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The Listed Company's Credit Rating Based On Logistic Regression Model Add Non-Financial Factors
The Listed Company's Credit Rating Based On Logistic Regression Model Add Non-Financial Factors
The Listed Company's Credit Rating Based On Logistic Regression Model Add Non-Financial Factors
The Listed Company's Credit Rating Based on Logistic Regression Model Add
non-financial Factors
Abstract-This paper designs a set of enterprise credit rating appropriate measures can be used,such as the possibility to
index system,in addition to traditional financial ratios ,it emergency factoring in a variety of capital markets, the
joined the non-financial factors.then used the logical possibility of financing to other companies and financial
regression approach to create company's credit rating model , institutions , asset size and asset liquidity.
the result shows that the overall discrimination rate reached (2) National economic policy
95%, the models predict results accurately. China's corporate finance credit risk has obvious
Keywords-list company; non-financial factors; logistic systemic source , the impact of national economic policy is
regression model much greater than the western countries. National economic
policy palys an role of the national economy-oriented, adopt
I INTRODUCTION
different policies for different industries, to support or to
contain, and through integrated approach to reach
In the company's credit evaluation ,financial indicators macro-control : such as administrative, taxation, price,
are still dominant, it has the nature of comparable and supervision methods, thereby affecting business efficiency
measurable ,so it made the comparison within the industry and bank credit, so it is necessary to analyze the impact of
and historical data possible. However, company's credit policy change on credit risk.
rating on financial ratios alone is not enough, other (3) Industry characteristics and development
non-financial factors also play a significant role . Compared Company runs in a certain macro-economic environment,
with the financial indicators, enterprise risk transfer it mustt be subject to the country or even the world
capacity, national economic policy, company industry status, economic environment.Credit analysts should always
industry characteristics and other non-financial indicators concerned about the changes of macroeconomic
could more accurately reflect the company's future environment and its associated industrial policy , analysis
development trends,could more comprehensively reflect the the impact on demand for products or services, raw
operating results. Therefore, it plays an irreplaceable role in materials supply, profitability, asset quality and other
the corporate credit analysis and evaluation . aspects ,analysis the industry is stable or is sensitive to
economic changes .
II ENTERPRISE CREDIT EVALUATION INDEX SYSTEM (4) Company’s industry status
The competitive position of enterprises can be measured
A. Financial Ratios Indicators by a number of indicators,such as the market share of
Nowerdays,enterprise financial evaluation indicators are products or services, the cost structure and its potential to
relatively numerous,it mainly classify with growth index、 increase revenue and reduce expenditure, equipment and
viability index、solvency indicators、cash flow indicators technical level and so on. credit analysts should pay special
profitability index. attention to the enterprises’ status in the same industry,
B. Non-financial ratios indicators especially when adverse changes in the external business
(1) Enterprise's financial risk transfer capability environment, whether companies can maintain their ability
Enterprises financial risk transfer capacity mainly to obtain cash, to face the potential price competition and
depends on the financial flexibility: mortgage, guarantee 、 new production challenges.
insurance and other repayment protection, as well as when
the enterprises faced with unexpected financial needs,what
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TABLE II. SAMPLE DISTRIBUTION TABLE III .CASE PROCESSING SUMMARY
industry distribution default number normal number Unweighted Cases(a) N Percent
1
Pi = − (3064.225 + 0.032 x1 − 6.316 x2 − 0.197 x3 +1267 x4 − 389.059 x5 +1.562 x 6 +13.333 x7 − 3022.062 x8 +
3372.282 x9 + 6.751 x10 − 7.446 x11 +13.139 x12 −1.125 x13 −1474.27 x14 −1930.238 x15 + 520.51 x16 − 266.31 x17
1+ e
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If p 0.5, then classified as high-risk category, if p 0.5, classfication rate of normal companies is 94.7%, the overall
percentage is 95%.
then classified as low-risk category.
TABLE V. CLASSIFICATION TABLE(a) V CONCLUSION
As introducted the non-financial factors into the credit
Predicted rating index system,the company's overall discrimination
Observed rate of 95%, it shows that the model reached a very high
Whether Default
Percentage Correct
classification rate, this models predict results accurately.
0 1
Step 1 Whether Default 0 20 1 95.2 REFERENCES
1 1 18 94.7
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Overall Percentage 95.0 logistic and linearmodels. International Review of Financial
Analysis,1999,(2): 97~135
a The cut value is .500
[2] Sjur.Westgaard et al Default probabilities in a corporate bank portfolio A
The table above showed the accuracy of the sample logistic model approach.European Journal of Operational Research〔J〕,
default or not by logistic regression model .we can see the 2001, 135: 338~349.
[3] Rose R.S.,Andrews W.T., Giroux G.A..Predicting business failure :a
classification rate of default company is 95.2%,the macroeconomic perspective.Journal of Accounting,Auditing and
Finance.1982,(4):20~31
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