上市公司信用违约风险实证分析-金融学专业论文.docxVIP

华中 科技 大 华 中 科 技 大 学 硕 士 学 位 论 文 II II Abstract As the deepening and development of economic integration and financial liberalization, international community has paid great attention to credit risk. To some extent, the financial crisis that overwhelmed the globe in 2008 is more of a outbreak of credit crisis. A better handling of credit risk while encourage economy and finance development become a key issue of all parties. As for regulators, the recognition of credit risk of listed companies can efficiently guard against nonperformance of these companies. As to financial institution, a better understanding of credit standing of listed companies can be acquired through the analysis of credit risk so that credit policy can be make to cut loss. As far as the companies are concerned, a measurement and assessment of their credit risk will give them a timely compression of credit status and the management strategy can change correspondingly. Therefore, it is of practical significance to have the credit risk of the public companies recognized, precautioned and supervised. Aimed at the exceptional case of stock market and quoted companies in China, this paper take a certain number of companies as sample to observe the application of KMV model in measuring the credit risk of Chinese public companies through appropriate reformulation of the setting of default point in classical KMV model and equity value. It demonstrates that revised KMV model can recognize the risk difference between ST companies and normal companies and efficiently judge the credit risk of listed companies in our country Keywords: Credit risk；KMV model；Risk measurement；Default point II III 目录 摘 要 I Abstract II 1 绪论1 1.1 课题选题背景与研究意义 1 1.2 文献综述3 1.3 课题研究思想、研究方法、创新点及不足 5 2 KMV 模型理论框架及操作步骤 9 2.1 信用风险度量模型的发展 9 2.2 KMV 模型的基本思想 11 2.3 KMV 模型的总结 18 3 KMV 模型对我国上市公司信用风险度量的适应性研究 20 3.1 应用 KMV 模型的前提分析 20 3.2 利用 KMV 模型对我国上市公司贷款违约风险进行实证研究 22 3.3 研究结论28 4 结论与建议31 4.1 结论 31 4.2 本文提出的建议32 4.3 结束语