基于市场分割和随机利率下KMV模型的上市公司信用风险度量研究
发布时间：2018-08-21 13:33
【摘要】：信用风险是金融市场中最古老的和最重要的风险形式之一，也是金融机构所面临的主要风险。2007年美国的次贷金融危机，给经济和社会造成了严重损害，也给全球范围内的信用风险管理提出了新的挑战。目前，在全世界范围内，建立具有较强现实意义的信用风险计量模型，并能将其有效地运用于现实风险管理过程当中，已经成为一个受到广泛关注而且刻不容缓的工作。 基于以上的现实，本文选取著名的信用风险度量模型——KMV模型作为主要的研究对象。论文首先介绍了信用风险的定义、企业信用风险的主要特征以及主要计量指标等基本内容，接着介绍企业信用风险度量方法的演变，其中，着重介绍KMV模型的基本思想、应用框架和评价，并在此基础上将市场分割因素和利率随机变动的因素纳入模型的考虑范围，从而构建出全新的KMV模型，能够对处于复杂环境中的上市公司的信用风险做出全面和准确的度量。更进一步地，本文选取了20家处在市场分割和随机利率环境中的A+H上市公司作为实证研究对象，，对其违约距离做实证分析以验证新模型的有效性，最终的实证分析结果表明在存在市场分割的条件下，对于利率敏感性的行业，采用随机利率下的KMV模型更能反映公司的真实信用风险情况；而对于利率非敏感性的行业，采用两类KMV模型的实证分析结果则差别不大。 本文综合考虑了市场分割和利率随机变动两个因素对于A+H上市公司信用风险的影响，通过对其违约距离的测量和对比分析，进一步提升了投资者和监管当局对于A+H上市公司整体信用风险的认识，为各金融主体提供了有价值的参考意见。
[Abstract]:Credit risk is one of the oldest and most important forms of risk in the financial market, and it is also the main risk faced by financial institutions. It also presents a new challenge to the global credit risk management. At present, the establishment of credit risk measurement model with strong practical significance and its effective application in the process of real risk management in the world has become a widespread concern and urgent work. Based on the above facts, this paper selects the famous credit risk measurement model-KMV model as the main research object. The paper first introduces the definition of credit risk, the main characteristics of enterprise credit risk and the main measurement index, and then introduces the evolution of enterprise credit risk measurement method, in which the basic idea of KMV model is emphasized. On the basis of applying the framework and evaluation, the factors of market segmentation and random change of interest rate are taken into account in the model, and a new KMV model is constructed. Able to make a comprehensive and accurate measurement of the credit risk of listed companies in a complex environment. Furthermore, this paper selects 20 A-H listed companies in the market segmentation and stochastic interest rate environment as the empirical research object, and makes an empirical analysis on the default distance to verify the validity of the new model. The results of the final empirical analysis show that under the condition of market segmentation, the KMV model under stochastic interest rate can better reflect the real credit risk of the company for the industry with interest rate sensitivity, while for the industry that interest rate is not sensitive, the KMV model can better reflect the real credit risk of the company. The results of empirical analysis using two kinds of KMV models are not different. This paper synthetically considers the influence of market segmentation and random change of interest rate on the credit risk of A H listed companies, through the measurement and comparative analysis of the distance of breach of contract. It further improves the understanding of the credit risk of A H listed companies by investors and regulatory authorities, and provides valuable reference for all financial entities.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F270
本文编号：2195894
[Abstract]:Credit risk is one of the oldest and most important forms of risk in the financial market, and it is also the main risk faced by financial institutions. It also presents a new challenge to the global credit risk management. At present, the establishment of credit risk measurement model with strong practical significance and its effective application in the process of real risk management in the world has become a widespread concern and urgent work. Based on the above facts, this paper selects the famous credit risk measurement model-KMV model as the main research object. The paper first introduces the definition of credit risk, the main characteristics of enterprise credit risk and the main measurement index, and then introduces the evolution of enterprise credit risk measurement method, in which the basic idea of KMV model is emphasized. On the basis of applying the framework and evaluation, the factors of market segmentation and random change of interest rate are taken into account in the model, and a new KMV model is constructed. Able to make a comprehensive and accurate measurement of the credit risk of listed companies in a complex environment. Furthermore, this paper selects 20 A-H listed companies in the market segmentation and stochastic interest rate environment as the empirical research object, and makes an empirical analysis on the default distance to verify the validity of the new model. The results of the final empirical analysis show that under the condition of market segmentation, the KMV model under stochastic interest rate can better reflect the real credit risk of the company for the industry with interest rate sensitivity, while for the industry that interest rate is not sensitive, the KMV model can better reflect the real credit risk of the company. The results of empirical analysis using two kinds of KMV models are not different. This paper synthetically considers the influence of market segmentation and random change of interest rate on the credit risk of A H listed companies, through the measurement and comparative analysis of the distance of breach of contract. It further improves the understanding of the credit risk of A H listed companies by investors and regulatory authorities, and provides valuable reference for all financial entities.
【学位授予单位】：广东财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51;F270
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