【作者】 鲍瑜；

【导师】 高宏霞；

【作者基本信息】 兰州大学 ， 金融学， 2013， 硕士

【副题名】基于甘肃省上市公司的实证

【摘要】 自从信用风险出现以来,它就始终影响和困扰着经济活动中的各个主体。随着20世纪70年代开始的金融自由化和经济全球化,金融市场中的各类风险开始急剧凸显。进入20世纪90年代后,金融危机频繁爆发,危机给各国带来了巨大的影响和损失,信用风险管理受到了社会各界的高度关注。我国社会信用体系尚未完全建立,股票市场的投机行为和上市公司经营运作违规现象时有发生,我国上市公司的信用问题已成为我国资本市场进一步发展的严重阻碍,如何采取更有效的措施控制信用风险,是金融市场和金融机构持续面临的重大挑战。本文结合理论介绍和实证研究,在KMV模型的基础上度量了甘肃省上市公司的信用风险水平。首先,本文的理论部分对信用风险的概念,信用风险度量的理论基石,上市公司信用风险度量方法的演变,以及信用风险度量方法的比较等进行了介绍。然后,对本文运用的KMV信用风险度量模型进行了构建及修正。最后,选文甘肃省23家上市公司,采用样本公司2012年12月股票市场和2012年第三季度季报中的数据,运用KMV模型计算出每一家上市公司的违约距离和预期违约概率,将它们与信用评级、资产负债比率进行比较,分析样本公司的信用风险状况。结果表明：甘肃省上市公司的违约风险较低,信用状况良好。以证券市场信息为基础的KMV模型,基本可以准确测度和反映样本上市公司信用风险质量的变化,在我国有较好的适用性。更多还原

【Abstract】 Since its appearance, credit risk has always bothered the principle parties of economic activities. With the development of financial liberalization and economic globalization since1970s, various types of risks in the financial markets began to appear dramatically. Financial crisis outbreaks frequently since1990s, as a result, many countries suffer huge losses and much attention has been paid to the credit risk management. China is in a period of economic restructuring, social credit system is not yet fully established, speculative behaviors in the stock market and irregular operations of listed companies have occurred occasionally. The credit issue of China’s listed companies has become a serious impediment to the further development of China’s capital market. Therefore, how to take more effective measures to control credit risk is a significant challenge which financial markets and financial institutions have to continuously meet.In this thesis, we measure the credit risk of listed companies in Gansu Province on the basis of the KMV model through theoretical introduction and empirical research. First, the concepts of credit risk, theoretical foundations of credit risk measurement, the evolution of credit risk measurement methods of listed companies, and the comparison and selection of credit risk measurement methods are introduced in the theoretical part. Then we construct and modify the KMV credit risk measurement model used in this paper. Finally, we selected23listed companies in Gansu Province and measured their credit risk by adopting the data from stock market in December,2012and the data from the third-quarter reports. We adopt the KMV model to calculate the distance to default and the expected probability of default of these listed companies, and compare them with credit rating and asset-liability ratio. The results show that the credit risk of listed companies in Gansu Province is low and these companies are in good credit standing. The KMV model based on the information from stock market can accurately measure and reflect the credit risk changes of listed companies; hence, it owns strong applicability in China.更多还原