经济与管理
經濟與管理
경제여관리
ECONOMY AND MANAGEMENT
2013年
7期
59-66
,共8页
信用风险%KMV信用风险模型%违约距离%GARCH模型%SV模型
信用風險%KMV信用風險模型%違約距離%GARCH模型%SV模型
신용풍험%KMV신용풍험모형%위약거리%GARCH모형%SV모형
Credit risk%KMV model%Default distance%GARCH model%SV model
KMV模型是度量信用风险的主要模型，股权价值波动率是KMV模型的重要参数，应用改进KMV模型GARCH-KMV模型与SV-KMV模型对中国上市公司信用质量的实证研究表明：股权价值波动与KMV模型的结果违约距离高度负相关；GARCH-KMV与SV-KMV模型均能度量上市公司信用状况，但SV-KMV模型比GARCH-KMV模型度量效果更好。
KMV模型是度量信用風險的主要模型，股權價值波動率是KMV模型的重要參數，應用改進KMV模型GARCH-KMV模型與SV-KMV模型對中國上市公司信用質量的實證研究錶明：股權價值波動與KMV模型的結果違約距離高度負相關；GARCH-KMV與SV-KMV模型均能度量上市公司信用狀況，但SV-KMV模型比GARCH-KMV模型度量效果更好。
KMV모형시도량신용풍험적주요모형，고권개치파동솔시KMV모형적중요삼수，응용개진KMV모형GARCH-KMV모형여SV-KMV모형대중국상시공사신용질량적실증연구표명：고권개치파동여KMV모형적결과위약거리고도부상관；GARCH-KMV여SV-KMV모형균능도량상시공사신용상황，단SV-KMV모형비GARCH-KMV모형도량효과경호。
The KMV model is the main model of credit risk measurement, and the value of equity volatility is the most important variables which affect the results of the KMV model. So, it is important for improving the accuracy of KMV model to calculate the value of equity volatility exactly. The research indicates that the value of equity volatility and KMV model results highly negative correlation distance to default; Comparing GARCH-KMV model with SV-KMV model, we prove the SV-KMV model is better than GARCH-KMV model from several different angles.
