基于Probit模型的中国制造业企业信贷风险测度研究  

Study on Credit Risk Measurement of Chinese Manufacturing Listed Companies Based on Probit Model

作　　者：霍源源 姚添译 李江[3] HUO Yuan-yuan;YAO Tian-yi;LI Jiang(International Business School,Shaanxi Normal University,Xi’an 710119,China;School of Mathematics and Information Science,Shaanxi Normal University,Xi’an 710119,China;School of Economics and Finance,Xi’an Jiaotong University,Xi’an 710061,China)

机构地区：[1]陕西师范大学国际商学院,陕西西安710119 [2]陕西师范大学数学与信息科学学院,陕西西安710119 [3]西安交通大学经济与金融学院,陕西西安710061

出　　处：《预测》2019年第4期76-82,共7页Forecasting

基　　金：国家自然科学基金资助项目(71803109);教育部人文社会科学基金青年资助项目(18YJC790058);陕西省社科联资助项目(2018Z009);中央高校基本科研业务经费专项资金资助项目(GK201903104)

摘　　要：本文基于Probit模型构建了制造业企业信用风险评估方法,通过指标选取及检验,认为流动资产比率、资产负债率及总资产增长率等10个财务变量可以显著地反映企业偿付能力和发展能力,并作为风险测度模型的解释变量。经过对我国制造业上市企业信贷风险的测度检验,该模型对制造业企业违约事件发生的判别准确率达到92.97%,并能够提前1到8个季度对企业进行信用风险危机预警,可以较好地预测企业违约事件发生的概率,为制造业企业信用风险的防范提供决策支持。The article builds a credit risk assessment method for manufacturing companies based on the Probit model.Through the selection and examination of indicators,it can be seen that the 10 financial variables such as liquidity ratio,asset-liability ratio and total asset growth rate can significantly reflect the solvency and development capabilities of an enterprise.Therefore,the indicator can be used as an explanatory variable of the risk measurement method.After measuring the credit risk of the listed companies in the manufacturing industry in China,the accuracy of the model’s discriminating against the occurrence of default events in manufacturing companies reaches 92.97%.At the same time,the model can provide early warning of credit risk crisis to companies in 1 to 8 quarters in advance.The article provides decision support for the prevention of credit risk in manufacturing enterprises.

关 键 词：信用风险评估 PROBIT模型 制造业 

分 类 号：F832.42[经济管理—金融学]