CAJ | 학술논문

经过提高股权价值波动率精确度的KMV模型对我国中小上市公司有很强的识别信用风险状况的能力,我们可以通过设定两条信用预警线,来监控中小上市公司的信用危机。文章研究发现,资产规模对信用风险有显著影响,2004年之后资产规模与违约风险显著负相关,总资产小于3亿元的小公司抗风险能力最差。股权分置改革引起了中小上市公司信用风险短时间的波动,是2006年中小上市公司违约风险变大的重要原因。
경과제고고권개치파동솔정학도적KMV모형대아국중소상시공사유흔강적식별신용풍험상황적능력,아문가이통과설정량조신용예경선,래감공중소상시공사적신용위궤。문장연구발현,자산규모대신용풍험유현저영향,2004년지후자산규모여위약풍험현저부상관,총자산소우3억원적소공사항풍험능력최차。고권분치개혁인기료중소상시공사신용풍험단시간적파동,시2006년중소상시공사위약풍험변대적중요원인。
The KMV model, which is improved by increasing the precision of fluctuate rate of stock values, is more capable of identifying credit risk for listed small ＆ medium enterprises （SMEs） in China. We supervise and control the credit crisis of listed SMEs by setting two credit warning lines. The result indicates that asset size has a significant impact on credit risk, default risk. Asset size are significantly negatively correlated with default risk after the year of 2004, and the ability of risk-resisting for small companies whose total assets are less than 300 million yuan is the worst. Non-tradable Shares Reform brings the fluctuations of credit risk in a short time, which is the major reason why the default risk of listed SMEs increased in 2006.