基于JD-KMV模型的上市公司信用风险度量——一个区域金融视角下的实证研究.doc

基于JD-KMV模型的上市公司信用风险  谢赤王纲金 湖南大学工商管理学院 为改进KMV模型忽略了资产价值跳跃行为这一不足，基于JD期权定价模型与广 义Ito引理，构建一个JDKMV模型。选取2012年中国19个省市区新增的16家 ST公司以及与之配对的16家非ST公司为研究对象，采用极大似然法与最小二 乘法估计JD-KMV模型的参数，考察股票价格的跳跃特征，度量上市公司信用风 险。结果表明:JDKMV模型优于KMV模型；中国东北、华中、华南、西北区域股价 跳跃风险较大，华北、西南区域跳跃风险较小；东北、华中、西北区域上市公司 信用风险较大，华北、华东、丙南、华南区域信用风险较小。 关键词： 区域金融;信用风险;上市公司；JD-KMV模型; 谢赤(1963—)，男，湖南株洲人，教授，生导师。主要研允方 向为金融工程与风险管理。E-mail :xiechi@hnu. edu.cn。 2014-01-28 基金：国家自然科学基金创新研究群体科学基金项0 ;国家自然科 学基金而上项目 The Credit Risk Measurement of Listed Companies Based on the JD-KMV Model From the Aspect of Regional Finance XIE Chi LAI Qiong-qin WANG Gang-jin College ofBusiriess Management, Ekman University; Abstract： Given that the traditional KMV model ignores the jump behavior of the value of assets, this paper tries to improve it. Based on the jump diffusion option pricing model and the generalized Ito lemma, this paper builds a JD-KMV model. 16 new ST companies and 16 paired non~ST companies from 19 provinces and cities in 2012 of A-sharc market in Shanghai and Shenzhen stock exchange are selected as the samples. To describe the characteristics of the stock price jump and measure the credit risk of listed companies, the method of maximum likelihood and least squares method are used to estimate parameters of the model. The empirical results show that: JD-KMV model is better than KMV model; the jump risk of listed companies stock in Northeast China, central China, south China and northwest is bigger, while the one in north China, southwest is smaller; The credit risk of listed companies in Northeast China, central China and northwest region is bigger, while the one in north China, east China, southwest and south China is smaller. Keyword： region finance; credit risk; listed company; JD-KMV model; Received： 2014-01-28 信用风险指交易对手未能履行契约中的义务而造成经济损失的可能性。中国金融 体制改革步伐的加快及金融市场开放程度的提高使信用风险管理面临新的挑战， 传统的信用风险度量方法，如信贷5C法、多元判别分析模型、线性概率模型等 多局限于对企业财务数据的分析，已无法满足金融市场的需求。KMV模型是基于 期权定价理论的一种违约预测模型，该模型结合了上市公司财务数据和资木市 场信息，能够准确反映上市公司的实际信用状况，