KMV模型在我国市场的适用性研究 ——基于制造业上市企业的检验

论文总字数：18613字

目 录

1绪论............................................................................................................1

1.1研究背景和意义.....................................................................................................................1

1.1.1研究背景......................................................................................................................1

1.1.2 研究意义.....................................................................................................................1

1.2 国内外研究现状....................................................................................................................1

1.2.1 国外研究现状.............................................................................................................1

1.2.2 国内研究现状.............................................................................................................2

1.3 研究目的和思路....................................................................................................................2

1.3.1 研究目的.....................................................................................................................2

1.3.2 研究思路.....................................................................................................................2

2违约风险及其度量模型介绍....................................................................3

2.1 违约风险的内涵....................................................................................................................3

2.1.1 违约风险的定义.........................................................................................................3

2.1.2 违约风险的特征.........................................................................................................3

2.2 违约风险的度量方法............................................................................................................3

2.2.1 传统度量方法.............................................................................................................3

2.2.2 现代度量方法.............................................................................................................4

2.3 KMV模型介绍.......................................................................................................................5

2.3.1 KMV模型简介............................................................................................................5

2.3.2 KMV模型计算违约距离的公式................................................................................5

3基于我国制造业上市样本数据对KMV模型的实证检验.....................6

3.1模型数据的选择.....................................................................................................................6

3.2分组数据计算与分析.............................................................................................................6

3.3个体数据计算与分析.............................................................................................................7

4建议与展望................................................................................................................................8

参考文献.......................................................................................................9

致谢..............................................................................................................10

附录..............................................................................................................11

KMV模型在我国市场的适用性研究

——基于制造业上市企业的检验

苗淼

，China

Abstract： In today's economic society, default risk has become a major risk facing the financial world, especially for listed manufacturing companies that are pillar industries. It is very important to explore and establish a credit risk measurement model that suits them. Based on the research status at home and abroad, this paper concludes that the KMV model can use capital market data to calculate the default distance and default rate of listed manufacturing companies, and the sample data of 78 ST companies and 78 non-st companies from 2009 to 2017 were selected for the empirical study of default risk, which proves that the model can be very good. Distinguish between ST companies and non-ST companies, and finally come to the conclusion that KMV model can effectively distinguish the default risk of listed companies.

Key words：default risk；manufacturing listed companies；KMV

1.绪论

1.1 研究背景和意义

1.1.1 研究背景

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