基于KMV模型的我国中小上市公司信用风险研究被引量：48

An Empirical Study on the Credit Risk of Listed SMEs in China Based on the KMV Model

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摘要经过提高股权价值波动率精确度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力,我们可以通过设定两条信用预警线,来监控中小上市公司的信用危机。文章研究发现,资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差。股权分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因。 The KMV model, which is improved by increasing the precision of fluctuate rate of stock values, is more capable of identifying credit risk for listed small ＆ medium enterprises （SMEs） in China. We supervise and control the credit crisis of listed SMEs by setting two credit warning lines. The result indicates that asset size has a significant impact on credit risk, default risk. Asset size are significantly negatively correlated with default risk after the year of 2004, and the ability of risk-resisting for small companies whose total assets are less than 300 million yuan is the worst. Non-tradable Shares Reform brings the fluctuations of credit risk in a short time, which is the major reason why the default risk of listed SMEs increased in 2006.

作者张泽京陈晓红王傅强

机构地区中南大学商学院

出处《财经研究》 CSSCI 北大核心 2007年第11期31-40,52,共11页 Journal of Finance and Economics

基金国家自然科学基金重点项目(70631004) 国家软科学基金项目(05ZK5007)资助

关键词信用风险中小上市公司 KMV模型违约距离股权分置改革 credit risk listed SMEs KMV model distance to default Non-tradable Shares Reform

分类号 F830.91 [经济管理—金融学]

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参考文献14

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