[1]陈浩,夏红芳.我国上市公司信用风险度量及其影响因素的实证研究[J].金融教育研究,2012,(01):28-34.
 CHEN Hao,XIA Hongfang.The Credit Risk Measurement of Listed Companies in China and the Empirical Research of Its Influence Factors[J].,2012,(01):28-34.
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我国上市公司信用风险度量及其影响因素的实证研究()
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《金融教育研究》[ISSN:1006-6977/CN:61-1281/TN]

卷:
期数:
2012年01期
页码:
28-34
栏目:
出版日期:
2012-01-31

文章信息/Info

Title:
The Credit Risk Measurement of Listed Companies in China and the Empirical Research of Its Influence Factors
作者:
陈浩;夏红芳;
浙江财经学院,浙江杭州,310000
Author(s):
CHEN Hao XIA Hongfang
关键词:
信用风险适用性风险因素KMV模型
Keywords:
credit risk applicability risk factors KMV model
分类号:
F832.5
文献标志码:
A
摘要:
对KMV模型度量我国上市公司信用风险方法的有效性进行了实证研究。同时对影响上市公司信用风险的内在因素进行了探索。实证研究结果表明,KMV模型对我国上市公司信用风险度量具有良好的适用性。对信用风险影响因素的实证结果说明,我国上市公司的规模对其信用风险具有显著影响力。
Abstract:
The measurement of KMV model, which tests the validity of the method of credit risk for the listed companies in China, has been analysed on the empirical research. And the inner factors that affect listed company credit risk have also been explored. The empirical results show that KMV model,which tests the credit risk of listed companies in China, is of good applicability. The empirical results for credit risk factors indicate that the scale of the listed companies in China for the credit risk has significant influence.

参考文献/References:

[1]Peter Crosbie,Jeffrey Bohn Modeling Default Risk[J].American Banker,July 2003:98-106.
[2]Michel Crouhy,Dan Galai,Robert Mark.A comparative analysis of rent credit risk Models,2008.
[3]吕小娜.商业银行信用评价模型的适用性研究—基于KMV模型和Credit Metrics模型的对比分析[D].成都:西南财经大学,2008.
[4]Matthew Kurbat,Irina Korablev.Methodology for Testing the level of the EDF Credit Measure[J/OL].KMV Corporation,2002,http://www.moodyskmv.com.
[5]戴志锋,张宗益,陈银忠.基于期权定价理论的中国非上市公司信用风险度量研究[J].管理科学,2005(60); 72-77.

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备注/Memo

备注/Memo:
国家自然科学基金(71173180/G030201)
更新日期/Last Update: 1900-01-01