文章摘要
孙亮,吕丹妮.我国共享经济企业信用风险度量的案例分析——基于KMV修正模型的实证研究[J].技术经济,2021,40(6):132-139.
我国共享经济企业信用风险度量的案例分析——基于KMV修正模型的实证研究
A Case Analysis on Credit Risk Measurement of Chinese Sharing Economy Enterprises——Empirical Research Based on KMV Modified Model
投稿时间:2019-10-12  修订日期:2021-04-26
DOI:
中文关键词: KMV模型  共享经济  信用风险
英文关键词: KMV model  sharing economy  credit risk
基金项目:辽宁省教育厅2019年度科学研究经费项目“O2O模式下我国共享经济系统风险的组合度量及对策研究”(LQN201919);辽宁大学2020年度本科优秀主讲教师项目“经济数学‘线上+线下’融合模式的教学研究”(MSJG2020ZJJS14)
作者单位E-mail
孙亮 辽宁大学 geniusno001@126.com 
吕丹妮 鞍山广播电视台 36380563@qq.com 
摘要点击次数: 210
全文下载次数: 122
中文摘要:
      共享经济模式如今已成为城市居民不可或缺的一种生活方式,这种创新经济模式所蕴含的信用风险也成为社会公众热议的话题。针对现有标准KMV信用风险模型无法处理“尖峰厚尾”数据的不足之处,引入了GARCH、EGARCH和TARCH三种模型计算股权价值的波动率,不仅解决了收益率序列非正态分布的问题,而且在ARCH LM检验都通过的条件下,进一步得到了共享单车企业永安行的信用违约风险值。结果表明共享经济企业EDF值相对其他一些传统行业都要高出许多,并基于模型的结论提出了具有针对性的对策建议。
英文摘要:
      Nowadays, the sharing economy has become an indispensable lifestyle for urban residents. Meanwhile, the credit risk contained in this innovative economic model has also become a hot topic among the public. In view of the existing standard KMV credit risk model is unable to process "rush thick tail" of data deficiency, introduces GARCH and EGARCH and TARCH model calculation value of equity volatility, solved the problem of non-normal distribution yield sequence. By conditions in the ARCH LM test, further get the credit default risk values of the sharing economy enterprise YOUON. The results show that the EDF value of sharing economy enterprise is much higher than that of other traditional industries, and puts forward targeted countermeasures and Suggestions based on the model conclusion.
查看全文   Html全文     查看/发表评论  下载PDF阅读器
关闭

分享按钮