基于KMV模型的我国上市券商公司信用风险度量研究
Research on Credit Risk Measurement of Listed Brokerage Companies in China Based on KMV Model

随着我国市场竞争的加剧和金融创新的不断发展，2019年中国证券业协会发布了《证券公司信用风险管理指引》，标志着我国政府监督管理部门越来越关注证券公司的信用风险。但是由于新冠疫情这一大系统性风险事件的爆发，使得我国证券公司的信用风险快速上升。因此如何准确地评估与度量我国证券公司的信用风险成为证券行业的一大重要课题。本文选取了我国A股市场上券商板块中的49家券商公司作为研究对象，通过提取公司的股票交易数据以及财务报表数据，利用KMV模型评估这些公司信用风险，并对计算出的各券商公司的违约距离以及预期违约风险进行分析，最后得出研究结论并为我国券商行业建立精准有效的风险评估与管理体系提出建议。
With the intensification of market competition in China and the continuous development of financial innovation, the Securities Association of China issued the Guidelines for Credit Risk Management of Securities Companies in 2019, marking that China’s government regulatory authorities are paying more and more attention to the credit risk of securities companies. However, due to the outbreak of the new crown epidemic, the credit risk of China’s securities companies has risen rapidly. Therefore, how to accurately assess and measure the credit risk of China’s securities companies has become an important issue in the securities industry. This paper selects 49 brokerage companies in the brokerage sector of China’s A-share market as the research object, extracts the company’s stock transaction data and financial statement data, uses the KMV model to evaluate the credit risk of these companies, analyzes the calculated default distance and expected default risk of each brokerage company, and finally draws research conclusions and puts forward suggestions for the establishment of an accurate and effective risk assessment and management system for China’s brokerage industry.