银企信用中企业违约测度理论模型与实证研究  

Theoretical Models and Empirical Studies on Measuring Corporate Default Probabilities in Credit Risk Management

作　　者：贾文学[1] 康金莉[1] 

机构地区：[1]石家庄铁道学院经管分院,河北石家庄050043

出　　处：《山西财经大学学报》2009年第12期99-106,共8页Journal of Shanxi University of Finance and Economics

基　　金：河北省科学技术研究与发展计划项目"绿色信贷机制与河北农村经济可持续增长问题研究"(09457261D)

摘　　要：从企业违约的内部成因出发,依据企业财务会计理论,构建了基于现金流量泰勒展开式的Logistic回归分析模型,并利用上市公司数据进行了实证分析。结果发现,一年期和多年期模型具有较好的拟合优度、预测准确率及稳健性,同时得到了经济上升周期过程中企业违约的渐进过程。This paper＇s goal is to promote the capacity of domestic banks managing credit risk. Some models of measuring PD have been constructed on corporation finance theory. And the authors have applied financial datas of listed corporations to verify this model and found that one-year-model and many-years-model＇s goodness of fit and predicting accuracy have good effect,and also discovered the corporation default process during economic booming period.

关 键 词：违约率 信用风险 LOGISTIC回归分析 

分 类 号：F832[经济管理—金融学] F224.0