款不良率替代其违约率,拟合出贷款不良率与违约距离的函数关系#65377;实证结果表明,在KMV模型使用不良率替代违约率计量上市公司的信用风险的方法是可行的#65377;　　关键词:贷款不良率;违约率;KMV模型;信用风险 　　Abstract: On the base of the particularity of China＇s stock market， selecting the parameters of the KMV model and using the data from one commercial bank， we adopt non-performing loans(NPLs)ratio to substitute expect default frequency(EDF) to fit the function between NPLs ratio and distance to default (DD). The results show that the method that using NPLs ratio to substitute EDF to estimate the credit risks of listed companies