证券公司失败预警研究

统计研究 ›› 2011, Vol. 28 ›› Issue (5): 67-71.

证券公司失败预警研究

“证券公司失败预警研究”课题组

出版日期:2011-05-15 发布日期:2011-05-20

An Early Warning Model of Securities Companies’ Failure

Research Group of “An Early Warning Model of Securities Companies’ Failure”

Online:2011-05-15 Published:2011-05-20

摘要/Abstract

摘要： 内容提要：一系列国内外证券公司（投资银行）的失败危机表明，及早有效地对证券公司（投资银行）的失败进行预警极为重要。本文在借鉴国内外建立企业失败预警模型的理论和经验的基础上，以我国证券公司为研究对象，将证券公司财务失败界定为证券公司破产或被证券监管部门采取风险处置措施，选取了24家财务失败证券公司和24家财务健康证券公司为样本，有针对性地选取和设计了一系列指标，对比应用了Logit方法、Probit方法和判别分析方法，最终选用Logit方法成功建立了证券公司失败预警模型。

关键词: 关键词：证券公司, 失败预警 , 判别分析 , Logit方法

Abstract: Abstract: A series of failures of securities companies (investment banks) demonstrate that it is very important to predict their failures timely and effectively. We define a securities company as a failed company if it has gone bankrupt or has been disposed by securities regulators with risk measures. We select 24 Chinese failed securities companies and 24 matched healthy Chinese securities companies as research samples, design a series of index variables, and use Logit method, Probit method and Discriminant Analysis separately to construct models. Finally we build an early warning model of securities companies’ failure with Logit method.

Key words: Key words: Securities Company, Early Warning of Failure, Discriminant Analysis, Logit Method

“证券公司失败预警研究”课题组. 证券公司失败预警研究[J]. 统计研究, 2011, 28(5): 67-71.

Research Group of “An Early Warning Model of Securities Companies’ Failure”. An Early Warning Model of Securities Companies’ Failure[J]. , 2011, 28(5): 67-71.

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