KMV模型研究综述.pdf

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CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 《뫏ퟷ뺭볃폫뿆벼》 2010 쓪 4 퓂뫅쿂（ퟜ뗚 391 웚） CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 쳡튪 놾컄듓맺췢뫍맺쓚솽랽쏦쾵춳뗘 맩쓉쇋뷼쓪살 KMV쒣탍뗄쿠맘컄쿗ꎬ퓚컄쿗ퟛ 쫶뗄믹뒡짏ꎬ뛔맺쓚퇐뺿쿖ힴ뷸탐ퟜ뷡ꎬ늢쳡 돶캴살펦ퟅ훘볓잿쪵폃탔랽쏦뗄퇐뺿ꎬ룹뻝훐 맺퟊놾쫐뎡쪵볊폫룷룶탐튵뗄늻춬쳘뗣뷸탐 샭싛뒴탂폫닎쫽짨볆。 맘볼듊ꎺKMV쒣탍ꎻ컄쿗ퟛ쫶ꎻ퇐뺿햹췻 훐춼럖샠뫅ꎺF83 컄쿗뇪쪶싫ꎺA KMV쒣탍쫇평 KMV릫쮾뾪랢뗄ꎬ폃폚뛈 솿탅폃럧쿕뗄짌튵뮯쒣탍。쯼풴폚 Black、Sc－ holes뫍 Merton폐맘웚좨뚨볛쒣탍뗄퇐뺿。쯼 쫇룹뻝 Merton붫폐맘웚좨뚨볛샭싛퓋폃폚럧 쿕듻뿮뫍횤좯춶퟊뗄쮼쿫뛸뾪랢돶뗄튻훖쪵 폃룟킧뗄럖컶랽램폃틔뫢솿릫쮾캥풼럧쿕。 KMV쒣탍뒴솢횮뫳ꎬKMV릫쮾틔벰맺쓚췢탭 뛠톧헟뛔쒣탍폐킧탔뷸탐듳솿퇐뺿。놾컄붫춨 맽뛔맺췢폫맺쓚컄쿗뗄ퟛ쫶ꎬퟜ뷡맺쓚퇐뺿쿖 ힴꎬ뷸뛸쳡돶캴살뗄랢햹랽쿲。 튻、맺췢컄쿗ퟛ쫶 KMV 쒣탍ퟔ 1993 쓪췆돶틔살ꎬ맺췢뛔 KMV쒣탍뗄폐킧탔퇐뺿럖돉솽늿럖ꎺ 쫗쿈뷸탐폐킧탔퇩횤쫇 KMV 릫쮾벰웤 Moody릫쮾릫늼뗄퇐뺿컄쿗。퇐뺿뷡맻듳뛠뇭 쏷 KMV쒣탍쓜퓚탅폃쫂볾랢짺믲웆닺잰폐킧 뗘풤닢떽탅폃훊솿뗄뇤뮯。훁 2005쓪뫳ꎬKMV 릫쮾퓚웤맙랽췸햾짏퓶볓틔쿂맘폚 KMV쒣탍 뗄퇐뺿컄쿗。Dwyer and Wooꎨ2007ꎩ퓋폃 EDF 쒣탍퇐뺿쇋 210볒릫뾪붻틗뗄랿뗘닺춶퟊탅 췐뫍뗖톺듻뿮믺릹ꎬ퇐뺿뇭쏷늿럖믺릹퓚캴살 튻쓪뗄캥풼룅싊뎬맽쇋 10%ꎬ탂쫀볍뷰죚릫쮾 ꎨNew Century Financial Companyꎩ퓚캥풼횮잰 뗄튻쓪훐탅폃훊솿벱뻧쿂붵ꎬNCFC뗄 EDF횵 뎬맽춬ퟩ 90%뗄럖캻쫽ꎬ뗃돶 EDF쒣탍뿉틔 폐킧헧뇰돶폐컊쳢뗄듎벶듻뿮믺릹。