KMV模型在中国互联网金融中的信用风险测算研究

北京邮电大学学报(社会科学版) ›› 2013, Vol. 15 ›› Issue (6): 75-81.

KMV模型在中国互联网金融中的信用风险测算研究

1.北京邮电大学经济管理学院, 北京100876; 2.北京外国语大学国际商学院, 北京100089

收稿日期:2013-10-08 出版日期:2013-12-30 发布日期:2023-03-23
基金资助:
国家自然科学基金项目(71373029,70873012); 教育部人文社会科学基金项目(07JA790005)

Study on Calculation of Credit Risks Based on KMV Model in China’s Internet Finance

1. School of Economics and Management, Beijing University of Posts and Telecommunications,
Beijing 100876, China; 2. International Business School, Beijing Foreign Studies University,
Beijing 100089, China

Received:2013-10-08 Online:2013-12-30 Published:2023-03-23

摘要/Abstract

摘要：

随着互联网金融风潮的兴起，各大金融机构和电商都在积极抢占市场。现阶段中国互联网金融的核心是金融规则和对风险的控制，尤其是对信用风险的控制更是有待探索的难点问题。本文采用真实的金融市场数据，模拟了应用信用风险度量（KMV）模型测算公司信用风险状况的全过程，分别求出样本公司资产价值波动率σA、违约距离(DD)和预期违约率(EDF)。通过对测算结果的检验与分析研究，证明了将KMV模型应用于互联网金融中对企业信用风险的评估，在现实中拥有一定的可行性,并为将来研究如何形成规范化、流程化的线上信用风险评估体系打下基础。

关键词: 信用风险度量模型, 互联网金融, 信用风险, 风险测算

Abstract:

The tides of the Internet finance stimulate financial institutions and Internet business companies to enlarge their market shares. The present Internet finance in China concentrates on financial rules and the risk control, and almost every market player encounters the problem on credit evaluation. The whole calculation process is simulated by applying the KMV model, and the asset value volatility (σA), distance to default (DD) and expected default frequency (EDF) of 18 public companies in China are obtained. The results proves that KMV is feasible and effective in calculating credit risks in the present Internet finance in China and lays a foundation for the further study on building a reliable and standardized system to evaluate the credit risks of on-line transactions.

Key words: KMV model, Internet finance, credit risk, risk calculation

中图分类号:

孙小丽, 彭龙, . KMV模型在中国互联网金融中的信用风险测算研究[J]. 北京邮电大学学报(社会科学版), 2013, 15(6): 75-81.

SUN Xiao-li, PENG Long, . Study on Calculation of Credit Risks Based on KMV Model in China’s Internet Finance[J]. Journal of Beijing University of Posts and Telecommunications(Social Sciences Edition), 2013, 15(6): 75-81.

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