中文摘要：

本文首次运用Merton模型和Leland-Toft模型对我国上市公司的信用风险进行了比较实证研究。研究结果表明,Merton模型对上市公司信用风险的预期违约率的计算明显太低。但是,违约距离的计算在一定程度上可以反映出不同公司信用风险存在的差异。而使用Leland-Toft模型计算信用风险的预期违约率较Merton模型有更高的敏感性、有效性。依据大公国际资信评级体系评级的结果,将A股50指数上市公司的信用评级等级,对比Leland-Toft模型计算的预期违约率,不同等级的上市公司,其预期违约率有明显的不同,说明其模型的预测是有效的。并且,也反映出近期预期违约率低而远期则较高的规律性。但是,计算的预期违约率还是偏低,说明Leland-Toft模型在用于目前的上市公司信用风险分析时,尚需调整有关的参数。

英文摘要：

This paper analyzes,for the first time into the credit risk of China’s listed companies by using Merton model and LelandToft model. The results are： default ratio of China’s listed companies in connection with credit risk is obviously underestimated Merton model in comparison with the more sensitive and effective Leland -Toft model,though the calculation on distance of default differentiates the credit risk resulting from the first model. According to Dagong global credit rating results,different grades of companies selected by SZ50 index,Leland-Toft model calculation obviously differentiates the credit risk of the companies,which shows the effectiveness of the model and proves that usually short term risk is lower than long term risk. But the expectation of default ratio is still low,so the parameter needs to be adjusted.