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本文首次运用Merton模型和Leland-Toft模型对我国上市公司的信用风险进行了比较实证研究。研究结果表明,Merton模型对上市公司信用风险的预期违约率的计算明显太低。但是,违约距离的计算在一定程度上可以反映出不同公司信用风险存在的差异。而使用Leland-Toft模型计算信用风险的预期违约率较Merton模型有更高的敏感性、有效性。依据大公国际资信评级体系评级的结果,将A股50指数上市公司的信用评级等级,对比Leland-Toft模型计算的预期违约率,不同等级的上市公司,其预期违约率有明显的不同,说明其模型的预测是有效的。并且,也反映出近期预期违约率低而远期则较高的规律性。但是,计算的预期违约率还是偏低,说明Leland-Toft模型在用于目前的上市公司信用风险分析时,尚需调整有关的参数。
This paper, for the first time, uses Merton model and Leland-Toft model to conduct a comparative empirical study on the credit risk of listed companies in our country. The results show that Merton’s model predicts the expected default rate of credit risk of listed companies is too low. However, the calculation of the default distance can, to a certain extent, reflect the differences in the credit risk of different companies. However, the expected default rate of using the Leland-Toft model to calculate credit risk is more sensitive and effective than Merton’s model. According to the result of rating of Dagong International Credit Rating System, comparing the credit rating grade of A-Share 50 Index listed companies with the expected default rate calculated by Leland-Toft model, the expected default rates of listed companies of different grades are obviously different The model’s prediction is valid. And, it also reflects the recent expected default rate is low and long-term higher regularity. However, the calculated expected default rate is still low, indicating that the Leland-Toft model still needs to adjust the relevant parameters when it is used in the current credit risk analysis of listed companies.