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本文介绍了金融全球化大趋势下在美上市中国公司的信用风险情况,结合相关财务数据和股票数据,利用修正的GARCHKMV模型,对所选上市公司的信用风险进行实证度量研究,实证结论得出高价股比低价股具有更大的违约距离和更低的违约率等结果,这表明修正的GARCH-KMV模型运用于在美上市中国公司信用风险研究的可行性。
This paper introduces the credit risk of Chinese companies listed in the United States under the trend of financial globalization. By combining the relevant financial data and stock data, this paper uses the modified GARCHKMV model to study the credit risk of selected listed companies. Empirical results show that The results of the higher default and the lower default rates of higher and lower price stocks indicate that the modified GARCH-KMV model is applicable to the credit risk research of Chinese companies listed in the United States.