Korablev and Dwyerꎨ2007ꎩ믹폚 1996～2006쓪뗄샺쪷쫽 뻝ꎬ춨맽뇈뷏믺릹움벶、EDF쒣탍、AltmanZ움 럖램벰볲뮯뗄뷡릹쒣탍뗄뇭쿖ꎬ뗃돶 EDF쒣 탍퓚룷룶늻춬웚볤쓚ꎬ틔벰퓚뛔늻춬뗄릫쮾맦 쒣뫍탅폃훊솿뷸탐뛾듎럖샠쳵볾쿂ꎬ뚼쓜폐킧 튻훂뗘뛈솿ꎻ춬쪱ꎬ춨맽퇐뺿놱쏀、얷훞、퇇훞 죽뗘뗄쫽뻝ꎬ뇭쏷 EDF쒣탍ퟷ캪튻룶폐킧탅 폃럧쿕뛈솿랽램쫊폃폚좫쫀뷧。 춬쪱ꎬ튲폐쿠맘톧쫵컄쿗뛔 KMV쒣탍뗄 폐킧탔뷸탐움볛。Duffie and Wangꎨ2004ꎩ퇐뺿 뇭쏷ꎬKMV쒣탍뛔웳튵뗄캥풼룅싊폐뫜잿뗄 풤닢쓜솦ꎬ쓜짺돉튻룶캥풼룅싊뗄웚쿞뷡릹。 Hilscher and Szilagyiꎨ2004ꎩ춨맽퓋폃쯀췶쒣탍 ꎨHarzard Modelꎩꎬ냼몬쇋 KMV룅싊뫍웤쯻뇤 솿ꎬ살풤닢웆닺룅싊ꎬ랢쿖퓚듦퓚웤쯻뇤솿뗄 쳵볾쿂ꎬKMV쒣탍횻뻟폐쿠뛔튻뚨풤닢쓜솦。 and ꎨ2004ꎩ볬 퇩쇋 KMV쒣탍뗄뷢쫍탅폃캥풼뮥뮻ꎨCDSꎩ틧 볛뫍햮좯쫕틦싊볛닮ꎨbond yield spreadsꎩ뗄쓜 솦ꎬ뇭쏷 KMV쒣탍뛔캥풼폐튻뚨풤닢쓜솦ꎬ횸 돶웤듳늿럖뇟볊쫕틦ꎨmarginal benefitꎩ살ퟔ폚 웤몯쫽탎쪽ꎨfunctional formꎩꎬ뛸늻쫇살ퟔ폚쒣 탍솽룶럇쿟탔뗈쪽뗄뷢。Duanꎨ2004ꎩ횸돶 KMV쒣탍훐쯹쪹폃뗄랴뢴쟳뷢랽램쪵볊짏쫇 튻훖 EM쯣램틔믱좡벫듳쯆좻맀볆횵ꎬ떫쫇 KMV랽램횻쓜닺짺뗣맀볆ꎬ늢늻쫊폃폚짦벰 떽몬폐캴횪죎뫎퟊놾뷡릹닎쫽뗄뷡릹탅폃럧 쿕쒣탍。 뛾、맺쓚컄쿗ퟛ쫶 컒맺톧헟듓 1998쓪뾪쪼맘힢 KMV쒣탍。 떫듳솿뗄쪵횤퇐뺿뫍쿠맘뗄컄쿗퟊쇏퓲돶쿖 퓚 2002쓪틔뫳。퓧웚뗄퇐뺿듳뛠벯훐뛔 KMV 쒣탍뗄샭싛믹뒡뫍쒣탍뿲볜뗄뷩짜폫럖컶ꎬ뷏 폐듺뇭탔뗄쫇뛅놾럥ꎨ2002ꎩ랢뇭뗄“쪵횵웚좨 샭싛퓚탅폃럧쿕움맀훐뗄펦폃”뫍췵쟭폫돂쿍 ꎨ2002ꎩ랢뇭뗄“탅폃럧쿕뚨볛랽램폫쒣탍퇐 뺿”뗈컄헂。 쯦뫳ꎬ쿠맘 KMV쒣탍뗄퇐뺿쮼슷뿉틔뮮 럖돉솽샠ꎺ튻샠쫇늻탞헽 KMV쒣탍ꎬ횱뷓폃맺 쓚뗄퇹놾쫽뻝뷸탐퇩횤。춨뎣내헕 KMV쒣탍 뗄믹놾뿲볜늢샻폃맺췢퇐뺿뗄쒣탍뫍맘쾵몯 쫽ꎬ틔컒맺짏쫐릫쮾캪퇹놾ꎬ횻쫇쯹톡폃뗄퇹 놾쫽뻝맦쒣벰럖샠폐쯹늻춬ꎬ퇩횤뫳뗄믹놾뷡 싛쫇ꎬKMV쒣탍뗄럧쿕풤닢랽램뿉틔쏖늹뒫 춳랽쪽뗄늻ퟣꎬ폐ퟅ뫜뫃뗄퓋폃잰뺰。훁 2005 쓪뫳ꎬ헢랽쏦뗄컄쿗폐ꎺ횣쎯ꎨ2005ꎩ퓲닉폃벨 폅막、ST막뫍췋쫐막죽샠퇹놾뷸탐쪵횤ꎬ랢쿖 뛔폚벨킧뫃뗄짏쫐릫쮾ꎬ풤웚캥풼룅싊쎻폐룸 돶듭컳탅쾢ꎬ떫쒣탍룸돶뗄뷡맻욫뗍ꎬ뛸뛔폚 룟럧쿕뗄 ST막뫍췋쫐막뗈룟럧쿕릫쮾ꎬEDF 쒣탍늻떫늻쓜ퟷ돶ힼ좷뗄에뛏ꎬ랴뛸룸돶쇋쿠 랴뗄뷡싛ꎬ죧뻸듳늿럖룟럧쿕릫쮾뗄 EDF횵 뚼뫜킡。