基于kmv或者edf模型 金融工程實驗論文

1、摘 要利用KMV模型中的 EDF模型作為度量公司違約發(fā)生可能性大小的指標，通過觀察它來提供風險預警，其中我們著重分析主要的幾個要素包括資產(chǎn)價值、資產(chǎn)波動率、違約距離從而計算出DEF來判定一個公司的違約風險，可以對股權(quán)公開交易的公司的違約風險做出概率上的預測關(guān)鍵字EDF模型；違約距離；違約風險一、信用風險的度量：信用風險又稱違約風險，是指借款人、證券發(fā)行人或交易對方因種種原因，不愿或無力履行合同條件而構(gòu)成違約，致使銀行、投資者或交易對方遭受損失的可能性。銀行存在的主要風險是信用風險，即交易對手不能完全履行合同的風險。這種風險不只出現(xiàn)在貸款中，也發(fā)生在擔保、承兌和證券投資等表內(nèi)、表外業(yè)務中。如果銀

2、行不能及時識別損失的資產(chǎn)，增加核銷呆賬的準備金，并在適當條件下停止利息收入確認，銀行就會面臨嚴重的風險問題。由于信用風險會對公司或個人的利益產(chǎn)生很大的影響，因此信用風險管理變成很重要的工作，較大的公司常有專門人員，針對各個交易對像的信用狀況作評估來衡量可能的損益以及減低可能的損失。中小企業(yè)的高成長性及發(fā)展的不穩(wěn)定性，使得對其信貸風險 的度量及判別顯得尤為重要，但由于市場較少對其進行信用評級 及其歷史違約數(shù)據(jù)的缺乏，使得許多依賴上述條件的現(xiàn)代信貸風 險度量模型無法應用，而以上市公司股價為基礎(chǔ)的KMV信貸風險 度量模型則可以很好地發(fā)揮作用，在當前條件下 ，KMV模型主要 是以違約距離來進行判別。

3、KMV模型的違約距離主要是基于上市公司股價，較少涉及公司的財務數(shù)據(jù) 。但公司出現(xiàn)信貸違約往往跟企業(yè)的財務狀況 緊緊 聯(lián)系在一起 ，后者是前者的反映。作為中小企業(yè)，其財務指標是否 可靠，其對違約判別的效果如何，尚不得知。為了說明違約距離跟 財務指標的關(guān)系及比較二者在判斷中小上市公司違約效果的優(yōu)劣 ，本文探討考慮違約距離的違約判別模型，評價其判別效率，并 與無違約距離的違約判別模型及KMV模型的違約距離三者進行判別比較。信用風險對于銀行、債券發(fā)行者和投資者來說都是一種非常重要的影響決策的因素。若某公司違約，則銀行和投資者都得不到預期的收益。現(xiàn)有多種方法可以對信用風險進行管理。但是，現(xiàn)有的這些方法并

4、不能滿足對信用風險管理的更高要求。本部分對如何測量信用風險和信用風險對投資者、發(fā)行者和銀行的影響作了詳細說明。并對管理信用風險的傳統(tǒng)方法（如貸款出售、投資多樣化和資產(chǎn)證券化等）作了總結(jié)。二、實證研究近些年，在市場風險量化模型技術(shù)和信用衍生產(chǎn)品市場的發(fā)展的推動下，以Creditmetrics、KMV、Creditrisk+為代表的信用風險量化和模型管理的研究和應用獲得了相當大的發(fā)展，信用風險管理決策的科學性不斷增強，這已成為現(xiàn)代信用風險管理的重要特征之一。本文我們將采用KMV模型以四川長虹和萬科為例對信用風險進行實證研究。選兩支股票，分別是四川長虹（）、萬科A（）假設：1.公司股票價格服從對數(shù)正

