基于因子分析的logistic违约概率测算模型研究
首发时间:2008-10-30
摘要:本文针对一般Logistic 违约率模型中原始数据信息的丢失、多重共线性以及没有考虑时间因素等问题,提出了基于因子分析的logistic违约概率测算模型。通过引入因子分析和对指标作时间加权化处理等方法改进了一般logistic违约概率测算模型,然后利用中国上市公司数据展开实证研究。基于因子分析的logistic违约概率测算模型不仅考虑了时间因素,能够解决数据丢失和多重共线性,克服了Cramer 问题,而且测算的准确度也较高。
关键词: 违约概率 因子分析 Logistic模型
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The research on the model of logistic default probability measure on the basis of the factor analysis
Abstract:This paper proposes the logistic default probability measure model which is based on the factor analysis , in the light of the problem of missing original data 、multicollinearity and without time consideration in the general Logistic probability of default model. By introducing the factor analysis and calculating indices with time-weighted method, the paper improves the general Logistic default probability measure model, and then does the empirical research with the data of the Chinese Listed companies.The modle of logistic default probability measure based on the factor analysis can not only solve the problem of the data missing ,multicollinearity and Cramer, but also provides a relatively accurater result.
Keywords: probability of default factor Analysis Logistic model
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No.2528212355412253****
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