基于KMV模型的我国上市公司信用风险度量的实证研究-财务管理专业论文.docxVIP

ABSTRACTABSTRACT ABSTRACT ABSTRACT In this article we tried to USe the KMV model to measUle the credit risk of listed coml3alliC$in China．First,We did some adjustments to the model’s parameters according to Chinas market situation,and then We select 2 1 stocks distributed in SCVCII sectors of Chinas．stock market witll performance of poor,900d．A．ftcr some research and paired-samples T test,we found that KMV model can distinguish between companies、Ⅳitll good／moderate／poor performance in the samc industry,thus differentiate the companys default risk． ：．At the same time．this article compared KMV model with Z．SCOrC model．Results showed that KMV model WaS dearly better than Z-score model in distinguishing bctwccll¨good and bad”，¨900d and moderate¨，but WOISe than Z·Sc,orc model in the distinction bctwecll”poor and the middle¨，but the overall correct rate of distinction was higher than Z SCOre model．In addition,this article did the linear regression and correlation analysis among Distance to Default,Z SCOre，and Current Ratio，and found that there WaS a clear linear relation between Distance to Default and Current Ratio． Finally,We did somc innovation research by calculating the quarterly Distance to Default,after some statistic analysis We found that quarterly Distance to Default of three stocks have obvious linear relations．In addition，line chart also showed that Distance to Default and T+l quarter-period(the Shanghai Index／l ooo)had the same fluctuation trend,but after the linear regression and correlation analysis，We found 110 significant correlation bctwccIl them，thus denying the speculation4 After all，through this ernpirieal咖we validated the effectiveness of KMv model to soml：extent,but because that the current input variables had not been reunified,and the Chinese market had non-tradable shares，ere．，which made a large discount to the KMV model’s effectivcness at this stage，we expected that弱the Chinese market was being perfect,KMV model could be widely used． Keywords：Ri