| 基于Logit和KMV的我国上市公司信用风险的比较研究 |
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| 引用本文： | 邹鑫,李莉莉,房琳.基于Logit和KMV的我国上市公司信用风险的比较研究[J].青岛大学学报(自然科学版),2014(2):90-95. |
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| 作者姓名： | 邹鑫 李莉莉 房琳 |
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| 作者单位： | [1]青岛大学经济学院,青岛266071 [2]青岛市职业技能鉴定中心,青岛266071 |
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| 摘 要： | 利用Logit回归模型和KMV模型分别对选取的29家我国上市公司样本的信用风险进行实证分析和比较。结果表明，两个模型基本上都能反映上市公司的信用状况，虽然KMV模型对非违约样本组的预测结果要优于Logit模型，但是在违约公司样本组的预测上，Logit模型要远比KMV模型准确。从总体效果来看，Logit模型的预测准确性要高于KMV模型。
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| 关 键 词： | 上市公司 信用风险 Logit回归模型 KMV模型 |
Comparative Study on Credit Risk for China Listed Companies Based on Logit Model and KMV Model |
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| ZOU Xin,LI Li-li,FANG Lin.Comparative Study on Credit Risk for China Listed Companies Based on Logit Model and KMV Model[J].Journal of Qingdao University(Natural Science Edition),2014(2):90-95. |
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| Authors: | ZOU Xin LI Li-li FANG Lin |
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| Institution: | 1. College of Economics, Qingdao University, Qingdao 266071, China; 2. Occupational Skill Testing Authority of Molss, Qingdao 266071, China) |
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| Abstract: | The credit risk for the chosen twenty-nine listed companies in China was analyzed with logit regression model and KMV model, respectively. Results show that the two models can reflect the status of credit risk of listed companies basically. Although the prediction of KMV model on non-default group is better than that of the logit model, logit model is much better than KMV model on the the prediction of default groups. Overall, the prediction efficiency of logit model is higher than that nf KMV model. |
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| Keywords: | listed company credit risk logit model KMV model |
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