The Research on Credit Risk of Manufacturing Listed Companies in China Based on Logistic Model
Currently, three commonly used ways to research credit risk of listed company is KMV model, CreditMetrics model and CreditRisk+ model. But the three models are established based on data of capital market and credit rating. Consider Chinas special circumstance, the development of capital market and rating system is not mature. So the three models are not so applicable in China. But logistic model is based on financial data, so the result is more reliable. According to the characteristics of manufacturing industry, this paper choose 6 financial indicators to predict the default probability of manufacturing listed companies and construct a logistic model through principal component analysis. Empirical result shows that the predictive accuracy of logistic model is 81.3％, two principal components have significant effect on default probability. Compared with other models, logistic model has good predictive effect, can not only provide a standard for companys risk warning, but also provide a standard for commercial bank loans.
Manufacturing listed companies Logistic model Credit risk Default probability Financial indicators
ZHAO Tianlin DU Jia
School of Economics and Management, Beijing Jiaotong University, China, 100044
国际会议
The Ninth International Forum--International Trade and Investment(第九届国际贸易与投资国际论坛)
昆明
英文
296-302
2012-07-13（万方平台首次上网日期，不代表论文的发表时间）