文献类型：期刊文献

中文题名：KMV模型在我国上市房地产企业信用风险度量中的应用

英文题名：The Application of KMV Model in Chinese Listed Real Estate Companies Credit risk Measurement

作者：王慧[1];张国君[1]

第一作者：王慧

机构：[1]北京联合大学商务学院

第一机构：北京联合大学商务学院

年份：2018

卷号：0

期号：3

起止页码：36-40

中文期刊名：经济问题

外文期刊名：On Economic Problems

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;北大核心:【北大核心2017】；CSSCI:【CSSCI2017_2018】；

基金：北京市属高等学校人才强教计划资助项目(PHR201108382)

语种：中文

中文关键词：KMV模型;违约距离;违约点

外文关键词：KMV model ; default distance ; default point

摘要：KMV模型是现代信用风险度量的重要模型,因其能灵敏反映上市公司信用状况,被广泛应用于上市公司信用风险评估。由于上市公司所处的行业不同,使用KMV模型度量信用风险时要根据上市公司所在的行业特点对KMV模型进行修正。利用我国上海证券交易所上市的147家上市房地产企业2009-2016年的数据,通过穷举法得到适合我国上市房地产企业的违约距离,使用新的违约距离对我国上市房地产企业信用违约风险的预测效果好于KMV公司给出的违约距离,提高了预测我国房地产上市企业信用风险的能力,对我国上市房地产企业信用风险度量进行了有益的补充。
KMV model is an important modern credit risk metrics model which can reflect the credit status of listed companies flexibly and dynamically. It has been widely used to evaluate credit risks of listed companies around the world. Due to listed companies in different industries have different features,when we use KMV model to measure Chinese listed real estate companies credit risk,the KMV model is needed to amend to suit for Chinese listed real estate companies. In this paper,we use the data of 147 listed real estate companies of Shanghai Stock Exchange from 2009 to 2016,through method of exhaustion to get the default distance of Chinese listed real estate companies. We compared the result of new default distance with KMV default distance and found the new default distance is better than KMV default distance in measurement of Chinese listed real estate companies credit risk. The new default can effectively measure Chinese listed real estate companies credit risk and is an useful supplement to current credit risk measurement.