It is an important part of risk management to assess company's credit risk. The administrator use various kinds of ways to assess the credit condition of the company, but different ways may produce different results. This paper structures a portfolio by statistical method, expect to be able to simplify the administrator's decision-making process. First separately with stepwise regression analysis and factor analysis choose financial rate parameter and use Logit model to construct the financial distress model in the previous year and the first two years take place in the crisis. Besides traditional financial rate parameter, accede to the default probability value of the option pricing method in addition, to observe whether these variables make the construction of financial distress model better accordingly. According to the reserch result , take place in the previous year in the finance distress, the correct difference rate of the credit risks model is the lowest. And the distress takes place in the previous year or the past two years, the correct rate of prediction of utilizing stepwise regression analysis to choose the financial parameter is superior to adopting the factor analysis. No matter with which kind of method chooses the financial parameter, if combine with the default probability value, we can get the better correct rate .