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基于会计信息的KMV模型实证研究.docx

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基于会计信息的KMV模型实证研究 Title:AnEmpiricalStudyontheKMVModelBasedonAccountingInformation Introduction： TheKMVmodeliswidelyusedinmeasuringcreditriskinfinancialinstitutionsandhasbeenproventobeeffectiveinevaluatingthedefaultprobabilityoffirms.However,mostpreviousstudieshavefocusedontheapplicationofmarket-basedinformation,suchasstockpricesandcreditspreads,whichmaynotcompletelyreflectthefinancialperformanceandunderlyingrisksofthefirms.Inthispaper,weinvestigatetheeffectivenessoftheKMVmodelbyincorporatingaccountinginformation,includingfinancialratiosandfinancialstatements,intothemodel. LiteratureReview: TheKMVmodelisapopularframeworkforassessingcreditriskofcompanies,whichutilizesthestructuralapproachtoestimatetheprobabilityofdefault.ThemodelisbasedontheBlack-Scholes-Mertonoptionspricingtheoryandusesmarketinformation,suchasstockpricesandcreditspreads,toestimatethedefaultprobability.ManyresearchershaveappliedtheKMVmodelinmeasuringcreditriskandhaveshownthatthismodelisusefulinpredictingdefaultriskoffirms. However,previousstudieshavealsopointedoutthelimitationoftheKMVmodel,especiallywhenusingmarket-basedinformation.Forexample,themarketinformationmaynotfullycapturethefinancialperformanceandunderlyingrisksofthefirms.TheKMVmodelalsotendstounderestimatedefaultprobabilitiesforfirmswithlowmarketliquidityandlimitedmarketdata.Toaddresstheseissues,someresearchershavesuggestedincorporatingaccountinginformation,suchasfinancialratiosandfinancialstatements,intotheKMVmodel. Methodology: Inthisstudy,weadopttheKMVmodelwithaccountingvariablesandconductanempiricalanalysistoevaluatethemodel’seffectiveness.Specifically,weusefinancialratios,suchasprofitability,liquidity,leverage,andsolvency,asinputvariablestoestimatethedefaultprobabilitiesoffirms.Wealsousefinancialstatements,suchasincomestatementsandbalancesheets,tocapturethefinancialperformanceandriskprofilesofthefirms. Totesttheaccuracyofthemodel,wecomparethepredicteddefaultprobabilitieswiththeactualdefaulteventsofasampleoffirms.Wealsocomparethemodel’spe