基于修正的KMV模型我国上市公司信用风险评估
Credit Risk Assessment of Listed Companies in China Based on the Modified KMV Model

KMV模型作为上世纪90年代以美国股市为基础而设计的信用风险衡量方法，对于今天中国上市公司价值的衡量缺乏可靠性的市场基础，尤其对于非流通股价值的衡量缺乏西方发达市场的信用风险考量机制，因此本文结合前人的研究基础，对KMV模型中股权价值的计算公式、股权价值波动率的衡量方法，以及违约点在流动负债和长期负债两个维度的权重作出新的衡量标准，并通过python统计软件随机挑选我国股市10家上市公司进行实证检验，研究发现：1) 负债结构对于上市公司的违约风险有较大影响。2) 公司组织管理框架、行业竞争水平、市场饱和程度、战争政治等因素是公司股权价值的影响因素。3) 监管当局创新信用监管体制十分重要，除了站位公司角度进行资金与信用管理之外，应建立企业间的信息交流平台。
As a credit risk measurement method designed based on the U.S. stock market in the 90s of the last century, the KMV model lacks a reliable market basis for measuring the value of listed companies in China today, especially for the measurement of the value of non-tradable shares, and lacks the credit risk consideration mechanism of Western developed market. Therefore, based on the previous research basis, this paper makes a new measurement standard for the calculation formula of equity value, the measurement method of equity value volatility, and the weight of default point in the two dimensions of current liabilities and long-term liabilities based on the previous research. Through Python statistical software, 10 listed companies in China’s stock market are randomly selected for empirical testing, and the results show that: 1) The debt structure has a great impact on the default risk of listed companies. 2) Factors such as the company’s organizational management framework, industry competition level, market saturation, and war politics are the influencing factors of the company’s equity value. 3) It is very important for the regulatory authorities to innovate the credit supervision system, in addition to the perspective of the company to carry out capital and credit management, the information exchange platform between enterprises should be established.