Application of Logit Model in Credit Risk Evaluation of Corporations
Credit risk, the most important type of finance danger in modern economic society, has a direct effect on the economic behavior of market participator. Setting default rate as a measure standard, this essay analyzes the credit of several corporations in 2008s A-stock market, by means of Logit model with t-test and principal component analysis. The results show that the most influential financial indicators in the corporation credit risk evaluation are profit-making ability and debt-repaying ability. At last, the author makes some expectations based on the model, and found that the average correctness ratio of the judgment is 97.62％, this suggests the Logit model can interpret the credit situation of china security market effectively, and worth of spreading, given to its stability.
credit risk evaluation probability of default principal component analysis logit model
ZHAO Qingxia WANG Bifeng LAI Zhihua
School of Economics and Trade, Shijiazhuang University of Economics, Shijiazhuang, P.R.China, 050031
国际会议
威海
英文
125-129
2010-07-24（万方平台首次上网日期，不代表论文的发表时间）