基于KMV模型的上市中小企业信贷风险研究

Research on Credit Risk of Listed SMEs Based on KMV Model

摘要: 中小企业作为我国经济发展和社会稳定的重要支撑，对其违约风险进行全面有效评估有助于我国中小企业的发展。KMV模型作为风险度量方面的典型代表之一，为验证其在度量中小企业的违约风险方面的有效性，文章选取了180家上市中小企业2023年的财务数据，使用该模型进行了实证研究，并对违约距离DD进行描述性统计和ANVOA检验。ANVOA检验中p值为0.870，大于临界值0.05，发现高风险与低风险组即ST企业与非ST企业之间的违约距离不存在显著差异，这与我国资本市场还未进入有效市场有关，研究结果表明通过KMV模型分组度量并比较违约距离DD来度量我国中小企业信用风险的方法暂不可行。为有效管理防范我国中小企业信贷风险，首先，要加快完善我国资本市场的建设，加强对中小企业信息披露制度的管理，丰富相关监管部门的监管手段；其次，建立针对中小企业信用风险度量的专门体系，对中小企业的信用风险进行管理；最后，各中小企业应密切关注市场动向，引进相关人才和风险管理工具提高自身风险管理能力。

Abstract: As an important support for China’s economic development and social stability, a comprehensive and effective assessment of the default risk of small and medium-sized enterprises is conducive to the development of small and medium-sized enterprises in China. KMV model is one of the typical representatives of risk measurement, in order to verify its effectiveness in measuring the default risk of SMEs, this paper selects the financial data of 180 listed SMEs in 2023 and conducts an empirical study using the model, and conducts descriptive statistics and ANVOA test on the default distance DD. In the ANVOA test, the p-value is 0.870, which is greater than the critical value of 0.05, and it is found that there is no significant difference in the default distance between the high-risk and low-risk groups, that is, between ST enterprises and non-ST enterprises, which is related to the fact that China’s capital market has not yet entered the effective market. In order to effectively manage and prevent the credit risk of small and medium-sized enterprises in China, first of all, it is necessary to accelerate the improvement of the construction of China’s capital market, strengthen the management of the information disclosure system for small and medium-sized enterprises, and enrich the regulatory means of relevant regulatory departments; secondly, establish a special system for measuring the credit risk of small and medium-sized enterprises to manage the credit risk of small and medium-sized enterprises; finally, SMEs should pay close attention to market trends and introduce relevant talents and risk management tools to improve their risk management capabilities.