| 市场分割条件下KMV模型的改进与实证分析 |
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| 引用本文： | 彭大衡,张聪宇.市场分割条件下KMV模型的改进与实证分析[J].统计与信息论坛,2011,26(5):33-38. |
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| 作者姓名： | 彭大衡 张聪宇 |
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| 作者单位： | 广东商学院,金融学院,广东,广州,510320 |
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| 基金项目： | 教育部人文社会科学研究规划基金项目《快扩散与市场分割条件下的KMV模型及其应用研究》 |
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| 摘 要： | 为克服传统KMV模型只能应用于单一市场的困难,将多市场的股权价值、股权价值波动的相关性、汇率等因素纳入考虑,建立市场分割条件下的KMV模型。选取了24家A＋H上市公司对所建模型进行了实证分析,结果表明,模型对不同公司的违约距离有较好的区分能力。
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| 关 键 词： | 信用风险 KMV模型 市场分割 |
Improvement of KMV Model under Market Segmentation and its Empirical Analysis |
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| PENG Da-heng,ZHANG Cong-yu.Improvement of KMV Model under Market Segmentation and its Empirical Analysis[J].Statistics & Information Tribune,2011,26(5):33-38. |
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| Authors: | PENG Da-heng ZHANG Cong-yu |
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| Institution: | PENG Da-heng,ZHANG Cong-yu(School of Finance,Guangdong University of Business Studies,Guangzhou 510320,China) |
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| Abstract: | To overcome the difficulty that traditional KMV model can only be applied to the single market circumstance,this paper establishes KMV model under market segmentation,where multi-equity values,correlation between volatility of equity values,exchange rate,etc.,are taken into consideration.Then using the new model to do empirical analysis for 24 A + H shares.The results show that the new KMV model has a better discriminatory power in default distance. |
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| Keywords: | credit risk KMV model market segmentation |
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