| KMV模型在我国上市公司信用风险度量中的适用性研究 |
| Applicability Study of KMV Model in Credit Risk Measurement of Listed Companies in China |
| 投稿时间：2012-02-16 |
| 中文关键词:信用风险 KMV模型 适用性 |
| 英文关键词:credit risk KMV model applicability |
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| 中文摘要: |
| KMV模型是运用现代期权定价理论建立起来的违约预测模型。通过实证结果的比较发现，违约距离这一指标运用到我国上市公司信用风险的度量之中具有比较理想的判断效果，这也在某种程度上说明了KMV模型对我国上市公司信用风险度量的准确性及合理性，它能够较好地反应出上市公司真实的信用风险状况。 |
| 英文摘要: |
| KMV model is a default prediction model based on modern Option Pricing Theory. Through the comparison of the empirical results, the index of default distance applying to credit risk measurement of China's listed companies has ideal judging effects. To some extent, this also expresses the correctness and rationality of KMV model in the credit risk measurement of China's listed companies, which can reflect the real credit risk condition of the listed companies better. |
| 张 树 强.KMV模型在我国上市公司信用风险度量中的适用性研究[J].石家庄铁道大学学报(社会科学版),2012(2):21-26. |
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