经济与管理Issue(7)：59-66,8.
基于SV-KMV模型的信用风险度量研究
Credit Risk Empirical Research Based on SV-KMV Model
摘要
Abstract
The KMV model is the main model of credit risk measurement, and the value of equity volatility is the most important variables which affect the results of the KMV model. So, it is important for improving the accuracy of KMV model to calculate the value of equity volatility exactly. The research indicates that the value of equity volatility and KMV model results highly negative correlation distance to default; Comparing GARCH-KMV model with SV-KMV model, we prove the SV-KMV model is better than GARCH-KMV model from several different angles.关键词
信用风险/KMV信用风险模型/违约距离/GARCH模型/SV模型Key words
Credit risk/KMV model/Default distance/GARCH model/SV model分类
管理科学引用本文复制引用
王新翠,王雪标,周生宝..基于SV-KMV模型的信用风险度量研究[J].经济与管理,2013,(7):59-66,8.基金项目
国家自然科学基金项目（71273044）；教育部人文社会科学项目 （）
