基于KMV模型的我国上市民营企业信用风险实证分析
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摘要
随着我国供给侧结构性改革的不断深入,民营经济在推动社会主义市场经济发展过程中发挥出关键作用,而由民营企业信用风险偏高导致的企业融资难、融资贵问题也更加突出。以民营企业融资难为背景,利用KMV模型从违约距离角度评估我国民营企业信用风险,用MATLAB、Excel等软件求解违约概率,并与国有企业违约概率进行对比分析,结合实际探究民营企业信用风险大小,然后选用企业相关成长能力指标与违约距离进行多元线性回归,探究其显著性大小。最后,根据实证分析结果给出民营企业防控信用风险的相关建议。
With the deepening of supply-side structural reform in China, private economy plays a key role in the process of promoting the development of socialist market economy. However, the difficulty of financing and the problem of expensive financing caused by the high credit risk of private enterprises are becoming more and more prominent. Based on the background of financing difficulty of private enterprises, this paper uses KMV model to evaluate the credit risk of private enterprises in China, uses MATLAB, Excel and other software to solve the probability of default, compares it with the probability of default of state-owned enterprises, explores the credit risk of private enterprises in combination with the actual situation, and then chooses the index of enterprise growth ability and the distance of default. Multivariate linear regression was used to explore its significance. Finally, according to the results of empirical analysis, this paper gives some suggestions for private enterprises to prevent and control credit risk.
With the deepening of supply-side structural reform in China, private economy plays a key role in the process of promoting the development of socialist market economy. However, the difficulty of financing and the problem of expensive financing caused by the high credit risk of private enterprises are becoming more and more prominent. Based on the background of financing difficulty of private enterprises, this paper uses KMV model to evaluate the credit risk of private enterprises in China, uses MATLAB, Excel and other software to solve the probability of default, compares it with the probability of default of state-owned enterprises, explores the credit risk of private enterprises in combination with the actual situation, and then chooses the index of enterprise growth ability and the distance of default. Multivariate linear regression was used to explore its significance. Finally, according to the results of empirical analysis, this paper gives some suggestions for private enterprises to prevent and control credit risk.
引文
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[10] 李双杰.我国高收益债券市场发展中的政府干预问题研究[D].北京:中国财政科学研究院,2018.
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[12] Black F M Scholes.The Pricing of Options and Corporate Liabilities[J].Journal of Political Economy,1973(81):637-654.
[13] 刘梅娟.基于VaR模型的商业银行对国有企业的信贷风险研究[D].成都:西南交通大学硕士学位论文,2014.
[2] Leora Klapper.The role of factoring for financing small and medium enterprises[J].Journal of Banking and Finance,2006,30(11):31-33.
[3] Dendramis Y,Tzavalis E,Adraktas G.Credit risk modelling under recessionary and financially distressed conditions[J].Journal of Banking and Finance,2018,91.
[4] I H G?kg?z I H ,? Uur,Yolcu Okur Y.On the single name CDS price under structural modeling[J].Journal of Computational and Applied Mathematics,2014,259.
[5] Yufei Xia,Chuanzhe Liu,Bowen Da,et al.A novel heterogeneous ensemble credit scoring model based on bstacking approach[J].Expert Systems With Applications,2018,93.
[6] 樊晓.基于KMV模型的我国上市公司信用风险度量的动态化研究[D].青岛:中国海洋大学,2008.
[7] 孙凤英.基于所有制性质的公司信用风险的实证研究[D].长春:吉林大学,2008.
[8] 卿固,王维维.基于“KMV模型”对中小企业信用风险评估研究——以大连市为例[J].征信,2014,32(3):58-61.
[9] 薛超凯.民营企业融资风险管理研究[D].淄博:山东理工大学,2014.
[10] 李双杰.我国高收益债券市场发展中的政府干预问题研究[D].北京:中国财政科学研究院,2018.
[11] 曹雪琦.我国债券市场迎来信用风险缓释工具[J].中国商界,2018(12):76-80.
[12] Black F M Scholes.The Pricing of Options and Corporate Liabilities[J].Journal of Political Economy,1973(81):637-654.
[13] 刘梅娟.基于VaR模型的商业银行对国有企业的信贷风险研究[D].成都:西南交通大学硕士学位论文,2014.