我国农业类上市公司信用风险实证研究毕业论文.doc

毕业论文 （2010届） 我国农业类上市公司信用风险实证研究 摘 要 KMV模型是以期权定价模型为基础衍生发展而成的现代信用风险评估模型，利用该模型对上市公司信用风险的评价度量是近年来国内学者研究的重点。本文以KMV模型为度量手段，对农业类上市公司进行信用风险度量的适用性研究。本文利用KMV模型的计算公式，将信用风险量化，得出违约距离。进而利用违约距离与股权价值，资产价值进行相关性分析，并区分ST与非ST公司的违约距离，对农业类上市公司进行T检验，结果表明KMV模型在我国农业类上市公司信用风险度量中具有适用性。但是10年上半年数据表明ST与非ST公司在短期内没有显著性差异。通过对农业类上市公司08年上半年与10年上半年违约距离的Wilcoxon检验结果，发现农业类上市公司在次贷危机中受到的不利影响在10年已经减少。 关键词：KMV模型；违约距离；股权价值；资产价值Abstract KMV model is based on option pricing model derived from the development of the modern credit risk assessment model, using the model to evaluate listed companies in China of the credit risk is the focus of scholars in recent years. KMV model of this paper is measured by applicability means of the listed agricultural companies of credit risk measurement. This paper based on the formula of KMV model, to make the credit risk quantification, draw distance to default. Then use distance to default and the equity value, asset value to do a correlation analysis, and distinguish between ST and non STs default distance listed companies in agriculture T test results show that the KMV model of Listed agriculture Companies in China has applicability as a credit risk measurement. However, the data show that in the first half of 2010, the ST with non-ST companies have no significant difference. Listed agriculture companies through the first half of 2008 and the first half of 2010, the Wilcoxon test results from the breach of contract and found that listed agricultural companies in the subprime mortgage crisis, the adverse impact of 10 years has been reduced. Keywords: KMV model; distance to default; equity value; asset value目 录1 KMV模型理论概述 1 1.1 KMV模型简介 1 1.1.1 KMV模型理论 1 1.1.2 KMV模型假设条件 2 1.2 KMV模型基本框架 2 1.3 KMV模型优缺点 3 1.3.1 KMV模型优点 3 1.3.2 KMV模型缺点 4 2 KMV模型在我国农业类上市公司应用的计算检验 5 2.1 检验思路 5 2.2 样本选取 5 2.3 参数确定 6 2.3.1 无风险利率与债务期限的确定 6 2.3.2 股权价值的确定 6 2.3.3 股权价值波动率的确定 7 2.3.4 违约点的确定 9 2.3.5 资产价值及资产价值波动率的确定 11 2.3.6 违约距离与违约概率的计算 12 2.4 计算检验分析 14 2.4.1 相关性分析 14 2.4.2 T检验分析 15 2.4.3 Wilcoxon