上市公司信用评估方法的比较分析——基于kmv模型和zpp模型-comparative analysis of credit evaluation methods of listed companies - based on kmv model and zpp model.docxVIP

AbstractThethesismakesuseofKMVmodelandZPPmodeltopredictthecreditriskofChineselistedcompanies.Onthebasisofdomesticandforeignrelevantresearches,wedevelopZPPmodelasCVZPPmodelwhichbasedonfixed-incomevolatility,ZPP-GARCH-normmodelwhichbasedontheincomevolatilitywithGARCHdistributionandZPP-GARCH-tmodelwhichbaseontheincomevolatilitywithGARCH-tdistribution.ItappliestheA-sharepubliccompaniesdataofShenzhenStockExchangeandtheShanghaiStockExchangefrom1stJanuary2012to31stDecember2014.Weselectthenon-financiallistedcompaniesthatweretitledwithSTor*STatthefirsttimeinthatyearasagroupofdefaultsamples.Similarly,wealsoselectnormalnon-financialcompaniesaccordingtotheirindustries,businesspatternsandassetsizesasnon–defaultsamples.Thenwepredictthedefaultprobabilityofeachsamplebyusingoffourmodelsabovewithintheunitforecastperiodofoneyear.Withacomparativestudybetweentheprobabilityofdefaultsamplesandnon-defaultsamplesbyusingofMann-WhitneyUtestandK-Stwo-sampletest,wecanjudgewhetherthosemodelsareefficientornot.Meanwhile,wecanalsocomparethedifferencesbetweenmodelsbyusingROCcurves,AUCvalues,typeIerrorandtypeIIerrormethods.TheempiricalresultshowsthatZPPmodelandtherelatedmodelshaveperfectperformances.Therearesignificantdifferencesbetweenthedefaultsampleandnon-defaultsample.Onthecontrary,theperformanceofKMVmodelisbad.Amongthem.TheresultsofZPP-GARCH-tmodelandZPP-GARCH-normmodelarebetterthanCVZPPmodel.ThepredictionofKMVmodelissopoorthatthereisalmostnoexplanatorypower.Inaddition,thecriticalvaluewedeterminedalsohaveimpactsontheaccuracyofthepredictionofthemodel.Keywords:KMVmodel;ZPP(Zero-Price-Probability)model;CreditRisk;MonteCarlosimulation目录第一章绪论................................................................................................................11.1选题背景..........................................................................................................11.2选题目的及意义..............................................................................................21.3研究思路..........................