뺭맽랴쿲췆닢막좨쫐횵뫍릫쮾퟊닺쫐 횵ꎬ랢쿖헢솽쿮횸뇪퓚쿈잰볆쯣훐듦퓚ퟅ룟맀 뗄쟩뿶。웤풭틲쫇ꎬ컒맺막쫐믺훆늻릻췪짆뫍 ퟊닺볛횵캧죆웳튵퟊닺뗄풤웚횵돊헽첬럖늼 뗄볙짨퓬돉뗄。춬쪱ꎬ튲폐늿럖톧헟붫 KMV쒣 탍퓋폃폚룶뇰탐튵믲벸룶탐튵뗄퇐뺿。킻냮닽 ꎨ2008ꎩ틔뗧솦、헴웻、죈쮮뗄짺닺뫍릩펦튵、랿 뗘닺뾪랢폫뺭펪튵캪듺뇭ꎬ샻폃 KMV쒣탍뛔 헢솽룶탐튵쎿룶탐튵 10볒짮붻쯹짏쫐릫쮾뗄 탅폃럧쿕뷸탐쇋뛈솿。뛈솿뷡맻뇭쏷ꎬKMV쒣 탍쓜릻뷏뫃뗘헧뇰늻춬탐튵뗄탅폃럧쿕ꎬ쫇쒿 잰ퟮ쫊뫏컒맺짏쫐릫쮾뗄탅폃럧쿕뛈솿쒣탍。 훜랫ꎨ2009ꎩ헫뛔놣쿕탐튵뗄쳘뗣ꎬ폃 KMV 쒣탍퇐뺿훐맺짏쫐놣쿕릫쮾뗄탅폃럧쿕。 쇭튻샠퓲퓚탞헽 KMV쒣탍뗄믹뒡짏ꎬ퓙 폃맺쓚뗄퇹놾쫽뻝뷸탐퇩횤ꎬ틔첽쟳퓚컒맺뗄 뻟쳥쫊폃탔。뾼싇떽 KMV쒣탍뒴붨쪱뗄뫪맛 뺭볃놳뺰폫컒맺뗄쿖탐뺭볃뮷뺳늻춬헢튻틲 쯘ꎬ쯹틔퓚퇐뺿훐뇘탫뛔 KMV쒣탍뷸탐룄뷸 뫍탞헽틔붨솢쫊뫏컒맺뗄쒣탍。훁 2005쓪뫳ꎬ KMV쒣탍뗄퇐뺿훘탄듳뛠벯훐폚듋。헢랽쏦 뗄퇐뺿듳뛠뾼싇떽쇋컒맺퟊놾쫐뎡뗄쿖쪵ힴ 뿶ꎬ웕뇩뗘뛔럇쇷춨막뷸탐뗷헻틔룼럻뫏쪵 볊。탞헽훷튪캧죆퓚틔쿂죽룶닎쫽짏ꎺ풤웚릫 쮾퟊닺볛횵、캥풼뗣뗄짨뚨뫍릫쮾막좨뗄늨뚯 싊。맘폚풤웚릫쮾퟊닺볛횵뗄짨뚨。퟊닺볛횵 뗄탞헽훷튪쫇틽뷸퟊닺볛횵뗄퓶뎤싊。샮샚 쓾、헅뾭ꎨ2007aꎩ폃뷼죽쓪살릫쮾뺻쫕틦퓶뎤 싊뗄쯣쫵욽뻹쫽살뇭쪾릫쮾퟊닺볛횵뗄쓪퓶 뎤싊。훜ퟓ풪、퇮폀짺ꎨ2007ꎩ뛔뇈쇋뺲첬캥풼 뻠샫뫍늻뇤퓶뎤싊볙짨쿂뗄캥풼뻠샫ꎬ랢쿖뫳 헟뇈잰헟뻟폐룼뫃뗄에뇰쓜솦。맘폚캥풼뗣짨 뚨뗄컊쳢。헅쇡뫍퇮헪쫁ꎨ2004ꎩ볆쯣돶죽훖캥 KMV 쒣탍퇐뺿ퟛ쫶 □컄 / 릫쾣쇁 뷰죚 / 춶퟊ 56 CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 《뫏ퟷ뺭볃폫뿆벼》 2010 쓪 4 퓂뫅쿂（ퟜ뗚 391 웚） CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 풼뗣횵쟩뿶쿂퇹놾릫쮾뗄캥풼뻠샫ꎬ좻뫳뛔엤 뛔퇹놾뗄캥풼뻠샫ퟷ t볬퇩뫍 Wilcoxon 훈볬 퇩ꎬ죏캪떱쒣탍뗄캥풼뗣횵짨뚨캪캥풼뗣횵뗈 폚쇷뚯뢺햮ꎬ쒣탍뛔짏쫐릫쮾뻟폐ퟮ잿뗄럖뇦 쓜솦。