发行债券的上市公司信用风险度量研究Credit risk measurement of corporate bond issuers
李亚丽,彭娟
摘要(Abstract)：
在对KMV模型进行参数修正的基础上,利用MATLAB算出制造业中发公司债的上市公司信用级别"高"和"低"两组的违约距离,结果信用级别"高"的一组违约距离均值显著大于"低"的一组,表明该KMV模型能较好地区分发行公司债的上市公司信用风险;对上市公司按行业分析,可得房地产行业违约距离均值相对较低,信用风险较高;对违约距离进行敏感性分析,可得股权价值波动率对违约距离最敏感。
关键词(KeyWords)： KMV模型;公司债;信用风险;违约距离
基金项目(Foundation):
作者(Author): 李亚丽,彭娟
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