基于KMV模型的企业债信用风险度量优化
Journal: Economics DOI: 10.12238/ej.v7i9.1858
Abstract
随着市场环境复杂化和金融产品多样化,传统信用风险度量方法显现出局限性。KMV模型结合市场数据和企业财务数据,通过计算企业资产价值与负债之间的距离,评估违约概率,能动态反映企业实时信用风险。研究结合现有评级主标尺,对KMV模型的违约距离计算方法进行了改进,验证不同分布假设下违约概率计算方法的准确性,选取最优分布函数以提升估算精度。实证分析结合上市公司实际财务数据,通过对违约距离分布进行拟合,提出动态调整违约率的方法,验证了优化模型在我国上市公司企业债信用风险度量中的有效性。
Keywords
信用风险管理；KMV模型；上市公司企业债；信用评级
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