引入违约距离的上市公司财务危机预警应用  

The Application of Financial Crisis Alert System for Listed Companies by Introducing Breach Distance

作　　者：潘彬[1,2] 凌飞[3] 

机构地区：[1]温州大学财务与会计研究所,浙江温州325035 [2]湖南大学管理科学与工程博士后流动站,湖南长沙410082 [3]湘潭大学商学院,湖南湘潭411100

出　　处：《系统工程》2012年第3期45-51,共7页Systems Engineering

基　　金：湖南省自然科学基金资助项目(11JJ3081);教育部规划基金资助项目(10YJA630120);湖南省博士后基金资助项目

摘　　要：目前关于上市公司财务危机预警的研究大多数偏重于财务比率指标,忽略了股票价格及波动、企业的经营效率、宏观因素的制约、股权结构等非财务指标的影响。本文尝试区别同类文献研究,在KMV模型的基础上嵌入期权定价模型,通过加入反映上市公司股票价格和波动率的违约距离指标,建立一个相对动态的集财务指标、公司治理指标和违约距离指标于一体的综合财务困境预警模型。在实证基础上检验违约距离指标对于上市公司财务困境预警的适用性及有效性问题。Nowadays,the researches on the financial crisis alert system of listed companies mainly focuses on the index of the financial ratio,while the influence of the non-financial indexes including stock price and its fluctuation,enterprises’ operating efficiency,the regulation of macro factors,structure of the stock right has been neglected.This paper attempts to differentiate from other researches of the same category,in which a comprehensive dynamic financial crisis alert model which integrates financial index,company management index and breach distance index into an organic whole is established on the basis of KMV model that is set in a model of an option pricing with the addition of an index that reflects stock prices and fluctuation rate of listed companies.This paper also testifies the applicability and effectiveness of the breach distance index in the alert system of financial crisis of listed companies based on factual demonstration.

关 键 词：财务危机 预警 违约距离 LOGIT回归 

分 类 号：F272[经济管理—企业管理]