【摘要】 笔者针对传统Logistic模型在信用风险评估时忽略系统性风险的不足,根据我国国情,从经济周期和经济转型两个方面引入系统性风险因子,结合财务因子,构建了新的Logistic模型。笔者采用上市公司的数据对新的Logistic模型进行分行业检验,发现模型具有较好的拟合效果,经济周期和经济转型因子均对企业信用风险有重要影响。新的Logistic模型比传统的Logistic模型具有更高的准确度,能有效提高对企业信用风险的判别能力。更多还原

【Abstract】 To offset the shortcoming of traditional Logistic model that neglects the systemic risk and considering China’s special situation of economic transition,the authors introduce systemic risk factors from the two aspects of economic cycle and economic transition,and then in combination with corporate financial factors build a new Logistic model.Using the data of listed companies,the authors test the new Logistic model in different industries and find that the model has a good fitting effect.The economic cycle factor and the economic transition factor both have significant influence on corporate credit risk.The new Logistic model is more accurate than the traditional one,so it can evaluate corporate credit risk more effectively.更多还原