Empirical Tests of Consistency Between Market-Based and Accounting-Based Credit Models: Evidences from China
基于期权与基于会计信息信用模型的一致性研究———对我国上市公司的实证研究

Altman's Z-score model and Merton-type default model are two milestone achievements in the course of modern credit risk modeling.They are typical representatives of accounting-based and market-based credit models.In this paper,we answer the question whether these two kinds of models are consistent in China? We constructed a sample of 72 listed companies from China stock market that can pass ARCH tests.Then,we calculate Z-score and 3 Merton-type default indices,i.e.,d_2,DD,RNDF.We test consistency between these two kinds of credit models by linear regression and ROC method under 9 different circumstances.The empirical results show no strong evidences to support that they are consistent in China.Some possible reasons for this inconsistency and its implications are discussed. We give some suggestions for further research in the end of the paper.