基于期权与基于会计信息信用模型的一致性研究———对我国上市公司的实证研究

利用我国72家上市公司组成的样本,分9种不同的情况,详细地计算了3类Merton型违约指标d2、DD(违约距离)、RNDF(风险中性违约概率)与Z分值,采用线性分析和严格的ROC分析方法比较了3类Merton型违约指标与Z分值的一致性.实证的结果表明,在我国找不到足够的证据支持基于期权方法的Merton型信用模型与基于会计信息的Z分值模型之间的一致性.最后,阐述了这个基本结论的意义,并提出了后续研究方向.

Empirical Tests of Consistency Between Market-Based and Accounting-Based Credit Models: Evidences from China

Altman's Z-score model and Merton-type default model are two milestone achievements in the course of modern credit risk modeling.They are typical representatives of accounting-based and market-based credit models.In this paper,we answer the question whether these two kinds of models are consistent in China? We constructed a sample of 72 listed companies from China stock market that can pass ARCH tests.Then,we calculate Z-score and 3 Merton-type default indices,i.e.,d_2,DD,RNDF.We test consistency between these two kinds of credit models by linear regression and ROC method under 9 different circumstances.The empirical results show no strong evidences to support that they are consistent in China.Some possible reasons for this inconsistency and its implications are discussed. We give some suggestions for further research in the end of the paper.