基于修正KMV模型商业银行客户信贷风险测度
首发时间:2017-06-13
摘要:本文通过构建修正KMV模型定量测度商业银行客户信贷风险,共选取了中国沪深两市14家上市公司为研究样本,分别是7家ST公司和7家非ST公司。为了提高该模型与中国具体实际的契合度,修正了模型中违约点和资产价值增长率两个变量。论文以2016年12月31日为基期,选取2016年全年的财务数据,通过B-S公司运用Mat lab编程计算资产价值和资产价值波动率,进而求解出客户的违约距离和违约概率。本文研究发现,适合我国的违约点设定等于流动债务加上0.8倍的长期债务,与原有模型对比说明我国上市公司的信用状况要劣于国外。经过独立样本t检验和Mann-Whitney U 检验,修正KMV模型可以有效的区分ST公司和非ST公司,从而为商业银行做好客户信贷风险管理提供现实路径和参考。
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Customer's Credit Risk Measurement of Commercial Banks Based on Modified KMV Model
Abstract:This paper constructs a modified KMV model to quantitatively measure the credit risk of commercial banks,and select 14 listed companies in shanghai and shenzhen as research samples ,namely,seven ST companies and seven non-ST companies.In order to inprove the specific fit of the model with China,the two variables of default and asset value growth in the model are fixed.Based on December 31,2016,the financial data of 2016 were selected,and the asset value and asset value volatility are calculated by B-S,using Mat lab to solve the customer's default distance and default probability.This paper has found that the default point is equal to the liquidity debt plus 0.8 times the long-term debt,compared with the original model,showing that the credit status of listed companies in China is inferior to foreign countries.Through the independent sample t test and Mann-Whitney U test,the modified model can effectively distinguish between ST and non-ST companies,so as to provide practical path and reference for commercial banks to do the customer's credit risk management.
Keywords: Credit The modified KMV model Risk management
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No.4736985115671614****
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