考虑误判损失的Logistic违约预测模型构建被引量：13

Building up Default Predicting Model based on Logistic Model and Misclassification Loss

导出

摘要目前企业违约预测模型和现实情况存在一定差距,表现在:1)违约公司与正常公司样本数比例与实际情况严重不符;2)已有的研究极少考虑误判损失;3)鲜少提及信用等级,行业,规模,地区等定性指标对违约预测的影响.针对以上问题,建立了一个考虑误判损失的违约预测Logistic模型,摒弃以往配对原则,采用全样本分析,将地区、规模、行业作为定性指标和29个财务比率指标代入Logistic逐步回归后,最后得到一个违约判别模型. nowadays, there＇ re gaps between default predicting model and true-life, those are： a） the ratio of the number of default enterprises to the number of normal enterprises in the enterprise＇ s short-term-loan default predicting model differs badly from the practical ratio; b） there＇re rarely studies considering the misclassification loss; c） there＇ re rarely studies considering the qualitative indexing, such as scale, region, industry. To solve aforementioned problems, applying stepwise Logistic regression model, we build up a default predicting model considering the misclassification loss, abandoning the pairwise pattern and using all samples, and introducing those qualitative indexes. The model is significant through testing in statistics. It is more practical and the classification rates are also better.

作者马若微唐春阳

机构地区北京大学经济学院西安交通大学经济与金融学院

出处《系统工程理论与实践》 EI CSCD 北大核心 2007年第8期33-38,98,共7页 Systems Engineering-Theory & Practice

基金国家自然科学基金(70171005) 国家十五攻关项目(2001BA102A06-07-01)

关键词误判损失违约预测 LOGISTIC模型 misclassification loss default predicting predicting model

分类号 F830 [经济管理—金融学]

引文网络
相关文献

参考文献13

1王春峰,万海晖,张维.商业银行信用风险评估及其实证研究[J].管理科学学报,1998,1(1):68-72. 被引量：122
2Altman E I.Financial ratios,discriminant analysis and the prediction of corporate bankruptcy[J].The Journal of Finance,1968,23(1):589-609.
3Altman E I,et al.Zeta analysis,a new model to identify bankruptcy risk of corporates[J].The Journal of Banking and Finance,1977,1:29-51.
4Altman,Edward I,Katz S.Statistical bond rating classification using financial and accounting data[C]//Proceedings of the Conference on Topical Research in Accounting,New York:New York University,1976:205-239.
5Basel Committee on Banking Supervision.International Convergence of Capital Measurement and Capital Standards:A Revised Framework[S].2004.6.
6Carleton W T,Lerner E M.Statistical scoring of municipal bonds[J].Journal of Money,Credit and Banking,1969,11:750-764.
7Freedman R S,et al.A·I in the Capital Markets[M].Chicago:Probus Publishers,1995.
8Horrigan J O.The determinants of long term credit standing with financial ratios,empirical research in accounting:Selected studies[J].Supplement to Journal of Accounting Research,1966(Supplement),44-62.
9Horton J J.Statistical classification of municipal bonds[J].Journal of Bank Research,1970:29-40.
10Pinches G E,Mingo K A.A multivariate analysis of industrial bond ratings[J].Journal of Finance,1973,3:1-18.