샮샚쓾、헅뾭ꎨ2007bꎩ춨맽뇈뷏늻춬캥풼 뗣쿂캥풼릫쮾뫍헽뎣릫쮾캥풼뻠샫닮틬뗄쿔 훸돌뛈뗃돶컒맺짏쫐릫쮾뗄캥풼뗣짨뚨퓚쇷 뚯뢺햮볓냙럖횮쪮뗄뎤웚뢺햮쿂풤닢쓜솦ퟮ 잿。십폪짺ꎨ2008ꎩ춨맽뇈뷏쯄훖캥풼뗣횵쟩뿶 쿂퇹놾릫쮾뗄캥풼뻠샫뫳ꎬ횸돶떱쒣탍뗄캥풼 뗣횵짨뚨캪캥풼뗣횵뗈폚쇷뚯뢺햮볓짏쯄럖 횮튻뎤웚뢺햮쪱ꎬ쒣탍뛔짏쫐릫쮾뻟폐ퟮ잿뗄 럖뇦쓜솦。맘폚릫쮾막좨늨뚯싊볆쯣뗄컊쳢 짏ꎬ쪯쿾뻼、죎죴뛷ꎨ2005ꎩ횸돶 GARCH 쒣탍 뿉쓜쾵춳탔뗘뗍맀훐맺막욱쫐뎡뗄늨뚯탔。돂 맺믔ꎨ2007ꎩ、태붡럲ꎨ2007ꎩ、훜뷜ꎨ2009ꎩ뗈폃 GARCH쒣탍살맀쯣막욱늨뚯싊。붯헽좨、헅쓜 뢣ꎨ2008ꎩ춨맽쪵횤뗃돶 GARCH 쒣탍뇈샺쪷 늨뚯싊뗄볆쯣랽램룼럻뫏쪵볊쟩뿶。헅쓜뢣、 쇵폋ꎨ2009ꎩ믹폚 Tompkins랽램쳡돶쇋풤닢 늨뚯싊맀볆랽램살쳦듺뒫춳뗄샺쪷늨뚯싊쟳 뷢랽램。몣럥、뮪뻽ꎨ2009ꎩ샻폃 GARCH 쒣탍맀볆막좨볛횵늨뚯싊ꎬ춬쪱캪쇋뇜쏢막볛 늨뚯룉죅솪솢랽돌ퟩ쟳뷢뗄컊쳢ꎬ쳡돶쇋튻룶 뗼듺돌탲살맀쯣퟊닺볛횵벰웤늨뚯싊。퓚췆뚯 KMV쒣탍퓚쪵볹훐뗄펦폃짏ꎬ샮、훬컀뇸 ꎨ2009ꎩ횸돶펦내늻춬탐튵붨솢쿠펦뗄퓚닎쫽 짨훃짏폐닮틬뗄뇈뷏럻뫏룃탐튵뺭볃쳘헷뗄 탐튵 KMV쒣탍ꎬ늢쳡돶 KMV쒣탍쪵컱뮯뗄싟 벭뿲볜뫍릹붨랽램。 뷼쓪살ꎬ폐맺쓚늿럖톧헟붫 KMV쒣탍볆 쯣돶뗄캥풼뻠샫죚죫닆컱삧뺳풤뺯쒣탍ꎬ틔쳡 룟쒣탍뗄풤닢쓜솦。첷뻃뻹ꎨ2005ꎩ럖뇰릹붨쇋 믹폚닆컱횸뇪뗄닆컱풤뺯쒣탍뫍퓚듋믹뒡짏 틽죫캥풼뻠샫뗄닆컱풤뺯쒣탍ꎬ춨맽뛔늻춬쒣 탍뗄뇈뷏뫍럖컶ꎬ뗃돶뷡싛캪ꎺ믹폚막욱붻틗 쫽뻝뗄캥풼뻠샫뿉틔쳡룟닆컱풤뺯쒣탍뗄뷢 쫍쓜솦뫍풤닢쓜솦ꎬ떫룃횸뇪뛔닆컱풤뺯쒣탍 탅쾢몬솿뗄쳡짽ퟷ폃뷏캪캢죵ꎬ짐늻쓜뛔쒣탍 쓢뫏폅뛈뫍풤닢킧맻닺짺훘듳뗄믽벫펰쿬。쇵 맺맢、췵믛쏴ꎨ2005ꎩ춨맽냑캥풼뻠샫뫍닆컱뇈 싊뷡뫏웰살뷸탐닆컱캣믺풤뺯퇐뺿ꎬ횸돶뷡뫏 캥풼뻠샫틲쯘뗄캣믺풤뺯쒣탍쓜룼쏷쿔뗘쳡 룟쒣탍뗄캣믺에뛏헽좷싊。헅짜쏴ꎨ2007ꎩ붫캥 풼뻠샫틽죫에뇰쒣탍훐ꎬ춨맽쪵횤뗃돶볓죫캥 풼뻠샫뛔쒣탍쳡룟풤닢ힼ좷싊뗄ퟷ폃럇뎣폐 쿞。 죽、맺쓚퇐뺿ퟜ뷡뫍퇐뺿햹췻 1、맺쓚퇐뺿컄쿗ퟜ뷡。듓 1998쓪뫳ꎬ듳솿 컄쿗뛔 KMV쒣탍뷸탐뷩짜뫍첽쳖ꎬ좡뗃튻뚨 돉맻。ퟜ쳥짏ꎬ컄쿗훷튪벯훐폚 KMV쒣탍퓚맺 쓚뗄폐킧탔뗄쪵횤퇐뺿폫탞헽 KMV쒣탍뗄닎 쫽틔쳡룟퓚컒맺뗄쫊폃탔ꎬ듳뛠뷡싛뇭쏷 KMV쒣탍믲룄솼뫳 KMV쒣탍쓜헧뇰돶짏쫐 릫쮾뗄탅폃럧쿕ꎬ쫇뛈솿탅폃럧쿕뗄폐킧쫖 뛎。 