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Logistic Model of Corporate Financial Distress Prediction Based on Distance-to-Default

Author: CaiJingJing
Tutor: LiYiChao
School: Zhejiang Technology and Business University
Course: Finance
Keywords: Financial early warning Distance to Default logistic regression model ROC curve
CLC: F275
Type: Master's thesis
Year: 2011
Downloads: 78
Quote: 0
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Abstract


With the expanding global securities markets, the degree of opening up of China's financial industry continues to deepen, the listed company in China to meet the reform and development opportunities while also facing more intense competition and greater risks. Banking, corporate management, as well as market investors all need an effective financial distress early warning mechanism to assist in their decision making. The current financial crisis early warning model can be divided into a the Financial Ratios model logistic model represented by well KMV model represented by the two major categories of credit risk quantification model. Although the former model is simple, but the characteristics of the financial statements themselves decide it exist, such as stationary and lag defects can not reflect the fast and subtle changes in capital markets; latter model is dependent on the capital markets rather than the carrying amount of information, theory on timely, scientific and dynamically reflect the current operating status of listed companies, and has been widely used abroad, but because of the special circumstances of default database missing, the final output of the model variables EDF in our country can not be drawn. Based on the above background, the manufacturing sector from 2005 to 2009 China Shanghai and Shenzhen 225 stock listed companies for the study sample in the traditional single financial information for the class early warning model based on a two-step expansion: First of all, the domestic and international research in the traditional single financial information class model (model Ⅰ) the introduction of corporate governance variables, cash flow variable and non-financial indicators, building improved traditional model (model II); then optimal adjustment of model parameters, combined with China's actual situation, according to KMV model estimation sample distance to default DD it a descriptive statistical analysis to determine the initial distinction of the indicators of the financial crisis, companies and the financial health of the company; since then breach the distance variable DD continue to be introduced into the model II building contains both financial DD integrated indicators, non-financial indicators, and distance to default variable model (model III); Finally, according to the training sample set of regression results using the two methods of classification matrix and ROC curve comparing three types of models of the the back substitution effect of the training sample group Comparative Analysis of the predicted effect of the test sample group, and three types of goodness of fit of the model, and other aspects. Evidence shows that the model of corporate governance variables and cash flow variables regression results are almost the same, but turn into the distance to default DD, model ST and non-ST-discrimination accuracy increased 1.3%, reflecting the model goodness of fit The-2LL Value decreased from 41.185 to 36.797. Therefore, the distance to default variable to better reflect the changes in the financial condition of listed companies in China; Financial Distress of distance to default variable model in terms of discrimination ability or model goodness of fit has been significantly improved.

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CLC: > Economic > Economic planning and management > Enterprise economy > Corporate Financial Management
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