Prediction of Chinese Listed Companies Credit Risk Based on Mized Logit Model and Factor Analysis

摘要：

This paper used mixed logit model to predict credit risk of listed companies in China. In order to reduce the difficulty in dealing with the facts of correlation and multi-dimension of the financial indexes of listed companies and meanwhile to ensure that the data are not lost, we introduced factor analysis to the mixed logit equation and constructed a Factor Analysis Mixed Logit Model. Fifteen factors were extracted from original financial indexes, and four main factors which effect dramatically were selected to substitute the original financial indexes as explanatory variables. The results show that the new approach is reliable, and general prediction accuracy is higher than 80％.

关键词： mized logit factor analyst credit risk prediction

作者: Xiaolin Sun Xuezhi Qin Bo Chen

作者单位: School of Management,Dalian University of Technology,DaLian, 116024, China

会议类型: 国际会议

会议名称: 2009 International Conference on Management of e-Commerce and e-Government ICMeCG 2009(第三届电子商务与电子政务管理国际会议)

会议地点: 南昌

会议语种:英文

页码: 258-261

在线出版日期: 2009-09-01（万方平台首次上网日期，不代表论文的发表时间）