上市公司信用风险评价模型研究

F224.0101839934021TheStudyofModeltoEvaluatetheListedCompany'sCreditRisk20011200243347121213161618333435()()(Chesser)(EdwardAltman)Z-CAMELS6CZETA(DividDurand)JP1997[1]WTOWTO[2]123[3]1234[4]1999620023:7217936[5][6][7][8][9]Z-Z-(EdwardAltman)19685Z-z=1.2x1+1.4x2+3.3x3+0.6x4+0.999x5x1=/=-x2=/x3=EBIT/x4=/x5=/z2.99zz1.811.81z2.99Chesser(Chesser)1974y=-2.0434+5.24x1+0.0053x2-6.6507x3+4.4009x4-0.0791x5-0.1020x6P=1/(1+exp(-y))x1=+/x2=/+x3=EBIT/x4=/x5=/x6=/ypp0.5p0.5CAMELS6CZETADividDurand8090JP1997[10][11][12]YYYY10XXY0110YXY01[13]1Pr01PrEviewsx0PrPr=Pr=probitlogitgompity0-1=1PrPr=Pr1/[14]7x1/x2:EBIT/(EBITx3:+/x4:/+x5:/x6:/x7:(/-)x1x2x3x4x5x6x71998STST21199623[15]19962000Y1Y01999200050200050500STPT500Y=1-F(-Xß)+e-Xß=c+c1*x1+c2*x2+c3*x3+c4*x4+c5*x5+c6*x7+c7*x7+uF3PROBITLOGITGOMPITF(LOGIT),EVIEWSML-BinaryLogitML:1-1000:Yz--PC-4.9407710.578521-8.5403550.0000X116.460372.2148097.4319590.0000X220.638992.1184189.7426420.0000X37.7590921.1555276.7147640.0000X4-0.0132200.003167-4.1738230.0000X5-6.7272213.443589-1.9535490.0508X65.6989780.7134787.9876000.0000X77.8498963.3306512.3568650.01840.5000000.5002500.323975104.1200LR(7df)725.7072McFaddenR-squared0.523487PLRstat0.000000Y=1-@LOGIT(-(-4.940770652+16.46037205*X1+20.63898903*X2+7.759091659*X3-0.01322037109*X4-6.727220915*X5+5.698978479*X6+7.849895539*X7))(@LOGITF)1P0xjfFYx4x52LR0P03McFaddenR-squared01:1-X2H-LY=0=1H-LValueLowHighActualExpectActualExpect10.00000.0800246245.73944.261172500.0162820.08010.5122182179.8706870.12972500.0898930.52120.89526264.0107188185.9892500.0849040.89601.00001010.3801240239.6202500.01452500500.000500500.00010000.20560H-L:0.2056Prob.Chi-Sq(2)0.9023Andrews:0.2219Prob.Chi-Sq(4)0.9943H-LAndrewsPY4AndrewsNAndrewsP-Prob.Chi-Sq(N)X130.67140.8799X251.73140.8849X340.53130.9704X443.53940.4719X520.22070.8955X630.235300.9717X730.70660.8716X4PX4Px4x5(/)2EVIEWS(C=0.5)Dep=0Dep=1lDep=0Dep=1P(Dep=1)=C424704945005001000P(Dep=1)C7643050600050050010005005001000424430854500050084.8086.0085.40100.000.0050.0015.2014.0014.600.00100.0050.00-15.2086.0035.40NA86.0070.80CY=1P0.586.0%Y=184.8%Y=0,85.4%,85.4%35.450%70.80E#ofDep=0=()Dep=0Dep=1TotalDep=0Dep=1TotalE(#ofDep=0)395.36104.64500.00250.00250.00500.00E(#ofDep=1)104.64395.36500.00250.00250.00500.00500.00500.001000.00500.00500.001000.00395.36395.36790.72250.00250.00500.0079.0779.0779.0750.0050.0050.0020.9320.9320.9350.0050.0050.0029.0729.0729.0758.1458.1458.1479.07%29.0758.17%10.584.8%0.20.586.0%0.82FLOGITfLOGIT-X'BXipiXitYXIFC1X2p/X1pX3p/X1pX4p/X1pX5p/X1pX6p/