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在KM V框架的基础上对股权价值计算方法进行了改进,通过改进后的方法,计算出1999年至2006年各年所有上市公司的违约距离、理论违约率、企业价值、股权价值等指标数据.从分析的结果来看,上市公司规模对信用风险有一定影响,上市公司规模越大,信用风险越小,公司规模越小,信用风险越大.从违约风险的变化情况看,2003—2006年上市公司的违约距离呈下降态势,说明近年来上市公司的违约风险加大.对比沪深300上市公司股改前和股改后信用状况,发现股改前后信用状况有显著不同,股改后上市公司的违约风险变大.通过违约距离的敏感性分析,认为股权价值波动率对违约距离最敏感.
On the basis of KM V framework, the method of calculating equity value is improved. Through the improved method, the index of default distance, theoretical default rate, corporate value and equity value of all the listed companies from 1999 to 2006 are calculated From the analysis of the results, the scale of listed companies have a certain impact on credit risk, the larger the size of listed companies, the smaller the credit risk, the smaller the company size, the greater the credit risk.From the change of default risk, 2003-2006 The default distance of listed companies declines in recent years, which indicates that the default risk of listed companies increases in recent years.Comparing the credit status of listed companies in Shanghai and Shenzhen before the reform and after the share reform, we find that the credit conditions are significantly different before and after the share reform, The risk becomes larger.According to the sensitivity analysis of the default distance, the stock price volatility is considered to be the most sensitive to the default distance.