| 非上市中小企业贷款违约率的定量分析——基于判别分析法和决策树模型的分析 |
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| 引用本文： | 徐晓萍,马文杰.非上市中小企业贷款违约率的定量分析——基于判别分析法和决策树模型的分析[J].金融研究,2011(3). |
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| 作者姓名： | 徐晓萍 马文杰 |
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| 作者单位： | 上海财经大学金融学院; |
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| 基金项目： | 上海财经大学211科研项目(第三期); 上海财经大学小企业融资研究中心的研究资助 |
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| 摘 要： | 本文运用判别分析法和决策树模型对非上市中小企业违约风险进行了分析,并将两种方法的分析结果进行了对比。分析结果表明,两种方法均能较好地判别企业违约的可能性,而采用决策树模型的最大的好处是,除了能够较好地判断企业的违约率之外,它还能够找出影响企业违约的关键性因素。从我们的分析样本来看,商业银行在判断企业的信用水平时,现金流量/总债务的比例、流动资产/流动负债比例是两个非常重要的考察因素。如果银行花精力对它们进行调查、核实,保证其准确性,将大大提高对企业违约率判断的准确性。
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| 关 键 词： | 违约率 非上市企业 判别分析 |
Quantitative Analyses on the Default Rate of Non - listed SMEs:An Analysis based on the Discriminant Approach and the Decision Tree Model |
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| XU Xiaoping MA Wenjie.Quantitative Analyses on the Default Rate of Non - listed SMEs:An Analysis based on the Discriminant Approach and the Decision Tree Model[J].Journal of Financial Research,2011(3). |
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| Authors: | XU Xiaoping MA Wenjie |
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| Institution: | XU Xiaoping MA Wenjie |
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| Abstract: | This paper applies discriminant analytical approach and the Decision Tree Model to analyze the default rate of non-listed small and medium-sized enterprises(SMEs),and also compares the results generated from both approaches.The results show that both Decision Tree Model and Discriminant Analysis are performing well in predicting default probabilities.However in comparison with the Discriminant Analysis,Decision Tree Model has advantages in which it can not only predict default probabilities well,but also he... |
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| Keywords: | default rate non-listed firm discriminant analysis |
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