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在经济新常态背景下,以船舶制造行业上市公司为研究对象,运用GARCH(1,1)修正KMV信用风险评估模型的主要参数,并将扩展模型应用于样本公司的信用风险度量。实证结果表明,修正后的KMV模型对上市公司违约风险水平的判定比较准确,且具有较强的前瞻性;我国船舶制造行业尽管面临诸多经营困境,违约风险却极低,与政策扶持和企业自身加强风险管理有关。
Under the new economic normal background, taking the listed companies in the shipbuilding industry as the research object, the main parameters of KMV credit risk assessment model are modified by GARCH (1,1), and the extended model is applied to the sample company’s credit risk measurement. The empirical results show that the modified KMV model is more accurate in judging the default risk level of listed companies and has a strong forward-looking. Although China’s shipbuilding industry faces many operational difficulties, the risk of default is extremely low, and the policy support and the enterprises themselves Related to strengthening risk management.