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ji yu wen jian ji duan zhi mo xing gou jian xiao wei qi ye xin yong feng xian heng liang ti xi
Author(s): 
Pages: 158-167
Year: Issue:  23
Journal: Finance and Accounting Monthly

Keyword:  新常态小微企业信用风险稳健极端值模型;
Abstract: 选取我国1995~2016年216家小微企业作为研究样本,通过构建信用风险衡量体系,并考虑"新常态"环境条件下所呈现的极端值情形,进一步采用稳健Logit递归模型分析"新常态"下的企业信用风险问题。结果发现,当在信用评估模型中加入"新常态"条件时,企业信用风险的影响因素均产生了显著的变化,意味着"新常态"条件的变动对小微企业的信用风险影响尤为明显。此外,当采用稳健极端值模型刻画小微企业的信用风险时,无论在样本内预测抑或是样本外预测,该模型均呈现出较好的预测绩效。
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