摘要
KMV模型作为现代金融领域广泛运用于风险测度的一种模型,大量的实证研究表明,其可以较好地反映公司的真实信用状况。考虑到中国金融市场的特点,直接将KMV模型运用于中国金融市场,并不能达到模型的最优效果。因此,我们对KMV模型进行了一定的修正。选取我国2016~2018年共三年间的新能源汽车上市企业的数据,并且以这三年的传统行业作为对比,利用修正的KMV模型对其进行分析。研究结果表明:我国新能源汽车行业与传统行业的信用风险差别不大,甚至在某些时候表现要好于传统行业。因此,商业银行大力开展绿色信贷在一定程度上可以降低商业银行的整体风险,从而对提升银行的盈利表现有一定的促进作用。此外,我们还应注意到新能源汽车行业内部各大子板块的风险存在差异,因此商业银行在开展绿色信贷业务时,需要给予一定的考虑。
The KMV model is widely used as a model for risk measurement in the modern financial field. A large number of empirical studies have shown that it can better reflect the company’s real credit status. However, considering the characteristics of China’s financial market, directly applying the KMV model to China’s financial market can’t achieve the optimal effect of the model. Therefore, we have made some corrections to the KMV model and selected the data of listed companies of new energy automobile in China from 2016 to 2018. Based on the traditional industries in the past three years, we analyzed the new energy automobile industry with the modified KMV model. The research results show that the credit risk of China’s new energy automobile industry and traditional industries are not much different, and even at some times the new energy automobile industry’s performance is better than the traditional industry. Therefore, the strong development of green credit by commercial banks can reduce the overall risk of commercial banks to a certain extent, thus it will promote the profit performance of banks. In addition, we should also note that there are differences in the risks of the major sub-sectors in the new energy auto industry. Therefore, commercial banks need to give certain considerations when conducting green credit business.
作者
刘庆富
陈志伟
何畅
Liu Qingfu;Chen Zhiwei;He Chang(School of Economics,Fudan University,Shanghai 200433;Zheshang Asset,Hangzhou 310002,China)
出处
《复旦学报（社会科学版）》
CSSCI
北大核心
2020年第2期192-200,共9页
Fudan Journal（Social Sciences）
基金
国家自然科学基金项目(项目批准号:71871066)
上海市软科学研究计划项目(项目批准号:19692111800)
教育部科技发展中心高校产学研创新基金项目(项目批准号:2019J01013)的资助。