헻쳥짏ꎬ맺쓚뗄싛컄퓚쪵횤랽램뗈랽쏦짏 듦퓚틔쿂벸뗣뗄릲탔ꎺꎨ1ꎩ퓚폐킧탔쪵횤랽램 짏ꎬ맺쓚뗄톧헟웕뇩닉폃춨맽 KMV쒣탍볆쯣 돶캥풼뻠샫쫇럱쓜퓚춳볆쿔훸짏쟸럖 ST릫쮾 폫럇 ST릫쮾살퇩횤 KMV쒣탍뗄폐킧탔ꎻꎨ2ꎩ 퓚볆쯣릫쮾막좨볛횵짏ꎬ평폚컒맺퟊놾쫐뎡듦 퓚럇쇷춨막뗄컊쳢ꎬ듳늿럖톧헟닉폃쎿막뺻퟊ 닺살캪럇쇷춨막뚨볛ꎬ튲폐늿럖톧헟춨맽뛔럇 쇷춨막킭틩힪죃볛룱폫쎿막뺻퟊닺쫽뻝뷸탐 믘맩럖컶뗃떽탞헽럇쇷춨막뗄볛룱ꎻꎨ3ꎩ퓚컞 럧쿕샻싊톡좡짏ꎬ맺쓚톧헟뚼닉폃춬쪱웚쓚틸 탐뗄튻쓪뚨웚듦뿮샻싊ퟷ캪컞럧쿕샻싊ꎻꎨ4ꎩ 퓚퇹놾톡좡랽쏦ꎬ듳늿럖컄쿗웕뇩닉폃듳랶캧 뿧탐튵닉벯퇹놾살퇩횤 KMV쒣탍퓚컒맺뗄쫊 폃탔。 2、맺쓚퇐뺿컄쿗퇐뺿햹췻。뺡맜맺쓚톧헟 뛔 KMV쒣탍뗄퇐뺿컄쿗좡뗃럡쮶뗄돉맻ꎬ떫 폫컷랽쿠맘쇬폲뗄퇐뺿쮮욽쿠뇈ꎬ맺쓚퓚샭싛 뒴탂、퇐뺿랽램뗈랽쏦짏틀좻폐ퟅ뻞듳뗄닮 뻠。컷랽톧쫵뷧퓚뷼벸쓪살뛔 KMV쒣탍뗄샭 싛믹쪯 Merton쒣탍뷸탐짮죫첽쳖ꎬ쳡돶쇋탭 뛠뷡릹쒣탍뗄탂랢햹샭쓮폫퇐뺿쫓뷇ꎬ늢퓚쒣 탍뗄닎쫽톡좡짏뷸탐뒴탂틔쳡짽쒣탍뗄폐킧 탔。틲듋ꎬ펦퓚볌탸틽뷸컷랽쿈뷸퇐뺿샭쓮뗄 믹뒡짏ꎬ뷡뫏훐맺퟊놾쫐뎡쪵볊ꎬ뷸탐헻뫏폫 뒴탂。 맺쓚맘폚 KMV쒣탍뗄퇐뺿컄쿗웕뇩벯훐 폚쒣탍퓚맺쓚뗄쪵횤퇐뺿ꎬ쳘뇰쫇퓚맺쓚뗄폐 킧탔랽쿲짏ꎬ뛸퓚쪵볹퓋폃쇬폲짏벸뫵쫇튻욬 뿕냗。틲듋ꎬ죧뫎쳡룟 KMV쒣탍뗄쪵폃탔ꎬ쳘 뇰쫇쫊뫏컒맺퟊놾쫐뎡뗄탅폃럧쿕뛈솿쒣탍ꎬ 붫쫇훘튪퇐뺿쇬폲。뇊헟죏캪틔쿂죽룶랽쏦뗄 퇐뺿폐훺폚쳡룟 KMV쒣탍뗄쪵폃탔ꎺꎨ1ꎩ평폚 컒맺퟊놾쫐뎡랢햹뗄훍뫳ꎬ퓚쫐뎡폐킧탔폫쫽 뻝뗄믱뗃탔뗈랽쏦짐캴듯떽컷랽돉쫬쫐뎡뗄 쮮욽ꎬ펦룹뻝컒맺퟊놾쫐뎡뗄쪵볊쟩뿶뗷헻 KMV쒣탍뗄닎쫽맀볆랽쪽폫늽훨ꎻꎨ2ꎩ죎뫎쒣 탍뗄쪵폃탔ꎬ쫇쓜춨맽쒣탍뛈솿돶햮좯믲듻뿮 뗄캥풼룅싊。맺쓚맘폚 KMV쒣탍뗄퇐뺿뷶뷶 뻖쿞폚캥풼뻠샫뗄볆쯣ꎬ뛸컞램힪뮯돉캥풼룅 싊ꎬ틲듋붨솢웰캥풼뻠샫폫캥풼룅싊뗄펳짤맘 쾵ꎬ쫇쳡짽 KMV쒣탍쪵폃탔뗄맘볼ꎻꎨ3ꎩ평폚 룷룶탐튵폐룷ퟔ뗄쳘뗣ꎬ죧늻춬퟊놾뷡릹、늻 춬뗄뎥햮쓜솦뗈ꎬ틲듋죧뫎헫뛔늻춬탐튵뗄쳘 훊살뗷헻 KMV쒣탍닎쫽짨뚨틔룼뫃뗘본뇰탅 폃럧쿕ꎬ붫쫇쳡짽 KMV쒣탍쪵폃탔뗄튻룶훘 튪춾뺶。 