Empirical Research on Credit Risk Evaluation of Chinese Listed Corporation Based on Modified KMV Model

摘要：

At present, domestic experts have achieved some fruits in the combination of KMV model and the Chinese situation. Based on the current researching achievements in china, this paper modifies the KMV model further that the value of equity equal to nontradable shares plus the net asset per share, and uses the GARCH model to valuate the volatility of equity return and get the volatility of asset return. Finally, this paper makes use of this modified KMV model to do an empirical research on the Chinese listed corporation. The result not only demonstrates the practicability, operation and adaptation of this modified KMV model in the Chinese stock market, and also shows that this approach could be one of the important references for investment decision of financial industry in china.

关键词： Credit risk Modified KMV model Empirical research Generalized Autoregression Conditional Heteroskedasticity (GARCH)

作者: LU Chao

作者单位: The School of Finance,Renmin University of China,P.R.China,100872

会议类型: 国际会议

会议名称: 2009 International Conference on Management Science and Engineering(2009管理科学与工程国际会议)

会议地点: 北京

会议语种:英文

页码: 305-309

在线出版日期: 2009-11-01（万方平台首次上网日期，不代表论文的发表时间）