我国上市银行信用溢价的实证研究

摘要

在改进KMV模型、采用信用溢价直观度量银行信用风险的基础上,通过Monte Carlo模拟法估计12家样本银行信用风险的VaR和CVaR值,并与历史模拟法的度量结果进行比较.研究结果表明,历史模拟法高估了银行所面临的信用风险；在样本银行中,中国银行最容易发生极端信用事件,工商银行则相反.%This paper improves the KMV model, using credit risk premium to measure banks' credit risk intuitively, and then uses Monte Carlo simulation method to estimate 12 China's listed banks' VaR and CVaR. Based on that, it compares the results with those measured by historical simulation method and concludes that; i) historical simulation method overestimates the credit risks faced by the banks; ii) for the sample bank of Bank of China, the extreme credit events are most likely to occur, but for Industrial and Commercial Bank of China, the opposite is true.