基于KMV模型的信托公司信用风险度量研究

Research on Credit Risk Measurement of Trust Companies Based on KMV Model

摘要: 信托公司以信托关系为基础，以受益人合法利益最大化为目标，回归信托本源，服务实体经济，满足人民群众日益增长的财富管理需求已是人心所向、大势所趋。在经济下行与疫情影响的双重背景下，我国信托机构的信用风险逐渐暴露，对其进行量化研究意义重大。本文运用KMV模型，对国内几家上市信托公司展开风险度量研究。研究发现，多数信托机构信用风险处于较低水平，但个别刚上市的信托机构，由于通道业务频繁暴雷，违约概率相对较高。本研究成果有助于更精准地度量信托机构的信用风险，对防范重大违约事件的发生具有重要参考价值。

Abstract: Based on the trust relationship and aiming to maximize the legitimate interests of the beneficiaries, the trust company returns to the origin of trust, serves the real economy, and meets the growing wealth management needs of the people. Against the dual backdrop of economic downturn and the impact of the pandemic, the credit risks of trust institutions in China have gradually emerged, making it of great significance to conduct quantitative research on them. This paper employs the KMV model to carry out risk measurement research on several listed trust companies in China. The study finds that the credit risks of most trust institutions are at a relatively low level. However, for some newly listed trust institutions, due to the frequent occurrence of thunderstorms in their channel business, the probability of default is relatively high. The research findings of this study contribute to a more accurate measurement of the credit risks of trust institutions and have important reference value for preventing the occurrence of major default events.