5、態(tài)分布2.無風險利率使用中國人民銀行公布的一年期定期整存整取的存款利率3.債務平均期限為一年4.在違約距離計算公式中，假定公司一年后的資產(chǎn)價值增長率為05.在計算股票波動率時以周收益波動率為最小計數(shù)單位6.收盤價取2012年1 月4 日起至2013 年12 月31日止。首先估計公司資產(chǎn)當前的市值和波動率（一）對于四川長虹的分析每股收益 (元):0.0672目前流通(萬股) :.78每股凈資產(chǎn) (元):3.0000總 股 本(萬股) :.42每股公積金 (元):0.8376主營收入同比增長 (%):14.24每股未分配利潤(元):0.4192凈利潤同比增長 (%):55.06每股經(jīng)營現(xiàn)金流(元)

6、:0.2700凈資產(chǎn)收益率 (%):2.272013中期每股收益(元):0.0492凈利潤同比增長 (%):54.392013中期主營收入(萬元):.26主營收入同比增長 (%):20.732013中期每股經(jīng)營現(xiàn)金流(元):0.1351凈資產(chǎn)收益率 (%):1.65分配預案: 不分配最近除權(quán): 10派0.1(2013.08.13)擬披露年報: 2014-04-10曾用名: 四川長虹-G長虹截止日期2013-09-302013-06-302013-03-312012-12-31報表來源季報中報季報年報流動負債合計35 023 197 56232 409 983 90529 816 923 407

7、30 770 791 636非流動負債合計5 685 326 0495 426 324 4925 974 104 7415 663 703 435負債合計40 708 523 61137 836 308 39735 791 028 14836 434 495 071流動負債均值為:長期負債均值為:四川長虹日數(shù)據(jù)日期收盤相對價格收益率2012/1/42.112012/1/52.10.-0.2012/1/62.121.0.2012/1/92.191.0.2012/1/102.291.0.2012/1/112.270.-0.2012/1/122.240.-0.2012/1/132.230.-0.20

8、12/1/162.180.-0.2012/1/172.281.0.2012/1/182.250.-0.2012/1/192.271.0.2012/1/202.291.0.2012/1/302.240.-0.2012/1/312.230.-0.2012/2/12.210.-0.2012/2/22.251.01810.2012/2/32.261.0.2012/2/62.250.-0.2012/2/72.20.-0.2012/2/82.241.0.2012/2/92.261.0.2012/2/102.311.0.2012/2/132.30.-0.2012/2/142.270.-0.2012/2/15

9、2.311.0.2012/2/162.31102012/2/172.30.-0.2012/2/202.371.0.2012/2/212.391.0.2012/2/222.481.0.2012/2/232.460.-0.2012/2/242.46102012/2/272.711.0.2012/2/282.731.007380.2012/2/292.710.-0.2012/3/12.690.99262-0.2012/3/22.751.0.2012/3/52.690.-0.2012/3/62.630.-0.2012/3/72.620.-0.2012/3/82.62102012/3/92.621020

10、12/3/122.610.-0.2012/3/132.61102012/3/142.480.-0.2012/3/152.420.-0.2012/3/162.461.0.2012/3/192.46102012/3/202.410.-0.2012/3/212.471.0.2012/3/222.440.-0.2012/3/232.390.-0.2012/3/262.380.-0.2012/3/272.41.0.2012/3/282.270.-0.2012/3/292.220.-0.2012/3/302.241.0.2012/4/52.291.0.2012/4/62.31.0.2012/4/92.27

11、0.-0.2012/4/102.331.0.2012/4/112.320.-0.2012/4/122.371.0.2012/4/132.37102012/4/162.381.0.2012/4/172.350.-0.2012/4/182.391.0.2012/4/192.380.-0.2012/4/202.421.0.2012/4/232.370.-0.2012/4/242.320.-0.2012/4/252.361.0.2012/4/262.350.-0.2012/4/272.340.-0.2012/5/22.371.0.2012/5/32.350.-0.2012/5/42.381.0.201

