违约预测:市场模型还是会计模型  

Default Prediction: Market-Based Versus Accounting-Based Models

作　　者：孔德营[1] 李晓峰[1] 

机构地区：[1]厦门大学经济学院金融系

出　　处：《投资研究》2012年第9期127-140,共14页Review of Investment Studies

摘　　要：本文选取沪深A股1463家上市公司,分别运用基于市场信息的Merton模型和基于会计信息的Logistic模型,测算公司的违约风险。相关性分析的研究结果表明,两种模型在违约测度方面的一致性较差,进一步基于ROC曲线以及准确性比率的分析结果显示,Logistic模型的违约预测效果明显优于Merton模型。In this paper we select 1463 A-share listed companies on Shanghai and Shenzhen Stock Exchange, using mar- ket-based Merton model and accounting-based Logistic model respectively, to assess the default risk of these companies. Our correlation analysis shows that the consistency of the measure of default between the two models is poor. Furthermore, we com- pare the performance of these two alternative models on default prediction through ROC curve and accuracy ratio analysis. Our results show that the Logistic model clearly outperforms its market-based counterpart.

关 键 词：违约预测 MERTON模型 LOGISTIC模型 ROC曲线 

分 类 号：F233[经济管理—会计学] F832.51[经济管理—国民经济] F224