我国上市公司信用违约风险的实证检验

Empirical Test of Credit Default Risk of Listed Companies in China

摘要: 上市公司信用违约风险度量的技术在西方已经比较成熟，信用风险度量的方法和模型在理论上和实践中都形成了一套完整的体系。而我国的信用违约风险度量还刚刚起步，对于信用评级还处于探索阶段，远不能达到商业银行对于贷款安全管理的要求。而本文所讨论的KMV模型作为现代四大信用风险度量模型之一，相较于其他三种方法，所需要的参数在中国目前的数据库建设下相对可以获得，其计算方法也有强大的理论依据做支撑，通过计算得到的数值相比传统的信用风险度量方法有更强的说服力，更有利于银行管控风险和上市公司进行诚信建设，促进金融市场发展。结论表明，我国上市公司存在信用违约的风险与模型的实际检验基本一致。因此通过研究信用违约风险度量模型，结合我国金融市场的现状，探索出适合我国信用违约风险度量的模型具有理论和现实意义。

Abstract: The credit default risk measurement technology of listed Corporation is so mature in the west that a complete system of methods and models of credit risk measurement are formed in theory and practice. But in China, the measurement of credit default risk is still in its infancy and the credit rating is still in the exploratory stage, which can’t meet the needs of commercial bank loans for safety management requirements. As one of modern four major credit risk measurement models, KMV parameters can be obtained in the Chinese current database which is under construction now, and its calculation methods have strong theoretical bases to support itself. The calculated data is more convincing than that from the traditional credit risk measurement methods, which can help the banks to control the risks and the listed corporations to build its integrity, promoting the financial market. The results show that credit default risk of listed Chinese companies is almost consentaneous to this empirical test of models. Thus, through the research of credit default risk measurement models, exploring the Chinese credit default model has significance both in theory and practice.