12、2/5/72.360.-0.2012/5/82.381.0.2012/5/92.310.-0.2012/5/102.290.-0.2012/5/112.31.0.2012/5/142.280.-0.2012/5/152.331.021930.2012/5/162.310.-0.2012/5/172.341.0.2012/5/182.290.-0.2012/5/212.29102012/5/222.31.0.2012/5/232.270.-0.2012/5/242.250.-0.2012/5/252.240.-0.2012/5/282.261.0.2012/5/292.321.0.2012/5/

13、302.30.-0.2012/5/312.3102012/6/12.290.-0.2012/6/42.220.-0.2012/6/52.22102012/6/62.22102012/6/72.20.-0.2012/6/82.2102012/6/112.231.0.2012/6/122.210.-0.2012/6/132.221.0.2012/6/142.210.-0.2012/6/152.221.0.2012/6/192.210.-0.2012/6/202.21102012/6/212.170.9819-0.2012/6/252.130.-0.2012/6/262.120.-0.2012/6/

14、272.10.-0.2012/6/282.070.-0.2012/6/292.11.0.2012/7/22.090.-0.2012/7/32.11.0.2012/7/42.090.-0.2012/7/52.070.-0.2012/7/62.11.0.2012/7/92.050.97619-0.2012/7/102.020.-0.2012/7/112.041.0.2012/7/122.04102012/7/132.051.0.2012/7/1620.97561-0.2012/7/172.011.0050.2012/7/182.031.009950.2012/7/192.041.0.2012/7/

15、202.071.0.2012/7/232.030.-0.2012/7/242.041.0.2012/7/252.020.-0.2012/7/262.02102012/7/272.031.004950.2012/7/302.010.-0.2012/7/3120.-0.2012/8/12.011.0050.2012/8/22.041.0.2012/8/32.051.0.2012/8/62.11.024390.2012/8/72.080.-0.2012/8/82.08102012/8/92.091.0.2012/8/102.070.-0.2012/8/132.040.-0.2012/8/142.05

16、1.0.2012/8/152.040.-0.2012/8/162.030.-0.2012/8/172.03102012/8/202.020.-0.2012/8/212.031.004950.2012/8/222.020.-0.2012/8/232.031.004950.2012/8/242.010.-0.2012/8/271.980.-0.2012/8/2821.0.2012/8/291.970.985-0.2012/8/301.960.-0.2012/8/311.96102012/9/31.971.0.2012/9/41.940.-0.2012/9/51.920.-0.2012/9/61.9

17、41.0.2012/9/721.0.2012/9/102102012/9/111.980.99-0.2012/9/122.011.0.2012/9/131.990.99005-0.2012/9/142.051.0.2012/9/171.990.-0.2012/9/181.970.98995-0.2012/9/1921.0.2012/9/201.930.965-0.2012/9/211.93102012/9/241.93102012/9/251.93102012/9/261.90.-0.2012/9/271.931.0.2012/9/281.961.0.2012/10/81.950.-0.201

18、2/10/91.991.0.2012/10/102.021.0.2012/10/111.990.-0.2012/10/1221.0.2012/10/151.980.99-0.2012/10/161.970.-0.2012/10/171.981.0.2012/10/182.021.0.2012/10/1920.-0.2012/10/222102012/10/232102012/10/242.051.0250.2012/10/252.040.-0.2012/10/261.990.97549-0.2012/10/291.980.-0.2012/10/301.970.-0.2012/10/311.99

19、1.0.2012/11/12.021.0.2012/11/22.010.99505-0.2012/11/52.041.0.2012/11/62.04102012/11/72.020.-0.2012/11/81.970.-0.2012/11/91.981.0.2012/11/122.011.0.2012/11/131.970.9801-0.2012/11/141.97102012/11/151.960.-0.2012/11/161.930.-0.2012/11/191.941.0.2012/11/201.930.-0.2012/11/211.961.0.2012/11/221.940.-0.20