X1pX7p/X1p16.460372051.250.47-0.001-0.4090.3460.477X2(EBIT/)EBIT/X4/+X5(/)X41234567(1)X1(/)(1)//00.20.20X1T0.2(2)X2EBIT/(2)EBIT//00.2(3)X3+/(3)+/00.2(4)X4/+(4)X4T0.4(5)X5/(5)/X5T0.3/0.40.60.2(6)X6/(6)/(7)X7/-(7)1ST23F,Y=1-@CNORM(-(-2.823742822+9.383063841*X1+11.33810598*X2+4.546008552*X3-0.007349886324*X4-3.747927267*X5+3.275150559*X6+4.425885376*X7))(FPTOBITY=1-@CEXTREME(-(-2.474450615+10.53535563*X1+13.32763692*X2+4.7906941*X3-0.00840565449*X4-4.046839796*X5+3.513858045*X6+4.554945262*X7))(FGOMPIT40%[1]:199455-80[2]199666-102[3]199543-46[4]:1995100-108[5],199617-30[6]19959-12[7]Gallinger,GeorgeW.andA.JamesIfflander,Monitoringaccountsreceivableusingvarianceanalysis,Financialmanagement,1986,15(4):69-76.[8][],,1997,41-45[9]:1999210-230[10]19951-7[11]200064-88[12]:1999105-1108[13],,:2000,155-170[14]-,2002,39-43[15][J]19922001()1,,:2000,155-1702,19923-,2002,39-434:1995100-1085:1999210-2306RogerH.Hal,GreditAnalysis,JohnWiley&SonsInc.1983.71997819989:1999105-110810200064-881119951-712:199455-8013,199617-3014[],,1997,41-451520001619959-1217200018199543-4619199666-10220[].S..L.199021[].S.,199022G.S.Maddala,Econometrics,McGraw-HillInternationalInc.1986.23ArnoldZellner,BasicIssuesinEconometrics,TheUniversityifChicagoPress,1984.24RobertS.Pindyck,DanielL.Rubinfeld,EconometricsModelsandEconomicForecasts,fourthedition,IrwinMcGraw-Hill,1998.25Gallinger,GeorgeW.andA.JamesIfflander,Monitoringaccountsreceivableusingvarianceanalysis,Financialmanagement,1986,15(4):69-76.26FrederickC.ScherrOptimaltradecreditlimits,Financialmanagement,1996,25(1):71-85.27.[J]19922001()WTOZ-CAMELS6CZETA(DividDurand)Z-(EdwardAltman)1968z=1.2x1+1.4x2+3.3x3+0.6x4+0.999x5:x1=/=-x2=/x3=EBIT/x4=/x5=/(Chesser)1974y=-2.0434+5.24x1+0.0053x2-6.6507x3+4.4009x4-0.0791x5-0.1020x6P=1/(1+exp(-y))x1=+/x2=/+x3=EBIT/x4=/x5=/x6=/7x1:/x2:EBIT/EBITx3:+/x4:/+x5:/x6:/x7:/-Y=1-F(-X)+-Xß=c+c1*x1+c2*x2+c3*x3+c4*x4+c5*x5+c6*x6+c7*x7+uEVIEWSY=1-@LOGIT(-(-4.940770652+16.46037205*X1+20.63898903*X2+7.759091659*X3-0.01322037109*X4-6.727220915*X5+5.698978479*X6+7.849895539*X7))(@LOGITF)H-LHLAndrewsPc0.5EVIEWS86.0%Y=184.8%Y=085.4%,85.4%35.450%70.800.584.8%0.20.586.0%0.8AbstractFinanceisbecomingthecenteroftheeconomyreformandtheusuallife.Thefinancerealmiscomingintotheexcitingfieldthatisfullofvariety,opportunityandchallenge.Asconcernedasfinance,riskproblemisnecessary.Thecomprehensivedefinitionaboutriskisthatriskistheindeterminationontheincomeabouttheeconomicoperation.Theincomemayshouldincludeloseandtheindeterminationcanbemeasured.Thecre