ꎨퟷ헟떥캻ꎺ뮪쟈듳톧릤짌맜샭톧풺ꎩ 훷튪닎뾼컄쿗ꎺ [1]Douglas DwyerꎬSarah The Subprime Makert Fallout Using EDF Credit Measures [Z] .Moodys KMV Corpora- tionꎬ . [2]Korablevꎬ and Level Validation Of Moody’S KMV EDF Credit Measures IN North AmericaꎬEuropeꎬand Asia [Z].Moodys KMV Corporationꎬ. [3]DuffieꎬDarrell and Ke -Peri od corporate failure prediction with stochastic co- variatesꎬworking Universityꎬ 2004. [4]Campbell JohnYꎬJensHilscherꎬandJanSzi- search of distress riskꎬworkingpaper. HarvardUniversityꎬ2004. [5]Sreedhar .T .Bharath and Tyler .shumway. Forecasting Defaulting With KMV-Merton modelꎬWorking paperꎬUniversity of Michi- ganꎬ2004. [6]Jin-Chuan DuanꎬGenevive Gauthier and Jean-Guy the Equivalence of the KMV and Maximum Likelihood Methods for Structural Credit Risk Modelsꎬworking - niversity of Torontoꎬ2004. [7]횣쎯.믹폚 EDF쒣탍뗄짏쫐릫쮾탅폃럧쿕쪵 횤퇐뺿[J].맜샭뿆톧톧놨ꎬ. [8]킻냮닽.컒맺짏쫐릫쮾탅폃럧쿕뛈솿쒣탍뗄 톡퓱[J].뺭볃톧뚯첬ꎬ. [9]훜랫.믹폚 KMV쒣탍뛔컒맺짏쫐놣쿕릫 쮾뗄탅폃럧쿕뛈솿[J].놣쿕퇐뺿ꎬ. [10]샮샚쓾ꎬ헅뾭.KMV쒣탍뗄탞헽벰퓚컒맺짏 쫐릫쮾탅폃럧쿕뛈솿훐뗄펦폃[J].