| 基于遗传算法KMV模型的公司债券违约风险度量研究 |
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| 引用本文： | 余妙志,华思瑜.基于遗传算法KMV模型的公司债券违约风险度量研究[J].科技与经济,2020,33(3):51-55. |
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| 作者姓名： | 余妙志 华思瑜 |
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| 作者单位： | 浙江工业大学 经济学院,杭州310023;上海大学经济学院, 上海200444 |
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| 基金项目： | 国家社会科学基金项目——“逆全球化背景下贸易成本对我国出口产品质量的影响机理及提升策略研究”（项目编号：19BJL115；项目负责人：余妙志）成果之一。 |
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| 摘 要： | 基于遗传算法对KMV模型进行了修正,并运用修正的KMV模型对样本债券在2017-2018期间的违约风险进行度量。结果表明:基于遗传算法改进的KMV模型在预测公司债券违约风险方面有着不错的表现,拟合正确率远高于改进前的原模型;并且公司债券所属行业的不同会影响模型违约点的选择,从而影响KMV模型度量违约风险的效果。
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| 关 键 词： | 公司债券 违约风险 KMV模型 遗传算法 |
Study on Corporate Bond Default Risk Measurement Based on Genetic Algorithm KMV Model |
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| YU Miaozhi,HUA Siyu.Study on Corporate Bond Default Risk Measurement Based on Genetic Algorithm KMV Model[J].Science & Technology and Economy,2020,33(3):51-55. |
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| Authors: | YU Miaozhi HUA Siyu |
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| Institution: | (School of Economics,Zhejiang University of Technology,Hangzhou 310023,China;School of Economics,Shanghai University,Shanghai 200444,China) |
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| Abstract: | In this paper,the KMV model was improved based on the genetic algorithm,and the modified KMV model was used to measure the default risk of the sample bonds during 2017-2018.The results showed that the improved KMV model based on genetic algorithm had a good performance in predicting the default risk of corporate bonds,with the fitting accuracy being much higher than the original model.Moreover,the selection of default point of the model would be affected by different industries of corporate bonds,which would affect the effect of KMV model on the measurement of default risk. |
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| Keywords: | corporate bonds default risk KMV model genetic algorithm |
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