20、12/11/231.951.0.2012/11/261.930.-0.2012/11/271.90.-0.2012/11/281.870.-0.2012/11/291.881.0.2012/11/301.91.0.2012/12/31.870.-0.2012/12/41.891.0.2012/12/51.941.0.2012/12/61.930.-0.2012/12/71.961.0.2012/12/101.981.0.2012/12/111.960.-0.2012/12/121.96102012/12/131.940.-0.2012/12/142.011.0.2012/12/172.0110

21、2012/12/182.01102012/12/1920.-0.2012/12/201.990.995-0.2012/12/212.021.0.2012/12/242.02102012/12/252.061.0.2012/12/262.06102012/12/272.040.-0.2012/12/282.051.0.2012/12/312.0510均值2.合計-0.均值0.標準差0.因此平均收益率為1=0.%（1為u1的均值，樣本數(shù)據(jù)為264）波動率為1=0.，股權(quán)市場價值的周標準差1和年標準差1 1間的關(guān)系為：（假定年交易天數(shù)為250天）11=1250=0.由此，計算出的四川長虹的日收益標準

22、差1=0.，年收益標準差11=250=0.關(guān)于公司股權(quán)市值，由于我國證券市場目前存在的股權(quán)分裂問題導致了非流通股定價困難，從而影響了股權(quán)價值的計算，本文參考上市公司股票全流通研究中非流通股定價，以每股凈資產(chǎn)計算非流通股的價格，即：上市公司股權(quán)市場價值流通股市場價值非流通股市場價值周平均收盤價格流通股股數(shù)每股凈資產(chǎn)非流通股股數(shù)由此，四川長虹股權(quán)市場價值E12.1553.0（）違約點B1，即DPT1=STD+0.5LTD0.5經(jīng)過整理歸納出一年期定期整存整取的存款利率作為無風險利率，如下表二所示：年份200620072008201020112012年利率%5.996.936.345.696.316

23、.16設2012年12月7日到2013年12月23日期間利率r為期間20062012年利率算術(shù)平均值，即：r=6.24%而時間T=382365根據(jù)chinaprovince軟件，可以算出四川長虹以下數(shù)據(jù)：資產(chǎn)市值：.011 資產(chǎn)波動率：0.債務市值：0 違約概率：0違約距離：241. 信用價差：0 （二）對于萬科A的分析每股收益 (元):0.5600目前流通(萬股) :.84每股凈資產(chǎn) (元):6.2000總 股 本(萬股) :.21每股公積金 (元):0.8075主營收入同比增長 (%):37.48每股未分配利潤(元):2.8023凈利潤同比增長 (%):21.27每股經(jīng)營現(xiàn)金流(元):-1

24、.0900凈資產(chǎn)收益率 (%):9.312013中期每股收益(元):0.4100凈利潤同比增長 (%):22.312013中期主營收入(萬元):.56主營收入同比增長 (%):34.722013中期每股經(jīng)營現(xiàn)金流(元):-0.8900凈資產(chǎn)收益率 (%):6.91分配預案: 不分配最近除權(quán): 10派1.8(2013.05.16)擬披露年報: 2014-03-07曾用名: 深萬科A-萬科A-G萬科A萬科A() 資產(chǎn)負債表單位：萬元報表日期2013-09-302013-06-302013-03-312012-12-312012-09-30流動負債合計33,016,300.0031,410,100.

