我国科技型中小企业信用风险评估及信贷应用
Exploration and Creidt Application of Credit Risk Assessment for Science and Technology-Based SMEs in China
DOI: 10.12677/FIN.2023.131023, PDF,   
作者: 李亚宣：北京大学软件与微电子学院，北京；窦文章*：北京大学软件与微电子学院，北京;北京大学战略研究所，北京
关键词: 信用风险评估；科技型中小企业；KMV模型；RAROC模型；Credit Risk Assessment； Technology-Based SMEs； KMV Model； RAROC Model
摘要: 本文针对科技型中小企业，构建了修订的KMV模型，并进行统计计量分析，验证了模型的预测效果。之后，将模型的结果应用于RAROC模型中进行贷款定价，并以A公司为例进行案例分析。结果表明，修订的KMV模型能够对我们科技型中小企业的信用风险进行有效识别和度量，将其结果应用于贷款定价中，将有助于提高企业与银行之间的信息透明度，缓解科技型中小企业融资问题，提高商业银行风险管理水平。
Abstract: In this paper, a revised KMV model is constructed for technology-based SMEs, and statistical-econometric analysis is performed to verify the predictive effect of the model. After that, the results of the model are applied to the RAROC model for loan pricing, and a case study is conducted with Company A as an example. The results show that the revised KMV model can effectively identify and measure the credit risk of our technology-based SMEs, and applying the results to loan pricing will help improve the information transparency between enterprises and banks, alleviate the financing problems of technology-based SMEs, and improve the risk management of commercial banks.
文章引用：李亚宣, 窦文章. 我国科技型中小企业信用风险评估及信贷应用[J]. 金融, 2023, 13(1): 228-239. https://doi.org/10.12677/FIN.2023.131023

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