财经理论与实践Issue(1)：34-40,7.
KMV 模型在我国商业银行信用风险管理中的适用性分析及实证检验
KMV Model in China's Commercial Bank Credit Risk Management Analysis and Empirical Applicability
杨秀云 1蒋园园 1段珍珍1
作者信息
- 1. 西安交通大学 经济与金融学院，陕西 西安 710061
- 折叠
摘要
Abstract
This paper introduces four popular international credit risk management methods:the KMV,Credit Metrics,Credit Risk+,and the Credit Portfolio View.Based on qualitative and quantitative analysis,this paper compares these four credit risk management methods and finds out that the KMV is the most suitable for our current situation.The sample consists of 45 ST (specially treated)listed companies and paired with 45 non-ST companies in 2013 and 20 ST companies and paired with 20 non-ST companies in 2014.We also have an empirical test on the distance of default of the sample.The empirical results show that the KMV model can identify the listed company's credit situation,but there are some companies default distance is not realis-tic.It also shows that the model's ability to identify credit risk is limited.Among other factors, the reason may be related to that some assumptions of the model required in China is still not ef-fectively met.Therefore,it is more reliable for China's commercial banks use both the KMV model and the company's financial data.关键词
KMV 模型/商业银行信用风险/适用性分析Key words
KMV/credit risk/applicability analysis分类
管理科学引用本文复制引用
杨秀云,蒋园园,段珍珍..KMV 模型在我国商业银行信用风险管理中的适用性分析及实证检验[J].财经理论与实践,2016,(1):34-40,7.