뷰죚ퟝ뫡ꎬ 뷰죚 / 춶퟊ 57 CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 《뫏ퟷ뺭볃폫뿆벼》 2010 쓪 4 퓂뫅쿂（ퟜ뗚 391 웚） CO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCECO-OPERATIVE ECONOMY & SCIENCE 쳡튪 놾컄틔죋쏇뗄죏횪탔욫컳뫍 퇲좺탐캪캪믹뒡ꎬ뷡뫏쯷싞쮹뗄랴짭탔샭 싛ꎬ듓헾뢮뫍캢맛쫐뎡훷쳥탄샭뫍탐캪뗄 뷇뛈럖컶웤뛔뷰죚럧쿕탎돉뫍삩즢뗄펰 쿬。평폚쫐뎡닎폫헟탄샭뫍탐캪뗄늻좷뚨 탔ꎬ쪹뷰죚캣믺뗄풤닢뇤뗃럇뎣삧쓑。 맘볼듊ꎺ뷰죚럧쿕풤뺯ꎻ랴짭탔샭싛ꎻ 퇲좺탐캪 놾컄캪뫓놱짧믡뿆톧랢햹퇐뺿뿎쳢 《뾪럅뺭볃쳵볾쿂뷰죚럧쿕풤뺯횸뇪쳥쾵 퇐뺿》뗄퇐뺿돉맻ꎨ뿎쳢뇠뫅ꎺ200903052ꎩ 훐춼럖샠뫅ꎺF83 컄쿗뇪쪶싫ꎺA 쪼폚 2007쓪뗄듎듻캣믺톸쯙늨벰좫 쟲ꎬ얷쏀뗈랢듯맺볒뺭볃쿈뫳퓢쫜훘뒴ꎬ 훐맺쏦뛔뺭볃쮥췋ꎬ튲놻웈닉좡쫊뛈뿭쯉 믵뇒헾닟뫍믽벫닆헾헾닟살펦뛔뺭볃쮥 췋。쫇쪲쎴풭틲떼훂뷰죚럧쿕늻뛏볓뻧ꎿ 폖쫇쪲쎴풭틲쪹죋쏇늻쓜뛔뷰죚캣믺ퟶ 돶뷏캪ힼ좷뗄풤닢ꎿ놾컄쫔춼듓쫐뎡닎폫 헟탄샭뫍탐캪뗄뷇뛈살럖컶헢튻컊쳢。 튻、쫐뎡닎폫헟뗄탄샭뫍탐캪뿉틔볓 뻧뷰죚럧쿕 ꎨ튻ꎩ쫐뎡닎폫헟뗄죏횪욫컳。죋쏇뎣 폃뗄뷢뻶컊쳢뗄닟싔뿉틔럖캪쯣램뫍웴 랢램。쯹캽쯣램ꎬ쫇횸뷢뻶컊쳢뗄튻쳗맦 퓲ꎬ쯼뺫좷뗘횸쏷뷢쳢뗄늽훨뫍랽램。죋 쏇퓚뷢뻶맦랶뗄、좷뚨탔뗄컊쳢ꎬ폈웤쫇 뻍럢뇕탔죎컱ퟶ돶뻶닟쪱췹췹닉좡쯣램 쮼캬。떫쿖쪵짺믮훐ꎬ늻쫇쯹폐컊쳢뚼쓜 틀뾿쯣램살뷢뻶ꎬ쳘뇰쫇뢴퓓뛠뇤뗄뷰죚 쫐뎡ꎬ쮲쾢췲뇤뗄룷훖탅쾢쪹쫐뎡닎폫헟 늻뿉쓜춨맽쯣램ퟶ돶에뛏。탄샭톧뗄퇐뺿 뇭쏷ꎬ죋쏇쏦뛔뢴퓓뗄、늻좷뚨탔뗄、좱랦 쿖돉쯣램뗄컊쳢쪱닉좡뗄쫇웴랢쪽뗄뻶 닟랽쪽뷸탐뻶닟。헢훖랽쪽믡떼훂죋쏇탎 돉튻킩뺭퇩맦퓲ꎬ쪹죋쏇뒦샭컊쳢폐튻킩 쿠뛔톸쯙、볲떥뗄랽램뫍뇪ힼ。샽죧ꎬ죋쏇 뿉쓜횻쫇뾴떽쇋 H1NI볗탍쇷룐뗄탂컅ꎬ 뻍뿉쓜쯦뇣헒튻횻튽튩막훘닖싲죫ꎬ뛸늻 좥뾼싇룃릫쮾쫇늻쫇짺닺뫍쿺쫛럀훎볗 쇷뗄튩욷ꎻ떱뾴떽틸탐쏅뿚업웰쇋좡뿮뗄 뎤쇺쪱ꎬ뫜뛠듦뿮죋튲믡죏캪헢볒틸탐돶 쇋컊쳢뛸웈늻벰듽뗘좥쳡뿮。 ꎨ뛾ꎩ쫐뎡닎폫헟뗄퇲좺탐캪훺뎤쇋 뷰죚퟊닺볛룱뗄놩헇놩뗸。춨뎣쟩뿶쿂ꎬ 춶퟊헟뛔막욱、듳ퟚ짌욷캴살볛룱볈폐뾴 뛠뗄ꎬ폖폐뾴뿕뗄ꎬ틲듋뇭쿖캪퟊닺볛룱 늨뚯럹뛈뷏킡。떫떱폶떽춻랢쫂볾쪱ꎬ춶 ퟊헟뗄탄샭풤웚뿉쓜랢짺뻞듳뇤뮯、짵훁 돶쿖퇲좺탐캪ꎬ벴맣듳춶퟊헟뗄풤웚뫍탐 뚯췪좫튻훂。