KMV模型在渔业上市公司财务预警中的运用——以獐子岛为例
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摘要
獐子岛"黑天鹅"事件让市场参与各方大跌眼镜。本文通过引入KMV模型,对獐子岛"黑天鹅"事件之前的理论违约概率进行测算,并与同期评级机构对獐子岛的信用评级相对照,验证了KMV模型在对上市公司进行财务预警时相较于传统评级机构的信用评级所具有的前瞻性。
Market participants were stunned by Zhangzi Island Black Swan Event. By introducing KMV model, the paper calculates the theoretical probability of default of Zhangzi Island before the event occurred. The results of calculations are later compared to the ratings provided by the rating agency during the same period. It follows that KMV model has some forward-looking relative to the traditional credit ratings issued by credit rating agencies in the financial early warning for listed companies.
Market participants were stunned by Zhangzi Island Black Swan Event. By introducing KMV model, the paper calculates the theoretical probability of default of Zhangzi Island before the event occurred. The results of calculations are later compared to the ratings provided by the rating agency during the same period. It follows that KMV model has some forward-looking relative to the traditional credit ratings issued by credit rating agencies in the financial early warning for listed companies.
引文
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[4]蒋亚奇.基于多元Probit模型的上市旅游公司的财务预警[J].统计与决策,2014,(3):181-183.
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[2]Zmijewski,M.E,Methodological issues Related to the Estimation of Financial Distress Prediction Models[J],Journal of Accounting Research,1984:59-82
[3]Coats,P.K,Fant,L.F,Recognizing financial distress patterns using a neural network tool[J].Financial Management,1993:142-155.
[4]蒋亚奇.基于多元Probit模型的上市旅游公司的财务预警[J].统计与决策,2014,(3):181-183.
[5]唐睿明.我国房地产业上市公司财务预警模型实证研究[J].财经问题研究,2013,(12):96-101.
[6]董上海.企业财务困境预警模型及改进策略[J].统计与决策,2008,(23):179-181.
[7]Merton,R.C,On the pricing of corporate debt:The risk structure of interest rates[J].The Journal of Finance,1974,29(2):449-470.
[8]Bohn,J.R,Using Market Data to Value Credit Risky Instruments[R],KMV LLC,1999