基于KMV模型的我国上市公司信用风险度量的动态化研究-数量经济学专业论文.docxVIP

估上市公司信用风险的变化情况，基本符合公司实际的运行状况。期望该方法能走向商 估上市公司信用风险的变化情况，基本符合公司实际的运行状况。期望该方法能走向商 业银行的操作层面，促进我国商业银行信用风险的度量逐步实现由定性方法到定量方法 的转变，提高风险预测数据的准确性和敏感度。 论文共分为五部分，是按照以下思路进行的。首先综述了信用风险度量的相关概念 和理论。第二部分评述几种重要的现代信用风险度量模型。第三部分详细分析信用风险 度量模型KMV的理论思想和结构框架，并且结合我国资本市场的实际情况，构造KMV 模型的动态框架。第四部分套用第三部分的动态化理论框架，选取上市公司进行实证研 究。具体包括KMV模型的基本测算、股本结构变化引起的动态测算、信用风险指标的 季度动态测算，即从三个不同角度来示范模型对于上市公司信用风险的动态预测。第五 部分总结全文，并提出模型在我国实践应用的局限以及建议。 由于笔者研究水平的局限，本文未对信用风险度量技术的一些问题加以深入研究， 提出的信用风险度量模型也仍然有很多需要完善的地方，希望以后能够不断完善，继续 深入研究。 关键词：信用风险；K删模型；违约距离；预期违约概率 Ⅱ Research Research on Credit Risk Dynamic for Listed Corporations in China Based on KMV Model Abstract Credit risk has always been one of the most important risks confronted by commercial banks，and it has been one of the most common reasons leading to bank failure．Along with international banking crises occuring，international banking and academic circles have realized deeply the significance of the researches on credit risk management technology for banks，also the fmancial instructions，investors and the owners of the corporations pay much attention on it．Therefore，the theories and technologies of credit risk measuring，forecasting and avoiding always appear extremely important in the field of finance．Measuring credit risk is the core and the most important in the risk management．There are already many research achievements on the credit risk measuring methods of listed corporations all OVer the world． In general，the methods can be divided into the traditon models and the morden models，the former ones are based on subjective assessment and the others are based on the data of the corporations．As the financial market environment changes and credit derivatives develop， credit risk possesses new connotation．Therefore，the traditonal methods can not assure the efficency and accurate of the credit risk measuring results．The modern models based on the market pricing theory,utilizing the stock market data，have been developed and used by many banks．It will be one of the greate