Quantitative Evaluation Of Default Risk Of Listed Companies Based On Logit Model

Recently,bond defaults have occurred frequently.Private enterprises are still the main group that has defaulted,and the number of defaulting companies has been increasing year by year.And in 2018,the risk of default began to be transmitted to listed companies and high-credit rating companies,and even AAA-rated corporate bonds also defaulted,making investors no longer rely on high ratings as the sole basis for buying bonds.The need to develop more accurate credit default risk assessment tools is growing.Over the past few decades,the credit default risk assessment model has evolved from qualitative to quantitative,from static to dynamic,from monomer assessment to combined object assessment.Current mainstream credit default risk assessment models include,but are not limited to,expert analysis,Z-score model,Logit model,Probit model,KMV model,CreditMetrics model,Artificial Neural Network model,and so on.This paper concludes the financial indicators that match the reasons for the default of listed companies in 2018,and uses the Logit regression model to gradually determine the best equations,and forms an evaluation model to quantify the probability of occurrence of corporate default events.The evaluation model absorbs the characteristics of quantitative models in different periods: including the financial indicators used in the Z-score model to establish default risk and still apply to date;the key indicators in the KMV model based on option ideas and using real-time market data to quantify the possibility of default Distance;the regression method of the Logit model.The model is based on publicly available data from the latest Chinese listed companies(including default and non-defaulting company data),making it applicable and easy to operate at Chinese market and latest time points.The model is applied to the credit default risk assessment of listed companies in the nonfinancial industry in the Shanghai and Shenzhen 300 constituent stocks.After the assessment,it was found that the real estate industry credit default risk is gathering.Faced with the economic downturn,policy adjustment,the objective situation of tight financing environment,real estate enterprises with low sales return efficiency and high external financing dependence,the financial situation is relatively fragile and the risk of default is intensified.