信贷风险度量的Logit模型检验——来自行业内上市公司的经验数据

Measuring the Credit Risk with Logit Model——Data from Intra-industry Listed Corporations

对国内2001-2004年，连续四年间曾经营失败和经营正常的106家综合类上市公司的信用质量应用kogit模型进行检验分析，与以往研究不同的是：一是研究对象只针对某一类企业进行研究，剔除了行业之间的差异影响；二是选取样本违约与非违约数量之间的非均衡性。实证结果发现：Logit模型对中国市场企业信贷风险具有一定的判别和预测能力，能够较好地评价一个企业的信用状况；影响公司信贷违约与非违约的众多因素中，流动比率与资产负债率是两个关键因素。

106 listed corporations from the period 2001- 2004 are selected as samples for study and Logit model is established to predict the credit risk. The research differs from the past study in two aspects： one is that the subject was confined to one industry, which excludes the difference effect between industries; another is that the rate between default samples and non-default ones is un-balanced. The result reveals that Logit model can be used better in measuring the credit risk and that the current ratio and the property debt rate are two key indices in the multitudinous factors which may lead firms to default.