25、0029,923,700.0025,983,400.0023,355,500.00非流動負債合計3,660,860.003,007,520.003,403,070.003,682,990.004,257,870.00負債合計36,677,100.0034,417,600.0033,326,800.0029,666,300.0027,613,400.00非流動負債均值 ：0流動負債均值：0萬科A周數(shù)據(jù)日期收盤相對價格收益率2007/1/55.532007/1/126.051.0.089872007/1/196.511.0.2007/1/267.091.0.2007/2/25.350.-0.281

26、592007/2/95.611.0.2007/2/166.281.119430.2007/3/25.340.-0.162142007/3/95.841.0.2007/3/165.971.022260.2007/3/236.111.0.023182007/3/306.261.024550.2007/4/66.61.0.2007/4/127.111.0.2007/4/206.820.-0.041642007/4/276.82102007/4/306.881.0.2007/5/118.671.0.231252007/5/189.781.0.2007/5/2510.861.0.2007/6/110.7

27、80.-0.007392007/6/8111.0.2007/6/1511.351.0.2007/6/2211.691.0.2007/6/2911.360.-0.028642007/7/611.521.0.2007/7/1212.691.0.096732007/7/2015.431.0.2007/7/2716.471.0.2007/8/320.531.0.2007/8/1020.510.-0.000972007/8/1718.690.-0.092922007/8/2321.151.0.2007/8/3120.530.-0.029752007/9/719.40.-0.056612007/9/131

28、9.360.-0.002062007/9/2118.090.-0.067852007/9/2818.281.0.2007/10/1219.961.0.2007/10/1919.090.-0.044572007/10/2621.561.0.2007/11/223.811.104360.2007/11/921.280.-0.112342007/11/1620.840.-0.020892007/11/2319.090.-0.087712007/11/3019.131.0.2007/12/720.361.0.2007/12/1418.130.-0.1162007/12/2117.090.-0.0590

29、72007/12/2817.431.0.2008/1/417.681.0.2008/1/1118.821.064480.2008/1/1816.810.-0.112952008/1/2516.280.-0.032042008/2/116.28102008/2/517.041.0.2008/2/1515.940.-0.066732008/2/2214.40.-0.10162008/2/2913.940.-0.032472008/3/713.971.0.002152008/3/1412.50.-0.111182008/3/2114.671.17360.2008/3/2816.071.0.09115

30、2008/4/314.910.-0.074922008/4/1115.331.0.027782008/4/1812.090.78865-0.237432008/4/2514.31.0.2008/4/3014.641.0.2008/5/913.080.-0.112672008/5/1612.940.-0.010762008/5/2311.560.-0.112772008/5/3011.751.0.2008/6/611.70.-0.004262008/6/139.720.-0.18542008/6/208.820.-0.097162008/6/278.510.-0.035782008/7/48.3

31、40.-0.020182008/7/118.971.075540.2008/7/188.10.90301-0.102022008/7/258.621.0.2008/8/18.120.-0.059752008/8/870.-0.148422008/8/156.610.-0.057332008/8/226.340.-0.04172008/8/296.551.0.2008/9/55.830.-0.116452008/9/125.10.-0.133782008/9/195.161.0.2008/9/2661.0.2008/10/105.380.-0.109072008/10/176.221.0.200

32、8/10/2460.96463-0.036012008/10/315.350.-0.114662008/11/75.170.-0.034222008/11/146.391.0.2008/11/216.39102008/11/286.290.-0.015772008/12/57.021.0.2008/12/126.780.-0.034792008/12/197.191.0.2008/12/2660.-0.180932008/12/315.920.-0.013422009/1/96.361.0.2009/1/166.391.0.2009/1/236.511.0.2009/2/67.291.0.20

33、09/2/138.021.0.2009/2/207.210.-0.106472009/2/276.620.-0.085372009/3/67.551.0.2009/3/137.180.-0.050252009/3/207.61.0.2009/3/277.81.0.2009/4/38.141.043590.2009/4/97.860.-0.0352009/4/177.91.0.2009/4/247.550.-0.045322009/4/307.951.052980.2009/5/89.311.0.2009/5/159.881.0.2009/5/229.120.-0.080042009/5/279

34、.211.0.009822009/6/510.161.0.2009/6/1210.481.0.031012009/6/1911.911.136450.127912009/6/2612.121.0.2009/7/313.81.0.2009/7/1013.790.-0.000722009/7/1713.590.-0.014612009/7/2413.741.0.2009/7/3112.880.-0.064642009/8/712.270.95264-0.048522009/8/1412.291.001630.2009/8/2110.860.-0.12372009/8/289.750.89779-0

