【摘要】：KMV模型作為國(guó)際金融界最為流行的信用風(fēng)險(xiǎn)評(píng)估模型之一,是信用衍生品定價(jià)理論體系中重要工具。其利用Black-Scholes期權(quán)定價(jià)公式,根據(jù)企業(yè)股權(quán)的市場(chǎng)價(jià)值及其波動(dòng)性、到期時(shí)間、無(wú)風(fēng)險(xiǎn)借貸利率及負(fù)債的賬面價(jià)值估計(jì)出企業(yè)資產(chǎn)的市場(chǎng)價(jià)值、資產(chǎn)價(jià)值的波動(dòng)性。根據(jù)KMV模型理論,企業(yè)的違約率是由企業(yè)價(jià)值與違約點(diǎn)的距離決定的,其中違約點(diǎn)計(jì)算的經(jīng)驗(yàn)公式由KMV公司給出。 本文以KMV模型為基礎(chǔ),以我國(guó)上市公司為研究對(duì)象,通過(guò)挖掘財(cái)務(wù)報(bào)表信息,對(duì)各公司債務(wù)結(jié)構(gòu)進(jìn)行分析,依據(jù)破產(chǎn)法中對(duì)償債順序規(guī)定以及從企業(yè)角度考慮債權(quán)對(duì)自身償債壓力的大小,重新劃分獲得三類(lèi)債權(quán)數(shù)據(jù),并以三類(lèi)資產(chǎn)負(fù)債率為自變量,以違約時(shí)企業(yè)價(jià)值與資產(chǎn)總額之比為因變量進(jìn)行擬合,消除公司規(guī)模間差異,從而獲得適用我國(guó)上市公司違約點(diǎn)計(jì)算的一般公式,通過(guò)對(duì)比公式中變量系數(shù)發(fā)現(xiàn),系數(shù)大小次序與三類(lèi)負(fù)債對(duì)公司的償債壓力大小次序一致。并通過(guò)對(duì)比被特殊處理上市公司與普通公司違約距離,得到顯著差異,得出公式對(duì)違約點(diǎn)能夠有效測(cè)算的最終結(jié)論。 本文結(jié)合上市公司披露的務(wù)報(bào)表中負(fù)債的數(shù)據(jù),考慮各項(xiàng)法律法規(guī)對(duì)債權(quán)人合法權(quán)益和債務(wù)人應(yīng)負(fù)義務(wù)的規(guī)定,剖析負(fù)債結(jié)構(gòu)對(duì)公司違約率發(fā)生的影響,挖掘報(bào)表信息所反映出的企業(yè)信用違約風(fēng)險(xiǎn)。同時(shí)以我國(guó)上市公司樣本數(shù)據(jù)為基礎(chǔ),對(duì)其進(jìn)行了實(shí)證研究,得出違約點(diǎn)計(jì)算公式有效可行。
[Abstract]:As one of the most popular credit risk assessment models in international financial circles, KMV model is an important tool in the pricing system of credit derivatives. By using Black-Scholes option pricing formula, the market value of enterprise assets and the volatility of assets value are estimated according to the market value and its volatility, maturity time, risk-free lending interest rate and book value of liabilities. According to the KMV model theory, the default rate is determined by the distance between the enterprise value and the default point, and the empirical formula for calculating the default point is given by KMV Company. Based on the KMV model, this paper analyzes the debt structure of the listed companies by mining the information of the financial statements, taking the listed companies of our country as the research object. According to the order of payment in bankruptcy law and considering the pressure of creditor's rights on its own from the angle of enterprise, the author reclassifies three kinds of data of creditor's rights, and takes the three kinds of asset-liability ratio as independent variables. Taking the ratio of enterprise value and total assets as dependent variable to eliminate the difference between company size, the general formula for calculating the default point of listed companies in China is obtained. The coefficient of variables in the comparison formula is found. The order of coefficient size is consistent with the order of debt repayment pressure of the three types of liabilities on the company. By comparing the distance between the listed company and the ordinary company, the paper obtains the significant difference, and draws the final conclusion that the formula can measure the default point effectively. Based on the data of liabilities disclosed by listed companies, considering the provisions of various laws and regulations on the legitimate rights and interests of creditors and the obligations of debtors, this paper analyzes the influence of debt structure on the rate of corporate default. Excavate the enterprise credit default risk reflected by the report information. At the same time, based on the sample data of the listed companies in China, the empirical study is carried out, and the formula of calculating the default point is effective and feasible.
【學(xué)位授予單位】：大連理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F275;F832.51;F224

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