摘要
如何对我国中小企业的信用风险进行准确的衡量一直是我国商业银行所关注的焦点。在沪深两市选取40家中小上市公司作为中小企业的代表,根据这40家公司2012年至2014年的违约状况对KMV模型进行修正,修正后的违约点DP=1.50SD+0.77LD,说明我国中小上市公司整体的信用风险大于国外公司的信用风险。依据得出的违约距离值设置出两条信用危机预警线,从而使我国商业银行能够提前发现中小企业的信用危机,提前做好防范措施,使损失最小化。
How to accurately measure the credit risk of China＇s small and medium-sized listing firms has been the focus of attention of Chinese commercial banks.This paper selects 40 listing firms in Shanghai stock exchange and Shenzhen stock exchange as the representative of small and medium-sized enterprises,and modifies the KMV model according to the default status of these 40 firms from 2012 to 2014.The formula DP=1.50SD＋0.77 LD shows that the credit risk of our country＇s small and medium-sized listing firms is greater than foreign company＇s.Then this paper sets out two credit crisis warning lines on the basis of the distance to default,With the two lines the commercial banks of our country can discovery the credit crisis of small and medium-sized firms in advance,as so to minimize the losses.
出处
《科技和产业》
2015年第10期115-119,共5页
Science Technology and Industry
