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边界Logistic违约率模型及实证研究
Bounded logistic default risk model and empirical evidences from China
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中文关键词  Logistic 违约 边界Logistic
英文关键词  logistic; default; bounded logistic
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石晓军 任若恩 肖远文 [1]北京航空航天大学经济管理学院[2]北京华油天然气有限责任公司 
中文摘要
      在前人研究基础上对边界Logistic违约率模型展开进一步研究.首先通过抽样分布性质的研究从理论上说明了为什么边界Logistic违约率模型更优越.然后利用中国公司数据展开实证研究。不仅找到了Cramer问题的中国证据,同时还发现边界Logistic违约率模型不仅能够克服Cramer问题、而且对临界值不敏感、同时预测效率也相对较高
英文摘要
      Cramer pointed out shortcoming of plain Logistic default model and put forward bounded Logistic model. This paper does some further research about bounded Logistic default model. We first demonstrate why bounded Logistic default model is super to plain Logistic model theoretically through sampling distribution analysis. Then we give empirical evidences based on China companies' data. We not only find evidences about Cramer' s problem, but also find that bounded Logistic model can solve the Cramer' s problem, not sensitive to critical value and have higher prediction efficiency.
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