持续经营的不确定性与公司违约概率——基于期权定价模型的一种定量判断标准

Going Concern Uncertainty and Probability of Bankruptcy ——A Quantitative Criterion Based on Option-pricing Model

提出了在我国证券市场使用布莱克-舒尔斯-默顿期权定价理论,利用市场交易信息估计企业破产(或违约)概率的方法,审计人员可将该破产概率作为判断被审计企业持续经营能力的一个定量参考指标,从而对审计人员持续经营审计报告类型的选择提供帮助。

This study provides a method which utilizes option-pricing model,combined with market-based information, to estimate the probability of bankruptcy in China's stock market. Auditors can use probability of bankruptcy as a quantitative reference criterion to judge the going concern of company. It may be helpful for auditors in the choice types of going concern report.