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为准确、科学地度量企业信用风险,在充分考虑现金流风险的基础上,构建了一类基于现金流风险CFaR值的信用风险评估模型。以沪深证券交易所2007～2011年的新增ST公司及其配对公司为样本的实证研究表明,上市公司面临的现金流风险较大,且ST公司和非ST公司的CFaR值存在显著差异。研究同时发现,引入现金流风险CFaR值后,多元判别分析模型、Logistic模型以及支持向量机模型的信用风险预警效果均有一定程度的改进,企业现金流风险是评估和预测信用风险的重要因素。
In order to accurately and scientifically measure the credit risk of enterprises, a credit risk assessment model based on CFaR of cash flow risk is constructed on the basis of full consideration of cash flow risk. An empirical study based on the sample of newly-added ST companies and their counterparts from 2007 to 2011 in Shanghai and Shenzhen Stock Exchanges shows that the listed companies are exposed to a greater risk of cash flow and the CFaR values of ST and non-ST companies are significantly different. The study also found that the introduction of cash flow risk CFaR value, multivariate discriminant analysis model, Logistic model and support vector machine model of credit risk warning effect has been some degree of improvement, corporate cash flow risk assessment and prediction of credit risk is an important factor.