샽죧ꎬ2008쓪짏냫쓪뗄튻킩 킡뷰죚믺릹뗄웆닺ꎬ쫀뷧룷맺헾뢮뫍춶퟊ 헟웕뇩죏캪횻늻맽쫇뺭볃퓶뎤맽돌훐뗄 튻듎킡늨뚯ꎬ떫떽쇋 2008쓪 9퓂럝ꎬ떱샗 싼탖뗜웆닺、쏀쇖놻쫕릺뫍쏀맺헾뢮힢퟊ 뻈훺 AIG 뫍“솽랿”쪱ꎬ맣듳춶퟊헟닅틢 쪶떽캣믺뗄퇏훘탔ꎬ럗럗엗쫛쫖훐뗄뷰죚 ퟊닺ꎬ훂쪹좫쟲막욱듳뗸뫍짌욷놩뗸。 뛾、쫐뎡캢맛뺭볃훷쳥탐캪뛔뷰죚럧 쿕뗄펰쿬 뷰죚럧쿕죧맻늻뛏믽뻛ꎬ퓲폐뿉쓜놩 랢뷰죚캣믺。뷰죚캣믺뿉틔럖캪틸탐캣 믺、믵뇒캣믺、햮컱캣믺、뷰죚쫐뎡캣믺믲 믬뫏탍캣믺。떫뷰죚럧쿕쿲뷰죚캣믺힪뮯 뗄맽돌쫇튻룶듓솿뇤떽훊뇤뗄맽돌ꎬ퓚헢 웚볤ꎬ캢맛뺭볃훷쳥탐캪붫뛔뷰죚럧쿕삩 즢폐튻뚨뗄펰쿬。 ꎨ튻ꎩ틸탐럇ퟔ풸돖폐뎬뛮ힼ놸뷰폐 뿉쓜펰쿬떽믵뇒헾닟뗄뒫떼킧펦。톧쫵뷧 튻냣죏캪ꎬ퓚믵뇒떱뻖퓋폃믵뇒헾닟릤뻟 쿲틸탐쳥쾵힢죫믲믘쇽ힼ놸뷰ꎬ뗷뿘틸탐 뗄뎬뛮ힼ놸뷰쫽솿ꎬ틔틽떼웤듻뿮뫍춶퟊ 햮좯탐캪ꎬ뷸뛸쪵쿖믵뇒릩펦솿、듻뿮ퟜ 솿뫍쫐뎡샻싊뗈쫐뎡훐뷩뗄맽돌훐ꎬ틸탐 퓚럇ퟔ풸돖폐뎬뛮ힼ놸뷰、듻뿮폫햮좯횮 볤뗄퟊닺ퟩ뫏탐캪뻟폐늻좷뚨탔뛸쓑틔 풤닢。뮹뿉틔뷸튻늽췆싛ꎬ떱틸탐럇ퟔ풸 쫐뎡닎폫헟탄샭탐캪뛔뷰죚럧쿕뗄펰쿬 □컄 / 췵ퟓ훹 1 헅폱쎷 2 . [11]훜ퟓ풪ꎬ퇮폀짺 .폃캥풼뻠샫에뇰탅폃 럧쿕ꎺ튻룶쪵횤퇐뺿 [J ] .짳볆폫뺭볃퇐뺿ꎬ . [12]헅쇡ꎬ퇮헪쫁 .KMV 쒣탍퓚짏쫐릫쮾 탅폃럧쿕움볛훐뗄펦폃퇐뺿 [J ] . 쾵춳릤 돌ꎬ . [13]샮샚쓾ꎬ헅뾭.컒맺짏쫐릫쮾캥풼뗣톡퓱컊 쳢퇐뺿—믹폚 KMV쒣탍 [J]. 맣컷뷰죚퇐뺿ꎬ . [14]십폪짺.컒맺짏쫐릫쮾탅폃럧쿕뛈솿쪵횤 퇐뺿[D].뮪뚫쪦랶듳톧ꎬ2008. [15]쪯쿾뻼ꎬ죎죴뛷.믹폚웚좨폫믹폚믡볆탅쾢 탅폃쒣탍뗄튻훂탔퇐뺿[J].쾵춳릤돌샭싛폫쪵 볹ꎬ. [16]붯헽좨ꎬ헅쓜뢣.KMV쒣탍뗄탞헽벰웤펦 폃[J].춳볆폫뻶닟ꎬ. [17] 헅쓜뢣ꎬ쇵폋. 믹폚 Tompkins랽램뗄 KMV쒣탍퇐뺿[J].춳볆폫뻶닟ꎬ. [18]몣럥ꎬ뮪뻽.믹폚 KMV쒣탍뗄훐맺짏 쫐릫쮾탅폃럧쿕퇐뺿 [J]. 닺튵뺭볃퇐뺿ꎬ . [19]샮ꎬ훬컀헦.KMV쒣탍퓚컒맺뗄쪵컱뮯 [J].닆뺭뿆톧ꎬ. [20]첷뻃뻹.닆컱횸뇪폫캥풼뻠샫쿠죚뫏뗄짏 쫐릫쮾닆컱풤뺯쒣탍[J].쾵춳릤돌ꎬ. [21]쇵맺맢ꎬ췵믛쏴.뾼싇캥풼뻠샫뗄짏쫐릫쮾 캣믺풤뺯쒣탍퇐뺿[J].닆뺭퇐뺿ꎬ. [22]헅짜쏴.믹폚캥풼뻠샫뗄닆컱풤뺯쒣탍[D]. 놱뺩듳톧ꎬ2007. 뷰죚 / 춶퟊ 58