35、.107822009/9/410.691.096410.2009/9/1111.081.0.2009/9/1810.880.-0.018222009/9/2510.160.-0.068472009/9/309.940.-0.021892009/10/910.481.0.2009/10/1611.071.0.054772009/10/2311.991.0.2009/10/3011.030.-0.083452009/11/611.621.053490.2009/11/1311.330.-0.025272009/11/2011.781.0.2009/11/2710.790.-0.087782009/

36、12/411.491.0.2009/12/1111.310.-0.015792009/12/1810.110.-0.112162009/12/259.990.-0.011942009/12/3110.331.0.2010/1/89.870.95547-0.045552010/1/159.660.-0.021512010/1/229.070.-0.063022010/1/298.860.-0.023432010/2/58.720.-0.015932010/2/128.891.0.2010/2/268.951.0.2010/3/58.880.-0.007852010/3/128.88102010/

37、3/199.141.0.2010/3/268.820.-0.035642010/4/29.291.0.2010/4/98.910.-0.041762010/4/168.560.-0.040072010/4/237.450.-0.138892010/4/307.320.98255-0.01762010/5/76.740.-0.082552010/5/146.831.0.2010/5/216.981.0.2010/5/287.021.0.2010/6/46.870.-0.02162010/6/116.720.-0.022082010/6/186.660.-0.008972010/6/256.741

38、.0.011942010/7/26.520.-0.033192010/7/96.831.0.046452010/7/167.211.0.2010/7/237.591.0.2010/7/307.881.0.2010/8/67.590.-0.03752010/8/138.431.0.2010/8/208.240.-0.02282010/8/278.030.-0.025822010/9/38.091.0.2010/9/107.750.-0.042942010/9/177.670.-0.010382010/9/217.741.0.2010/9/307.991.03230.2010/10/88.031.

39、0.2010/10/159.141.0.2010/10/228.480.92779-0.074952010/10/299.291.0.2010/11/59.331.0.2010/11/128.120.-0.13892010/11/197.830.-0.036372010/11/267.820.-0.001282010/12/38.081.0.2010/12/107.690.-0.049472010/12/177.991.0.038272010/12/248.61.0.2010/12/317.810.90814-0.096362011/1/78.481.0.2011/1/148.641.0.20

40、11/1/217.970.-0.080722011/1/287.850.-0.015172011/2/17.770.-0.010242011/2/117.851.0.2011/2/187.941.0.01142011/2/257.720.-0.02812011/3/47.931.0.2011/3/117.920.-0.001262011/3/187.790.-0.016552011/3/258.311.0.2011/4/18.411.0.2011/4/78.741.0.2011/4/158.490.-0.029022011/4/228.140.-0.04212011/4/298.070.991

41、4-0.008642011/5/67.890.-0.022562011/5/137.91.0.2011/5/207.830.-0.00892011/5/277.590.-0.031132011/6/37.480.-0.01462011/6/107.691.0.2011/6/177.741.0.2011/6/248.071.0.2011/7/18.371.0.03652011/7/88.511.0.2011/7/158.120.-0.046912011/7/228.110.-0.001232011/7/297.840.-0.033862011/8/57.871.0.2011/8/128.121.

42、0.2011/8/197.830.-0.036372011/8/268.071.0.2011/9/27.790.-0.035312011/9/97.770.-0.002572011/9/167.750.-0.002582011/9/237.090.-0.089012011/9/306.930.-0.022832011/10/147.041.0.2011/10/216.670.-0.053992011/10/287.61.139430.2011/11/47.530.-0.00925均值9.標準差0.均值0.合計0.因此平均收益率為1=0.1278%（1為u1的均值，樣本數(shù)據(jù)為273）波動率為1=0.，股權(quán)市場價值的周標準差1和年標準