| 基于违约距离的上市公司信用风险研究——以制造业为例 |
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| 引用本文： | 刘玲,周子元.基于违约距离的上市公司信用风险研究——以制造业为例[J].湖北师范学院学报(哲学社会科学版),2010,30(2):72-75. |
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| 作者姓名： | 刘玲 周子元 |
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| 作者单位： | 1. 天津商业大学,经济学院金融系,天津,300134
2. 云南师范大学,经济学院,云南,昆明,650222 |
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| 基金项目： | 天津市高等学校加快培养急需人才重大研究立项计划项目(《立足滨海、产学研结合的国际化创新型金融人才培养模式研究与实践》)的阶段性成果之一;;云南省2008年应用基础面上项目(《云南省上市公司信用风险计量与应用》)的阶段性成果之一,项目编号:2008ZC049M |
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| 摘 要： | 本文以沪深两市2007年被＊ST处理的制造业上市公司为研究对象，选择与研究对象相同行业种类且资产规模相近的正常公司作对照公司，用默顿模型估计了参数并计算1年期和2年期的违约距离．发现违约距离在短期内能提供预测公司信用风险的信息，在长期内则预测效果不明显。
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| 关 键 词： | 信用风险 违约距离 默顿模型 |
The study on credit risk of Listing company based on distance to default-take as example manufacturing |
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| LIU Ling,ZHOU Zi-yuan.The study on credit risk of Listing company based on distance to default-take as example manufacturing[J].Journal of Hubei Normal University(Philosophy and Social Science),2010,30(2):72-75. |
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| Authors: | LIU Ling ZHOU Zi-yuan |
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| Institution: | 1.Economics School of Tianjin University of Commerce;Banking Department;Tianjin 300134;China;2.Economics School of Yunnan Normal University;Kunming 650222;China |
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| Abstract: | The newly special-treated listed companies in manufacture industry in China have been singled out as research objectives;with the normal company,which has the similar scale and in the same trade,acting as comparison objects.Distance to default and parameters have been measured by employing Merton mode.The result is that the distance to default is informative in forecasting the firms' financial distress in short period,but it can not help in forecasting in long period. |
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| Keywords: | credit risk the distance to default Merton model |
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